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08:30
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--- Welcome ---
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09:00
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Universal Arbitrage Aggregator in Discrete Time under Uncertainty,
- Prof.
Marco Frittelli
(Università degli Studi di Milano)
()
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09:40
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--- Break ---
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09:50
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No arbitrage conditions in the multi-curve modelling of the term structure of interest rates
- Prof.
Wolfgang Runggaldier
(University of Padova, Dipartimento di Matematica)
()
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10:30
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--- Coffee Break ---
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10:50
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A measure-valued SDE with applications to interest rates and stochastic volatility
- Dr
Michael Tehranchi
(University of Cambridge)
()
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11:20
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Risk Minimization under Mortality and Its Stochastics.
- Dr
Tahir Choulli
(UNiversity of Alberta)
()
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11:50
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Brownian trading excursions
- Prof.
Thorsten Rheinlander
(TU Vienna)
()
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09:00
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On the Skorokhod embedding problem and FBSDE
- Prof.
Peter Imkeller
(Mathematisches Institut der Humboldt-Universität zu Berlin)
()
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09:40
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--- Break ---
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09:50
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On the Chaotic Representation Property of Certain Families of Martingales
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Hans-Jürgen Engelbert
(Friedrich Schiller-University of Jena)
()
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10:30
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--- Coffee Break ---
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10:50
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Sensitivity Analysis in Lévy Fixed Income Theory
- Prof.
Ernst Eberlein
(University of Freiburg)
()
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11:30
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--- Break ---
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11:40
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Joint distribution of spectrally negative Lévy process and its occupation time, with step option pricing in view
- Dr
Hélène Guérin
(IRMAR)
()
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09:00
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Recent development in martingale optimal transport
- Prof.
Nizar Touzi
(Ecole Polytechnique)
()
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09:40
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--- Break ---
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09:50
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Rare event simulation related to financial risks: efficient estimation and sensitivity analysis
-
Emmanuel Gobet
(Po)
()
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10:30
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--- Coffee Break ---
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10:50
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Group solvency tests, intragroup transfers and intragroup diversification: a set-valued perspective
- Dr
Michael Schmutz
(University of Berne)
()
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11:20
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A martingale fixed-point problem in optimal reserve exploration
- Prof.
Juri Hinz
(UTS)
()
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11:50
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On the Estimation Methods for Risk Measurement
- Dr
HASSAN OMIDI FIROUZI
(LABEXREFI)
()
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09:00
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Robust Detection of Unobservable Disorder in Poisson rate
- Prof.
Nicole El Karoui
(UPMC)
()
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09:40
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--- Break ---
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09:50
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An Analytical Approximation for Pricing VWAP Options
- Prof.
Masaaki Kijima
(Tokyo Metropolitan University)
()
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10:30
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--- Coffee Break ---
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10:50
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Malliavin differentiability of BSDEs
- Prof.
ANTHONY REVEILLAC
(INSA de Toulouse - Institut de Mathématiques de Toulouse)
()
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11:20
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Multidimensional quadratic BSDEs with separated generators
- Mr
Peng Luo
(University of Konstanz)
()
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11:50
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Incomplete stochastic equilibria and a system of quadratic BSDEs
- Mr
Hao Xing
(London School of Economics)
()
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12:20
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--- Lunch ---
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14:00
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Dynamics of order positions and related queues in a limit order book
- Prof.
xin guo
(UC Berkeley)
()
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14:40
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--- Break ---
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14:50
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Grossissement de filtration en temps discret
- Mrs
Monique Jeanblanc
(université Evry Val d'ESSONNE)
()
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15:30
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--- Coffee Break ---
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15:50
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Information Asymmetries, Volatility, Liquidity, and the Tobin Tax
- Dr
Albina Danilova
(LSE)
()
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16:30
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Polynomial preserving processes and discrete-tenor interest rate models
- Dr
Zorana Grbac
(Université Paris Diderot)
()
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17:00
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--- Break ---
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17:10
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Continuity Problems in Boundary Crossing Problems
- Prof.
Konstantin Borovkov
(University of Melbourne)
()
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18:10
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--- Pedestrian walk to Lurçat Museum ---
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18:30
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--- Visit of the Jean Lurçat Museum ---
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19:30
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--- Return to conference place ---
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19:50
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--- Dinner ---
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12:20
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--- Lunch ---
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14:00
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A result on integral functionals with infinitely many constraints
- Prof.
Martin Schweizer
(ETH Zurich)
()
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14:40
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--- Break ---
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14:50
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On the dual problem of utility maximization in incomplete markets
- Dr
Yiqing LIN
(University of Vienna)
()
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15:30
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--- Coffee Break ---
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15:50
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Agency, Firm Growth and Managerial Turnover
- Prof.
Mihail Zervos
(London School of Economics)
()
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16:30
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--- Break ---
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16:40
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Evolution of models in evolving markets
- Mr
Marek Musiela
(Oxfor Man Institute)
()
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17:10
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Debt negotiation with firms’ cross-holdings of securities
- Mr
Teruyoshi Suzuki
(Hokkaido University)
()
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17:40
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--- Break ---
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17:50
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Investment timing, collateral, and financing constraints
- Prof.
Takashi Shibata
(Tokyo Metropolitan University)
()
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18:20
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On the supremum of fractional Brownian motion and related processes
-
Mikhail Zhitlukhin
(Steklov Mathematical institute)
()
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19:00
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--- Dinner ---
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12:20
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--- Lunch ---
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13:30
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--- Bus travel to Brézé Castle ---
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15:00
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--- Visit of Brézé Castle ---
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17:45
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--- Way back to conference place ---
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19:30
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--- Pedestrian walk to restaurant "La Ferme" ---
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20:00
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--- Conference dinner ---
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12:20
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--- Lunch ---
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14:00
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General one-dimensional diffusion: characterization, optimal stopping problem
- Prof.
Ernst Presman
(CEMI RAN)
()
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14:30
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On optimal stopping with expectation constraints
-
Stefan Ankirchner
(University of jena)
()
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15:00
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Variational View to Optimal Stopping with Application to Real Options
- Dr
Alexander Slastnikov
(CEMI)
()
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15:30
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--- Coffee Break ---
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15:50
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Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators
- Mr
Ying Hu
(Université Rennes 1)
()
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16:30
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Degenerate Backward SPDE with Singular Terminal Value and Related Applications in Mathematical Finance
- Dr
Qi Zhang
(Fudan University)
()
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17:00
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--- Break ---
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17:10
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Existence and uniqueness of viscosity solutions for second order integro-differential equations without monotonicity condition
- Mr
said hamadene
(LMM, Universite du Maine, Le Mans, France)
()
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17:40
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Random Periodic Processes, Periodic Measures and Ergodicity
- Prof.
Huaizhong Zhao
(Loughborough University)
()
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18:20
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--- Closing ---
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19:00
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--- Dinner ---
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