All speakers were asked to provide their slides or a link to them. It will take some time until all responded to this request.
Tuesday, Sep. 18th (Scientific Conference) |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Uwe Schmock |
09.00-09.10 |
Uwe Schmock |
Opening of the Conference |
|
09.10-09.50 |
Bernt Øksendal |
Optimal Portfolio for an Insider in a Strategic Market Equilibrium |
n.a. |
09.50-10.30 |
Chris Rogers |
The Cost of Illiquidity and its Effects On Hedging |
n.a. |
10.30-11.00 |
Coffee Break |
|
Chairperson: Dorje C. Brody |
11.00-11.40 |
Freddy Delbaen |
Monetary Time Consistent Utility Functions and the Viscous Hamilton-Jacobi Quasi-Linear PDE |
n.a. |
11.40-12.20 |
Damir Filipovic |
Non-Monotone Risk Measures and Monotone Hulls |
[PDF] |
12.20-14.15 |
Lunch Break |
13.15-14.15 |
Poster Sessions
Evren Baydar, Christian Bayer, Irmingard Eder, Gabriel Maresch, Mikko Pakkanen, Petra Posedel, Michael Schmutz, Thomas Steiner, Kai Tappe, Gregory Temnov, Lucia Del Chicca, Carlo Sgarra, Cathrin van Emmerich (second session on Thursday) |
in front of n.a. (2nd floor) |
|
Chairperson: Ole E. Barndorff-Nielsen |
14.15-14.55 |
Martin Schweizer |
Modelling Option Prices |
[PDF] |
Parallel Sessions - Session 1 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Dmitry Kramkov |
15.00-15.30 |
Kasper Larsen |
Continuity of Utility-Maximization with Respect to Preferences |
no slides |
15.30-16.00 |
Mikhail Urusov |
Stopping of Integral Functionals of Diffusions and 'No-Loss' Free Boundary Formulation |
[PDF] |
16.00-16.30 |
Coffee Break |
|
Chairperson: Damir Filipovic |
16.30-17.00 |
Luciano Campi |
Hedging with European or American Vanilla Options |
n.a. |
17.00-17.30 |
Rüdiger Kiesel |
Pricing forward Contracts in Power Markets by the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium |
n.a. |
17.30-18.00 |
Jörn Sass |
The Numeraire Portfolio Under Transaction Costs |
n.a. |
Session 2 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Rüdiger Kiesel |
15.00-15.30 |
Dorje C. Brody |
Dam Rain and Cumulative Gain |
[PDF] |
15.30-16.00 |
Agatha Murgoci |
Vulnerable Options and Good Deal Bounds - Structural Model |
[PDF] |
16.00-16.30 |
Coffee Break |
|
Chairperson: Damien Lamberton |
16.30-17.00 |
Jerome Reboulleau |
Pricing Shipping Derivatives Through the Levy Market Model |
n.a. |
17.00-17.30 |
Irene Klein |
Market Free Lunch and Large Financial Markets |
n.a. |
17.30-18.00 |
Tommi Sottinen |
Local Continuity of Stopping Times and Arbitrage |
n.a. |
Session 3 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Chris Rogers |
15.00-15.30 |
Przemyslaw Klusik |
Optimal Strategy for an Investor with Access to a Stream of Extra Information |
n.a. |
15.30-16.00 |
Christoph Kühn |
Illiquid Financial Markets and Nonlinear Stochastic Integrals |
[PDF] |
16.00-16.30 |
Coffee Break |
|
Chairperson: Stéphane Crépey |
16.30-17.00 |
Teemu Pennanen |
Pricing and Hedging in Convex Markets |
n.a. |
17.00-17.30 |
Antje Schulz |
Optimal Execution Strategies in Limit Order Books with a General Shape Function |
n.a. |
17.30-18.00 |
Irina Penner |
Dynamic Convex Risk Measures: Time Consistency, Prudence and Sustainability |
[PDF] |
Session 4 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Tomas Björk |
15.00-15.30 |
Delia Coculescu |
Valuation of Default-Sensitive Claims Under Imperfect Information |
n.a. |
15.30-16.00 |
Yoshio Miyahara |
Option Pricing Based On the Geometric Stable Processes and the Minimal Entropy Martingale Measures |
n.a. |
16.00-16.30 |
Coffee Break |
|
Chairperson: Michel Vellekoop |
16.30-17.00 |
Antonis Papapantoleon |
On the Duality Principle in Option Pricing: Semimartingales and Lévy Processes |
n.a. |
17.00-17.30 |
Teitur Arnarson |
Early Exercise Boundary Regularity Close to Expiry in Indifference Setting |
[PDF] |
Session 5 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Jörn Sass |
15.00-15.30 |
Johannes Muhle-Karbe |
Portfolio Optimization Under Transaction Costs |
[PDF] |
15.30-16.00 |
Stefan Thonhauser |
Optimal Dividend Strategies for a Risk Process Under Force of Interest |
n.a. |
16.00-16.30 |
Coffee Break |
|
Chairperson: Erika Hausenblas |
16.30-17.00 |
Ralf Wunderlich |
Computing Optimal Investment Strategies Under Partial Information and Bounded Shortfall Risk |
[PDF] |
17.00-17.30 |
Markus Fischer |
Discretisation of Continuous-Time Stochastic Optimal Control Problems with Delay |
n.a. |
17.30-18.00 |
Semyon Malamud |
A Unified Approach to Market Incompleteness |
n.a. |
18.00 |
Welcome Reception |
Thursday, Sep. 20th (Scientific Conference) |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Esko Valkeila |
09.00-09.40 |
Łukasz Stettner |
Portfolio Selection with Transaction Costs, Decision Lag and Execution Delay |
n.a. |
09.40-10.20 |
Christoph Schwab |
Numerical Derivative Pricing in Non-BS Markets |
n.a. |
10.20-10.50 |
Coffee Break |
|
Chairperson: Freddy Delbaen |
10.50-11.30 |
Ole E. Barndorff-Nielsen |
Matrix Subordinators and Multivariate OU-based Volatility Models |
[PDF] |
11.30-12.10 |
Damien Lamberton |
Optimal Stopping Problems with Irregular Payoff Functions |
[PDF] |
12.10-14.15 |
Lunch Break |
13.15-14.15 |
Poster Sessions
Evren Baydar, Christian Bayer, Irmingard Eder, Gabriel Maresch, Mikko Pakkanen, Petra Posedel, Michael Schmutz, Thomas Steiner, Kai Tappe, Gregory Temnov, Lucia Del Chicca, Carlo Sgarra, Cathrin van Emmerich (first session on Tuesday) |
in front of n.a. (2nd floor) |
|
Chairperson: Łukasz Stettner |
14.15-14.55 |
Wolfgang Runggaldier |
Contagious Default: Application of Methods of Statistical Mechanics in Finance |
[PDF] |
Parallel Sessions - Session 1 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Uwe Schmock |
15.00-15.30 |
Nicole Bäuerle |
Dependence Properties and Comparison Results for Lévy Processes with Applications to Option Prices and Credit Risk |
[PDF] |
15.30-16.00 |
Griselda Deelstra |
Bounds for Asian Basket Options |
[PDF] |
16.00-16.30 |
Coffee Break |
|
Chairperson: Nicole Bäuerle |
16.30-17.00 |
Jens Jackwerth |
Are Options On Index Futures Profitable for Risk Averse Investors? |
no slides |
17.00-17.30 |
Umut Cetin |
Joint Conditional Density of a Markov Process and its Local Time with Applications to Default Risk Modelling |
[PDF] |
17.30-18.00 |
Laszlo Gyorfi |
Growth Optimal Portfolio Selection Strategies with Transaction Costs |
[PDF] |
Session 2 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Thaleia Zariphopoulou |
15.00-15.30 |
Irina Slinko |
Approximation of Good Deal Bound Solutions |
n.a. |
15.30-16.00 |
Ilse Schoeman |
Modeling of the Bank’s Profitability Via a Levy Process-Driven Model and a Black Scholes Model |
[PDF] |
16.00-16.30 |
Coffee Break |
|
Chairperson: Irina Slinko |
16.30-17.00 |
Xinzheng Huang |
Adaptive Integration for Multi-Factor Portfolio Credit Loss Model |
[PDF] |
17.00-17.30 |
Pauline Sculli |
Contagion in Affine Default Processes |
n.a. |
Session 3 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Michèle Vanmaele |
15.00-15.30 |
György Ottucsák |
Principal Component and Constantly Rebalanced Portfolio |
[PDF] |
15.30-16.00 |
Robert Stelzer |
Multivariate Continuous Time Lévy-Driven GARCH Processes |
n.a. |
16.00-16.30 |
Coffee Break |
|
Chairperson: Claudia Klüppelberg |
16.30-17.00 |
Masaaki Fukasawa |
Central Limit theorem for the Realized Volatility Based on a Tick Time Sampling |
[PDF] |
17.00-17.30 |
Christina Niethammer |
On Q-Optimal Signed Martingale Measures in Exponential Lévy Models |
[PDF] |
17.30-18.00 |
Huseyin Merdan |
Asset Price Dynamics with Heterogenous Groups |
n.a. |
Session 4 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Mihail Zervos |
15.00-15.30 |
Wolfgang Putschögl |
Optimal Investment Under Dynamic Risk Constraints and Partial Information |
[PDF] |
15.30-16.00 |
Jakub Zwierz |
On Insiders Who Can Stop at Honest Times |
[PDF] |
16.00-16.30 |
Coffee Break |
|
Chairperson: Giulia Di Nunno |
16.30-17.00 |
José Manuel Corcuera |
Hedging and Optimization in a Geometric Additive Model |
[PDF] |
17.00-17.30 |
Nele Vandaele |
Hedging Unit-Linked Life Insurance Contracts Driven by a Lévy Process |
n.a. |
17.30-18.00 |
Takuji Arai |
Optimal Hedging Strategies on Asymmetric Functions |
n.a. |
Session 5 |
Time |
Speaker |
Title |
Slides |
|
Chairperson: Josten Paulsen |
15.00-15.30 |
Anke Wiese |
Numerical Solution of Stochastic Differential Equations Evolving on Manifolds |
n.a. |
15.30-16.00 |
Richard Vierthauer |
On Utility Indifference Pricing in Affine Stochastic Volatility Models |
n.a. |
16.00-16.30 |
Coffee Break |
|
Chairperson: Jan Palczewski |
16.30-17.00 |
Teppo Rakkolainen |
Optimal Dividend Control in Presence of Downside Risk |
[PDF] |
17.00-17.30 |
Michel Vellekoop |
Optimal Consumption and Investment of Randomly Terminating Income |
n.a. |
17.30-18.00 |
Delphine David |
On the Optimal Control of Stochastic Delayed Systems with Jumps |
n.a. |
18.30 |
Conference Dinner (KHM) |