FAM-ily  

Financial and Actuarial Mathematics  
TU Wien, Austria  

 

International Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance
September 17-22, 2007

Home Speaker Program Abstracts Registration Sponsors Location

Program

Scientific program

Slides

All speakers were asked to provide their slides or a link to them. It will take some time until all responded to this request.

Monday, Sep. 17th (Educational Workshop)
Time Speaker Title Slides
09.00-09.10 Walter Schachermayer Opening of the Workshop  
09.10-10.00 Ernst Eberlein Lévy driven equity, FX- and interest rate models n.a.
10.15-11.15 Dorje C. Brody Information-Based Asset Pricing [PDF]
11.30-12.30 Ernst Eberlein Lévy driven equity, FX- and interest rate models n.a.
12.30-14.30 Lunch Break
14.30-15.30 Michèle Vanmaele Comonotonicity Applied in Finance n.a.
15.45-16.45 Dorje C. Brody Information-Based Asset Pricing [PDF]

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

Wednesday, Sep. 19th (Scientific Conference)
Time Speaker Title Slides
  Chairperson: Bernt Øksendal
09.00-09.40 Dmitry Kramkov A Model for a Large Investor Trading at Market Indifference Prices [PDF]
09.40-10.20 Mete Soner Second Order BSDE's: New Results on Existence n.a.
10.20-10.50 Coffee Break
  Chairperson: Mete Soner
10.50-11.30 Esko Valkeila Approximation of Geometric Fractional Brownian Motion n.a.
11.30-12.10 Tomas Björk Optimal Investments under Partial Information [PDF]
12.10-14.15 Lunch Break
  Chairperson: Martin Schweizer
14.15-14.55 Thaleia Zariphopoulou Investment Performance Measurement, Risk Tolerance and Optimal Portfolio Choice n.a.
Parallel Sessions - Session 1
Time Speaker Title Slides
  Chairperson: Ernst Eberlein
15.00-15.30 Jan Obloj Completing Market Using Options: Necessary and Sufficient Conditions
15.30-16.00 Mihail Zervos A Model for Reversible Investment Capacity Expansion n.a.
16.00-16.30 Coffee Break
  Chairperson: Bogdan Iftimie
16.30-17.00 Giovanni Barone-Adesi Barrier Option Pricing Using Adjusted Transition Probabilities [PDF]
17.00-17.30 Alexandra Dias Semi-parametric Estimation of Portfolio Tail Probabilities n.a.
17.30-18.00 Erika Hausenblas Existence, Uniqueness and Regularity of Parabolic SPDEs Driven by Poisson Random Measure [PDF]
Session 2
Time Speaker Title Slides
  Chairperson: Semyon Malamud
15.00-15.30 Florian Kramer Risk and Valuation of Mortality Contingent Catastrophe Bonds n.a.
15.30-16.00 Stéphane Crépey About the Pricing Equation In Finance [PDF]
16.00-16.30 Coffee Break
  Chairperson: Susanne Klöppel
16.30-17.00 Ghulam Sorwar Valuation of Two-Factor Interest Rate Contingent Claims Using Green’s Theorem n.a.
17.00-17.30 Birgit Rudloff Hedging in Incomplete Markets with Convex Risk Measures n.a.
17.30-18.00 Andreas Hamel Set-Valued Risk Measures [PDF]
Session 3
Time Speaker Title Slides
  Chairperson: Laszlo Gyorfi
15.00-15.30 Stefanie Kammer Credit Spread Volatility Under a First Passage Time Model n.a.
15.30-16.00 Christian Schmidt Outperforming Benchmarks in Fixed-Income Markets n.a.
16.00-16.30 Coffee Break
  Chairperson: Griselda Deelstra
16.30-17.00 Linus Kaisajuntti An N-Dimensional Markov-Functional Model n.a.
17.00-17.30 Jan Maruhn Robustifying Static Hedges for Barrier Options Against Dynamics of the Volatility Surface n.a.
17.30-18.00 Natalie Packham Modelling Credit-Spread Dynamics in a Hitting-Time Model n.a.
Session 4
Time Speaker Title Slides
  Chairperson: Koichi Matsumoto
15.00-15.30 Jean-François Chassagneux Discrete-Time Approximation of American Option and Game Option Price n.a.
15.30-16.00 Christina Erlwein Filtering and Optimal Parameter Estimation of a Hidden Markov Model for Electricity Spot Prices n.a.
16.00-16.30 Coffee Break
  Chairperson: Christoph Kühn
16.30-17.00 Torsten Schöneborn Dynamic Optimal Execution Strategies and Predatory Trading n.a.
17.00-17.30 Koichi Matsumoto Mean-Variance Hedging in an Illiquid Market n.a.
17.30-18.00 Beatrice Acciaio Optimal Risk Allocation when Agents have Different Reference Probability Measures n.a.
Session 5
Time Speaker Title Slides
  Chairperson: Teemu Pennanen
15.00-15.30 Jan Palczewski On the Wealth Dynamics of Self-financing Portfolios under Endogenous Prices [PDF]
15.30-16.00 Amal Merhi Irreversible Capacity Expansion with Proportional and Fixed Costs n.a.
16.00-16.30 Coffee Break
  Chairperson: Ralf Wunderlich
16.30-17.00 Ralf Werner Consistency of Robustified Portfolio Optimization Frameworks n.a.
17.00-17.30 Jostein Paulsen Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs [PDF]
19.00 Visit of "Heurigen" "10er Marie"

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)

Friday, Sep. 21st (Practitioner's Day)
Time Speaker Title Slides
  Chairperson: Christoph Schwab
09.00-09.55 Marek Musiela Implied Preferences and Bespoke Portfolios [PDF]
09.55-10.50 Peter Schaller Consistent Incorporation of Statistical Uncertainties into Quantile Estimates [PDF]
10.50-11.20 Coffee Break
  Chairperson: Ludger Overbeck
11.20-12.15 Uwe Wystup About the Price of a Guarantee - A Statistical Evaluation of Returns of long-term Investments [PDF]
12.15-14.15 Lunch Break
  Chairperson: Uwe Wystup
14.15-14.55 Ludger Overbeck Risk Measures for Structured Credit Products n.a.
Parallel Sessions - Session 1
Time Speaker Title Slides
  Chairperson: Wolfgang Runggaldier
15.00-15.30 Georg Pflug Pricing of Swing Options and Stochastic Games n.a.
15.30-16.00 Jörg Behrens Strategic Risk Management: Ideas and Questions n.a.
16.00-16.30 Coffee Break
  Chairperson: Georg Pflug
16.30-17.00 Ying Jiao Dynamical Modelling of Successive Defaults [PDF]
17.00-17.30 Romuald Elie Optimal Consumption Investment Strategy Under Drawdown Constraint n.a.
17.30-18.00 Peter Laurence Hedging and Pricing of Generalized Spread Options and the Market Implied Comonotonicity Gap [PDF]
Session 2
Time Speaker Title Slides
  Chairperson: Yoshio Miyahara
15.00-15.30 Sotirios Sabanis A Note on the Q-Optimal Martingale Measure n.a.
15.30-16.00 Alexander Kulikov Multidimensional Coherent and Convex Risk Measures [PDF]
16.00-16.30 Coffee Break
  Chairperson: Anke Wiese
16.30-17.00 Jan Sindelar Adaptive Control Applied to Financial Market Data n.a.
17.00-17.30 Silvia Romagnoli The Dependence Structure of Running Maxima and Minima: Results and Option Pricing Applications n.a.
17.30-18.00 Pavel Grigoriev Kusuoka's formula for Dynamic Risk Measures [PDF]
Session 3
Time Speaker Title Slides
  Chairperson: Stefan Tappe
15.00-15.30 Martin Hillebrand/ Ashay Kadam Dynamic Loss Modeling for Heterogeneous Credit Portfolio no slides
15.30-16.00 Rolf Klaas A Structural Multi Issuer Credit Risk Model Based on Square Root Processes [PDF]
16.00-16.30 Coffee Break
  Chairperson: Ilse Schoeman
16.30-17.00 Giuseppe Di Graziano A Dynamic Approach to the Modelling of Correlation Credit Derivatives Using Markov Chains [PDF]
17.00-17.30 Tanja Veza The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
17.30-18.00 Stefan Tappe Existence of Levy Term Structure Models and Finite Dimensional Realizations n.a.
Session 4
Time Speaker Title Slides
  Chairperson: Peter Laurence
15.00-15.30 Michel Verschuere Hedging Under Uncertainty: Applications to Carbon Emissions Markets n.a.
15.30-16.00 Philipp Mayer Stable Calibration Methods for Financial Market Models of Local Lévy Type n.a.
16.00-16.30 Coffee Break

Saturday, Sep. 22nd (Scientific Conference)
Time Speaker Title Slides
  Chairperson: Mikhail Urusov
09.00-09.40 Ioannis Karatzas Stochastic Portfolio Theory: A Survey [PDF]
09.40-10.20 Bogdan Iftimie Asymptotic Behaviour of Piece-Wise Continuous Solutions of S.D.E. n.a.
10.20-10.50 Coffee Break
  Chairperson: Ioannis Karatzas
10.50-11.30 Claudia Klüppelberg The Continuous-Time GARCH Model n.a.
11.30-12.10 Giulia Di Nunno Events of Small but Positive Probability and a Version of the Fundamental theorem of Asset Pricing n.a.
12.10-12.15 Closing of the Conference

Social Activities

  • Tu, Sep. 18th: Welcome Reception
  • We, Sep. 19th: Visit of "Heuriger""10er Marie"
  • Th, Sep. 20th: Conference Dinner