Mathematical Finance and Stochastic Calculus

PROGRAM:

Participants and suggested talks of the 7th Colloquium:

* Abakirova Aygul, Universite du Maine, France
abakirova@gmail.com

*Aksamit Anna, Universite d'Evry Val D'Essonne, France
ania.aksamit@gmail.com
On some particular excursion straddling a random time.

*Arkin Vadim , CEMI RAS, Moscow, Russia
arkin@cemi.rssi.ru
Threshold strategies in optimal stopping problems for one-dimensional diffusions.

*Belak Christoph, Dublin City University, Ireland and University of Kaiserslautern, Germany,
christoph.belak@dcu.ie
On the uniqueness of unbounded viscosity solutions in portfolio optimization with proportional transaction costs.

*Berdjane Belkacem Universite de Rouen, France
belkacem.berdjane@univ-rouen.fr
Sequential delta-optimal consumption and investment for stochastic volatility markets with unknown parameters.

*Bion-Nadal Jocelyne, Ecole Polytechnique, France
jocelyne.bion-nadal@cmap.polytechnique.fr
Time consistent dynamic pricing in financial markets with volatility uncertainty or more generally model uncertainty.

*Blanchet-Scaillet Christophette, Ecole Centrale de Lyon Institut Camille Jordan, France
christophette.blanchet@ec-lyon.fr
Optimal liquidation with directional views and additional information.

*Bouchard Bruno, Universite Paris Dauphine, France
bouchard@ensae.fr
Stochastic target games with controlled losses.

*Burnaev Evgeniy, Institute for Information Transmission Problems, Russia
burnaev@iitp.ru
The rule 1/N in hedge trading.

*Callegaro Giorgia, University of Padua, Italy
gcallega@math.unipd.it

*Campi Luciano, University Paris 13, France
campi@math.univ-paris13.fr
Utility indifference pricing for non-smooth payoffs.

*Chernov Vladimir, Moscow Institute of Physics and Technology, Russia
humido@yandex.ru

*Choukroun Sebastien, University Paris 7, France
sebastienchoukroun@hotmail.com

*Choulli Tahir University of Alberta, Canada
tchoulli@ualberta.ca
Non-arbitrage under random horizon and honest time.

*Corcuera Jose Manuel, University of Barcelona, Spain
jmcorcuera@ub.edu
Pricing contingent convertible.

*Crepey Stephane, Universite d'Evry Val D'Essonne, France
stephane.crepey@univ-evry.fr
Counterparty wrong way and gap risks modeling: a marked default time approach.

*Darses Sebastien, Universite Aix-Marseille, France
darses@cmi.univ-mrs.fr TBA


*Donchev Doncho, Sofia University, Bulgaria
doncho@fmi.uni-sofia.bg
Random series with time-varying discounting.

*Douady Raphael, Riskdata, Paris-New York, France
raphael.douady@riskdata.com
The whys of the LOIS: credit risk and refinancing rate volatility.

*Elie Romuald, Universite Paris Dauphine, France
elie@ceremade.dauphine.fr
TBA.

*Ellanskaya Anastasia, Universite d'Angers, France
anastasia.ellanskaya@univ-angers.fr
Indifference pricing for exponential Levy models.

*Damir Filipovic, EPFL, Switzerland
damir.filipovic@epfl.ch
Polynomial term structure Models.

*Fontana Claudio, Universite d'Evry Val D'Essonne, France
claudio.fontana@univ-evry.fr
On arbitrages arising with honest times.

*Galtchouk Leonid, Strasbourg University, France
leonid.galtchouk@math.unistra.fr
Asymptoticly efficient estimation of the drift in ergodic diffusions from discrete data.

*Grbac Zorana, Humboldt University Berlin, German
grbac@math.hu-berlin.de
Market models for credit risky portfolios driven by time-inhomogeneous Levy processes.

*Grepat Julien, Universite de Besancon, France
julien.grepat@univ-fcomte.fr

*Guegan Dominique, Universite Paris-1, France
dominique.guegan@univ-paris1.fr
A quantitative finance and actuarial framework for risk management.

*Grigoryeva Lioudmila, Universite de Besancon, France
Lyudmyla.Grygoryeva@univ-fcomte.fr
Finite sample forecasting with estimated temporally aggregated linear processes.

*Gushchin Alexandre, Steklov Institute, Moscow, Russia
gushchin@mi.ras.ru
TBA.

*Hamadene Said, Universite du Maine, France
hamadene@univ-lemans.fr
L_p solutions of reflected BSDEs and applications.

*Haslip Gareth, Cass Business School, City University London, UK
haslip@gmail.com
A novel generalized Fourier-B-spline pethod for option pricing.

*Hassairi Imen, Universite du Maine, France
imen.hassairi@yahoo.fr

*Herdegen Martin, ETH Zurich, Switzerland
Martin.Herdegen@math.ethz.ch

*Herrmann Sebastian, ETH Zurich, Switzerland
sebastian.herrmann@math.ethz.ch

*Hillairet Caroline, Ecole Polytechnique, France
caroline.hillairet@polytechnique.edu

*Hinz Juri, University of Technology Sydney, Australia,
Juri.Hinz@uts.edu.au
Optimal control of convex switching systems.

*Horvath Blanka, ETH Zurich, Switzerland
Blanka.Horvath@math.ethz.ch

*Hugonnier Julien EPFL, Switzerland
Julien.Hugonnier@epfl.ch
Capital supply uncertainty, cash holdings and optimal investment.

*Hyndman Cody, Concordia University, Canada
hyndman@mathstat.concordia.ca

*Jeanblanc Monique, Universite d'Evry Val D'Essonne, France
monique.jeanblanc@univ-evry.fr
Arbitrages and honest times.

*Jiao Ying, Universite Paris Diderot, France
jiao@math.univ-paris-diderot.fr
Role of inside information in an optimal investment problem with counterparty risk.

*Kabanov Yuri, Universite de Besancon, France
youri.kabanov@univ-fcomte.fr

*Kaishev Vladimir, Cass Business School, City University London, UK
v.kaishev@city.ac.uk
On a class of multivariate Levy processes induced by Dirichlet splines and their application to finance.

*Kallsen Jan, University of Kiel, Germany
kallsen@math.uni-kiel.de
Optimal investment under small proportional transaction costs.

*Karminsky Alexander, Higher School of Economics, Moscow, Russia,
karminsky@mail.ru
The multiplication of the credit rating agencies efforts under IRB approach.

*Kijima Masaaki, Tokyo Metropolitan University, Japan
kijima@tmu.ac.jp
An extension of the chaos expansion approximation for the pricing of exotic basket options.

*Koo Hyeng Keun, Ajou University, South Korea
koo_h@msn.com
A Friedman-Savage consumer almost gambles: optimal consumption and portfolio selection with non-concave utility Institution.

*Kreher Doerte, Universitaet Zuerich, Switzerland
doerte.kreher@math.uzh.ch
On the existence of consistent price systems for insiders who can stop at honest times under transaction costs.

*Leniec Marta, Uppsala University, Sweden
martaleniec@yahoo.com
Role of information in Brownian filtration.

*Lepinette Emmanuel , Universite Paris-Dauphine, France
emmanuel.denis@ceremade.dauphine.fr
Essential supremum and essential maximum with respect to a preference relation.

*Mainberger Christoph, Humboldt University Berlin, German
mainberger@math.hu-berlin.de
Continuous equilibrium in affine and information-based Capital Asset Pricing Models.

*Martynov Gennady, Institute for Information Transmission Problems, Russia
magevl@gmail.com
Decompositions for some Gaussian processes.

*Matoussi Anis, Universite du Maine, France
Anis.Matoussi@univ-lemans.fr
Second-order BSDEs with general reflection and Dynkin games under uncertainty.

*Melnyk Yaroslav, Kaiserslautern University of Technology, Germany
melnyk@mathematik.uni-kl.de
Optimal product advertisement and upgrades: optimization under fixed and proportional product development costs.

*Molchanov Ilya, University of Bern, Switzerland
ilya.molchanov@stat.unibe.ch
A constructive approach to multivariate risk measures.

*Muravlev Alexey, Steklov Institute, Moscow, Russia
almurav@mi.ras.ru
Quickest disorder detection problem with sequential hypothesis testing.

*Nguyen Hai Nam, Universite d'Evry Val D'Essonne, France
hainam.nguyen@univ-evry.fr

*Nguyen Huu Thai, Universite de Rouen, France
thaibopy@gmail.com
Option replication with general transaction costs for stochastic volatility markets.

*Nguyen Tuyet Mai, Universite d'Evry Val D'Essonne, France
nguyentuyetmai1408@gmail.com

*Ortega Juan-Pablo, Universite de Besancon, France
Juan-Pablo.Ortega@univ-fcomte.fr
Quadratic Hedging Schemes for General GARCH Models.

*Owari Keita, University of Tokyo, Japan
owari@e.u-tokyo.ac.jp
Maximum Lebesgue extension of convex risk measures.

*Penner Irina, Humboldt University Berlin, German
penner@math.hu-berlin.de
Convex risk measures for processes and related BSDE's.

*Peresetsky Anatoly, Higher School of Economics, Moscow, Russia
peresetsky@cemi.rssi.ru
Global stochastic trend and regional correlations.

*Pergamenchtchikov Serguei, Universite de Rouen, France
serge.pergamenchtchikov@univ-rouen.fr
Leland's strategy for stochastic volatility markets.

*Piozin Lambert, Universite du Maine, France
l.piozin@gmail.com

*Possamai Dylan, Universite Paris Dauphine, France
dylan.possamai@polytechnique.edu
Homogenization and asymptotics for small transaction costs, the multidimensional case.

*Presman Ernst, CEMI RAS, Moscow, Russia
presman@cemi.rssi.ru Method of modification of pay-off functions the optimal stopping problem.


*Reveillac Anthony, Universite Paris-Dauphine, France
anthony.reveillac@ceremade.dauphine.fr
BSDEs with weak terminal condition: existence results and application to finance.

*Romo Romero Ricardo, Universite d'Evry, France
rickyromo@gmail.com

*Royer Guillaume, Ecole Polytechnique, France
guillaume.royer@polytechnique.edu

*Rudloff Birgit, Princeton University, USA
brudloff@princeton.edu
Dynamic risk measures in markets with transaction costs.

*Rui Mui, Universite du Maine, France

*Runggaldier Wolfgang, Padua University, Italy
runggal@math.unipd.it
TBA

*Sabbagh Wissal, Universite du Maine, France
wiiissal@hotmail.fr

*Schweizer Martin, ETH Zurich, Switzerland
martin.schweizer@math.ethz.ch


*Sexton Jennifer, TU Vienna, Austria
jsexton@fam.tuwien.ac.at
Time inversion and reflection properties of continuous martingales.

*Sezer Ali Devin, Universite d'Evry Val D'Essonne, France
devin.sezer@gmail.com
Optimal decision rules for product recalls.

*Shen Yuhao, Paris 6, France
yuhao.shen2010@gmail.com

*Slastnikov Alexandre, CEMI RAS, Moscow, Russia
slast@cemi.rssi.ru
Compensation of unfavorable factors in stochastic models of investment attraction.

*Song Shiqi, Universite d'Evry, France
bachsuitepremier@gmail.com
Notes on the condition of no arbitrage of the first kind.

*Sonin Isaac, University of North Carolina at Charlotte, USA
imsonin@uncc.edu
Insertion - a new operation for Markov chains.

*Suzuki Teruyoshi, Hokkaido University, Japan
suzuki@econ.hokudai.ac.jp

*Teichmann Josef jteichma@math.ethz.ch ETH Zurich, Switzerland
jteichma@math.ethz.ch
Robust calibration of models in finance.

*Taflin Erik, EISTI, France
et@eisti.fr
Transaction costs in bond markets.

*Tan Xiaolu, Paris-Dauphine, France
xiaolu.tan@polytechnique.edu
Numerical schemes for 2nd order BSDEs.


*Touzi Nizar, Ecole Polytechnique, France
touzi@cmapx.polytechnique.fr
TBA.

Tuan Tran Quoc, Paris-Dauphine, France
tuan.maths@gmail.com

*Vaicenavicius Juozas Uppsala University, Sweden
juozas.vaicenavicius@math.uu.se
Approximation of a large-basket price-weighted index.

*Vostrikova Lioudmila, Universite d'Angers, France
vostrik@univ-angers.fr
Indifference pricing for exponential semi-martingale models with random factor.

*Vukelja Mirjana, ETH Zurich, Switzerland
mirjana.vukelja@math.ethz.ch
Expected utility from terminal wealth in an illiquid market.

*Wu Dongli, Universite d'Evry Val D'Essonne, France
dominique0054@msn.com

*Zhang Jing, Universite d'Evry Val D'Essonne, France
jing.zhang.etu@gmail.com

*Zhitlukhin Mikhail, Steklov Mathematical Institute, Russia
mikhailzh@mi.ras.ru
Quickest disorder detection problems with applications to finance.