Mathematical Finance and Stochastic Calculus
The First Bachelier Winter School
PROGRAM
Monday, 20.01.
14.00-15.30 Longevity risk. (Stéphane Loisel)
15.40-17.10 Optimal posting of orders: learning by trading. (Gilles Pagés)
17.30-19.00 High speed trading. (Iosif Itkin)
Tuesday, 21.01.
14.00-15.30 Recent advances in high frequency trading: Statistical estimation and
optimal strategies. (Mathieu Rosenbaum)
15.40-17.10 Optimal posting of orders: learning by trading. (Gilles Pagés)
17.30-19.00 Optimal posting of orders: learning by trading. (Gilles Pagés)
Wednesday, 22.01.
14.00-15.30 Recent advances in high frequency trading: statistical estimation and
optimal strategies. (Mathieu Rosenbaum)
15.40-17.10 Recent advances in high frequency trading: statistical estimation and
optimal strategies. (Mathieu Rosenbaum)
17.30-19.30 About longevity modelling. (Nicole El Karoui)
Thursday, 23.01.
14.00-15.30 About longevity modelling. (Nicole El Karoui)
15.40-17.10 New results in optimal stopping and disorder problems. (Albert Shiryaev)
17.30-19.00 Arbitrage theory under transaction costs. (Yuri Kabanov)
Friday, 24.01.
14.00-15.30 New results in optimal stopping and disorder problems. (Albert Shiryaev)
15.40-17.30 Arbitrage theory under transaction costs. (Yuri Kabanov)
Confirmed participants:
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