Finance Mathématique et Calcul Stochastique

PROGRAM, 13-19.01.2014

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Monday, 13.01

8.00-8.45 In memoriam of Marc Yor (July 24, 1949 January 10, 2014).
9.00-9.45 Eberlein E. Levy driven two price valuation with applica-
tions to long-dated contracts.
9.45-10.15 Shiryaev A. Jump processes: compensators and the Kol-
mogorov equations.
10.15-10.45 Pavlov I. Theorems on deformed martingales and their
application to financial mathematics.
Coffee break

11.05-11.35 Belomestny D. Optimal stopping under model uncer-
tainty: randomized stopping times approach.
11.35.-12.00 Lyulko Y. Maximal inequalities for skew Brownian mo-
tion and related optimal stopping problems.
12.05-12.30 Muravlev A. Quickest disorder detection problem with
sequential hypothesis testing.
14.00-14.45 Choulli T. Hellinger process for supermartingale
deflators
with application in utility maximization.
14.45-15.15 Engelbert H.J. On the predictable representation prop-
erty of certain families of square integrable martingales.
15.15-15.45 Di Tella P. Representation of martingales of the natural
 filtration of a Levy process.
15.45-16.15 Galtchouk L. On martingales of independent increments
processes.
Coffee break

16.45-17.10 Herdegen M. A class of strict local martingales.
17.10-17.35 Herrmann S. Optimal investment in a Black-Scholes model
with a bubble.
17.35-18.00 Kallblad S. Ambiguity averse portfolio optimization with
quasiconcave utility functionals.
Coffee break

18.15-18.40 Mezghani H. Maximization of recursive utilities under
convex portfolio constraints.
18.40-19.05 Pergamenchtchikov S. Optimal investment with bounded
VaR for power utility functions.
19.05-19.30 Palamarchuk E. Long-term impacts of average optimal
policies in linear control systems under general time preference.

Tuesday, 14.01

9.00-9.45 Ortega J.-P. Option pricing and hedging with heteroscedas-
tic underlying price processes. Discrete and continuous time approaches.
9.45-10.15 Guegan D. A quantitative finance and actuarial framework
for risk management.
10.15-10.45 Schmutz M. Risk based solvency frameworks and result-
ing modeling challenges.
Coffee break

11.05-11.35 Grigoryeva L. Estimation and empirical performance of
non-scalar dynamic conditional correlation (DCC) models.
11.35.-12.00 Peresetsky A. Extracting global stochastic trend from
non-synchronous data.
12.05-12.30 Fukasawa M. Whittle likelihood for high frequency data.


14.00-14.45 Platen E. The affine nature of aggregate wealth dynamics.
14.45-15.15 Saussereau B. Nonparametric inference for fractional dif-
fusion.
15.15-15.45 Maliutov M. Time series homogeneity test via VLMC
training.
15.45-16.15 Kleptsyna M. Mixed fractional Brownian motion: the
 filtering perspective.
Coffee break

16.45-17.10 Gushchin A. A characterization of minimax tests with
applications to efficient partial hedging.
17.10-17.35 Burnaev E. Monitoring of financial indexes volatility based
on the Haar approximation.
17.35-18.00 Martynov G. Gaussianity test for random processes.
Coffee break

18.15-18.40 Vaicenavicius J. Bayesian sequential testing of the sign of
a drift.
18.40-19.05 Novikov A., Kordzahia N. Lower and upper bounds for
options on VWAP.
19.05-19.30 Ellanskaya A. On some examples of the indifference pric-
ing of exponential semimartingale models with random factor.

Wednesday, 15.01

14.00-14.45 Teichmann J. An L^0-interpretation of Burkholder-Davis-
Gundy inequalities and a proof alternative for the fundamental theorem
of asset pricing.
14.45-15.15 Pham H. Randomization approach and backward SDE
representation for optimal control of non-Markovian SDEs.
15.15-15.45 Matoussi A. TBA.
15.45-16.15 Elie R. TBA.
Coffee break

16.45-17.10 Kruse T. Optimal trade execution and BSDEs with sin-
gular terminal condition.
17.10-17.35 Mastrolia T. Density analysis of BSDEs.
17.35-18.00 Abakirova A. On approximation of the backward stochas-
tic differential equation: large samples.
Coffee break

18.15-18.40 Larsson M. Existence and uniqueness of polynomial pre-
serving diffusions.
18.40-19.05 Pulido S. Approximation of polynomial processes with
 finite-state Markov processes.
19.05-19.30 Leniec M. Inverse first passage problem in credit risk.

Thursday, 16.01

9.00-9.45 Grasselli M. The macroeconomic consequences of private
debt.
9.45-10.15 Minca A. Systemic risk.
10.15-10.45 Amini H. Default cascade in financial networks.
Coffee break

11.05-11.30 Choi Youngna. Financial instability contagion: a dynam-
ical system approach.
11.30.-12.00
12.05-12.30
14.00-14.45 Suzuki T. Optimal subsidy allocation to banks under 
financial crisis.
14.45-15.15 Royer G. General indifference pricing with small transac-
tion costs.
15.15-15.45 Nguyen Huu Thai. Approximate hedging with propor-
tional transaction costs for multi-asset options.
15.45-16.15 Grepat J. On convergence of hedging sets under small
transaction costs.
Coffee break

16.45-17.10 Runggaldier W. On multicurve models for the term struc-
ture.
17.10-17.35 Cuchiero C. An HJM approach for multiple yield curves.
17.35-18.00
Coffee break

18.15-18.40 Sah N. Price impact and market indifference pricing with
power utilities.
18.40-19.05
19.05-19.30

Friday, 17.01

9.00-9.45 Touzi N. Path-dependent PDEs.
9.45-10.15 Vostrikova L. Pricing and hedging of exponential semi-
martingale models with additional information.
10.15-10.45 Danilova A. Understanding stochastic volatility in finan-
cial markets.
Coffee break

11.05-11.35 Molchanov I. Risk measures in the multiasset setting.
11.35.-12.05 Douadi R. Procyclicality issues with Basel III regulatory framework.


14.00-14.45 Zervos M. A zero-sum game between a singular stochastic
controller and a discretionary stopper.
14.45-15.15 Corcuera J.M. A continuous auction model with insiders
and random time of information release.
15.15-15.45 Schweizer M. Some new ideas on bubbles.
15.45-16.15 Mishura Y. The rate of convergence of option prices under
diusion approximation.
Coffee break

16.45-17.10 Sikic M. On no-arbitrage conditions and portfolio opti-
mization in discrete time market models.
17.10-17.35 Kreinin A. On simulation of multivariate Poisson pro-
cesses and their generalizations.
17.35-18.00 Urusov M. Processes that can be embedded in a geometric
Brownian motion.
Coffee break

18.15-18.40
18.40-19.05
19.05-19.30

Saturday, 13.01

9.00-9.45 Hinz J. Duality bounds for convex switching problems.
9.45-10.15 Sonin I. TBA.
10.15-10.45 Aboura S. Are banks firms? The Modigliani-Miller theo-
rem revisited.
Coffee break
11.05-11.35 Owari K. On a convex duality method under model un-
certainty.
11.35.-12.05 Zhitlukhin M. TBA.
12.05-12.35 Lepinette E. TBA.