Mathematical Finance and Stochastic Calculus
PROGRAM, 1319.01.2014
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Monday, 13.01
8.008.45 In memoriam of Marc Yor (July 24, 1949 January 10, 2014).
9.009.45 Eberlein E. Levy driven two price valuation with applica
tions to longdated contracts.
9.4510.15 Shiryaev A. Jump processes: compensators and the Kol
mogorov equations.
10.1510.45 Pavlov I. Theorems on deformed martingales and their
application to financial mathematics.
Coffee break
11.0511.35 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.
12.0512.30 Muravlev A. Quickest disorder detection problem with
sequential hypothesis testing.
14.0014.45 Choulli T. Hellinger process for supermartingale
deflators
with application in utility maximization.
14.4515.15 Engelbert H.J. On the predictable representation prop
erty of certain families of square integrable martingales.
15.1515.45 Di Tella P. Representation of martingales of the natural
filtration of a Levy process.
15.4516.15 Galtchouk L. On martingales of independent increments
processes.
Coffee break
16.4517.10 Herdegen M. A class of strict local martingales.
17.1017.35 Herrmann S. Optimal investment in a BlackScholes model
with a bubble.
17.3518.00 Kallblad S. Ambiguity averse portfolio optimization with
quasiconcave utility functionals.
Coffee break
18.1518.40 Mezghani H. Maximization of recursive utilities under
convex portfolio constraints.
18.4019.05 Pergamenchtchikov S. Optimal investment with bounded
VaR for power utility functions.
19.0519.30 Palamarchuk E. Longterm impacts of average optimal
policies in linear control systems under general time preference.
Tuesday, 14.01
9.009.45 Ortega J.P. Option pricing and hedging with heteroscedas
tic underlying price processes. Discrete and continuous time approaches.
9.4510.15 Guegan D. A quantitative finance and actuarial framework
for risk management.
10.1510.45 Schmutz M. Risk based solvency frameworks and result
ing modeling challenges.
Coffee break
11.0511.35 Grigoryeva L. Estimation and empirical performance of
nonscalar dynamic conditional correlation (DCC) models.
11.35.12.00 Peresetsky A. Extracting global stochastic trend from
nonsynchronous data.
12.0512.30 Fukasawa M. Whittle likelihood for high frequency data.
14.0014.45 Platen E. The affine nature of aggregate wealth dynamics.
14.4515.15 Saussereau B. Nonparametric inference for fractional dif
fusion.
15.1515.45 Maliutov M. Time series homogeneity test via VLMC
training.
15.4516.15 Kleptsyna M. Mixed fractional Brownian motion: the
filtering perspective.
Coffee break
16.4517.10 Gushchin A. A characterization of minimax tests with
applications to efficient partial hedging.
17.1017.35 Burnaev E. Monitoring of financial indexes volatility based
on the Haar approximation.
17.3518.00 Martynov G. Gaussianity test for random processes.
Coffee break
18.1518.40 Vaicenavicius J. Bayesian sequential testing of the sign of
a drift.
18.4019.05 Novikov A., Kordzahia N. Lower and upper bounds for
options on VWAP.
19.0519.30 Ellanskaya A. On some examples of the indifference pric
ing of exponential semimartingale models with random factor.
Wednesday, 15.01
14.0014.45 Teichmann J. An L^0interpretation of BurkholderDavis
Gundy inequalities and a proof alternative for the fundamental theorem
of asset pricing.
14.4515.15 Pham H. Randomization approach and backward SDE
representation for optimal control of nonMarkovian SDEs.
15.1515.45 Matoussi A. TBA.
15.4516.15 Elie R. TBA.
Coffee break
16.4517.10 Kruse T. Optimal trade execution and BSDEs with sin
gular terminal condition.
17.1017.35 Mastrolia T. Density analysis of BSDEs.
17.3518.00 Abakirova A. On approximation of the backward stochas
tic differential equation: large samples.
Coffee break
18.1518.40 Larsson M. Existence and uniqueness of polynomial pre
serving diffusions.
18.4019.05 Pulido S. Approximation of polynomial processes with
finitestate Markov processes.
19.0519.30 Leniec M. Inverse first passage problem in credit risk.
Thursday, 16.01
9.009.45 Grasselli M. The macroeconomic consequences of private
debt.
9.4510.15 Minca A. Systemic risk.
10.1510.45 Amini H. Default cascade in financial networks.
Coffee break
11.0511.30 Choi Youngna. Financial instability contagion: a dynam
ical system approach.
11.30.12.00
12.0512.30
14.0014.45 Suzuki T. Optimal subsidy allocation to banks under
financial crisis.
14.4515.15 Royer G. General indifference pricing with small transac
tion costs.
15.1515.45 Nguyen Huu Thai. Approximate hedging with propor
tional transaction costs for multiasset options.
15.4516.15 Grepat J. On convergence of hedging sets under small
transaction costs.
Coffee break
16.4517.10 Runggaldier W. On multicurve models for the term struc
ture.
17.1017.35 Cuchiero C. An HJM approach for multiple yield curves.
17.3518.00
Coffee break
18.1518.40 Sah N. Price impact and market
indifference pricing with
power utilities.
18.4019.05
19.0519.30
Friday, 17.01
9.009.45 Touzi N. Pathdependent PDEs.
9.4510.15 Vostrikova L. Pricing and hedging of exponential semi
martingale models with additional information.
10.1510.45 Danilova A. Understanding stochastic volatility in finan
cial markets.
Coffee break
11.0511.35 Molchanov I. Risk measures in the multiasset setting.
11.35.12.05 Douadi R. Procyclicality issues with Basel III regulatory framework.
14.0014.45 Zervos M. A zerosum game between a singular stochastic
controller and a discretionary stopper.
14.4515.15 Corcuera J.M. A continuous auction model with insiders
and random time of information release.
15.1515.45 Schweizer M. Some new ideas on bubbles.
15.4516.15 Mishura Y. The rate of convergence of option prices under
diusion approximation.
Coffee break
16.4517.10 Sikic M. On noarbitrage conditions and portfolio opti
mization in discrete time market models.
17.1017.35 Kreinin A. On simulation of multivariate Poisson pro
cesses and their generalizations.
17.3518.00 Urusov M. Processes that can be embedded in a geometric
Brownian motion.
Coffee break
18.1518.40
18.4019.05
19.0519.30
Saturday, 13.01
9.009.45 Hinz J. Duality bounds for convex switching problems.
9.4510.15 Sonin I. TBA.
10.1510.45 Aboura S. Are banks firms? The ModiglianiMiller theo
rem revisited.
Coffee break
11.0511.35 Owari K. On a convex duality method under model un
certainty.
11.35.12.05 Zhitlukhin M. TBA.
12.0512.35 Lepinette E. TBA.
