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Mathematical Finance and Stochastic Calculus

Participants and suggested talks of the 14th Bachelier Colloquium:

Belmesnaoui Aqzzouz, University Mohammed V of Rabat, Morocco.
On general equilibrium in a financial market model whose commodity space is the portfolio space.

Cagin Ararat, Bilkent University, Turkey.
Set-valued backward stochastic differential equations.

Dirk Becherer, Humboldt University Berlin, Germany.
Optimal execution with a view on price trends for transient multiplicative impact.

Yana Belopolskaya, SPbGASU, PDMI RAS, St. Pteresburg, Russia.
Probabilistic interpretation of parabolic conservation laws.

Elena Boguslavskaya, Brunel University, London, England.
Portfolio optimisation with multiple mean-reversion.

Svetlana Borovkova, Vrije Universiteit Amsterdam, Netherlands.
Special session: Learning with sentiment: machine learning with news and social media sentiment for equity market investment and trading.

Evgeny Burnaev, Skolkovo Institute of Science and Technology, Moscow, Russia.
Special session: Financial time series analysis of SV model by deep Monte Carlo.

Zeyu Cao, Stony Brook University University, USA.
SABR type stochastic volatility operator in Hilbert space.

Laurence Carassus, PLV research center, Paris, France.
Risk-neutral pricing for arbitrage pricing theory.

Tahir Choulli, University of Alberta, Canada.
NFLVR and optimal consumption under arbitrary random time.

Stephane Crepey, Evry University, France.
Special Session: Deep XVA analysis.

Moussa Dabo, Université Paris 1 - Panthéon Sorbonne, France.
The CMMV pricing model in practice.

Albina Danilova, London School of Economics, England.
Risk aversion of market makers and asymmetric information.

Davide De Santis, LSE, London, England.
Zero-sum stochastic differential games with impulse controls: a stochastic Perron's method approach.

Thomas Deschatre, EDF Lab, France.
Special session: Deep combinatorial optimization for stochastic control in finance - Application to american options and fixed transation costs.

Ernst Eberlein, University of Freiburg, Germany.
A Multiple curve Lévy swap market model.

Sergei Egorov, Rouen University, France.
Optimal investment and consumption problem for Lévy markets with transaction costs.

Meriam El Mansour, Paris Dauphine University and Faculty of Sciences of Tunis, Tunisia.
Conditional interior and conditional closure of a random set.

Eugene A. Feinberg, Stony Brook University, USA.
Special session: Fatou's lemmas for varying probabilities and their applications to sequential decision making.

Miryana Grigorova, University of Leeds, England.
Non linear incomplete market with default: the case of American options.

Nikolay Gudkov, ETH Zurich, Switzerland.
Application of power series approximation techniques to the pricing and hedging of European style options.

Alexander Gushchin, Steklov Mathematical institute, Federal Russian Republic.
Single jump filtrations and local martingales.

Said Hamadem, Le Mans University, France.
Mean-field reflected backward stochastic differential equations.

Andreas Hamel, Free University of Bozen-Bolzano, Italy.
Multi-utility maximization: why, when and how?

Philipp Harms, Freiburg University, Germany.
Term structure modelling using cylindrical measure-valued processes.

Emma Hubert, Paris-Est Marne-la-Vallée University, France. Hierarchical principal–agent problems.

Alex Kalinin, LMU Munich, Germany.
Support characterization for regular path-dependent stochastic Volterra integral equations.

Wahid Khosrawi-Sardroudi, ETH Zurich, Switzerland.
Special session: Efficient computation of confidence bounds for neural network regression.

Patrice Kiener, InModelia, France.
Special session: On neural networks of perceptron type.

Matti Kiiski, University of Mannheim, Germany.
Pathwise hedging-pricing duality on the Skorokhod space.

Nino Kordzakhia, Macquarie University, Australia.
First passage time distributions for Brownian motion via integral equations.

Anastasis Kratsios, ETH Zurich, Switzerland.
Special session: Deep learning in a generalized HJM-type framework through arbitrage-free regularization.

Christoph Kuhn, University of Frankfurt, Germany.
Semimartingale price systems in models with transaction costs beyond efficient friction.

Yuri Kutoyants, Le Mans University, France.
Statistical inference for SDE with delays.

Houzhi Li, Paris Diderot University, France.
Modeling the market by weights.

Andrew Lyasoff, Boston University, USA.
Incomplete-market equilibria with a large number of heterogeneous households and their connection with discrete mean field games and control.

Gennady Martynov, IITP RAS, Moscow, Russia.
One method for using of the Cramér-von Mises test with estimated parameters.

Jean-Marc Mercier, MPG Partners, France.
The transport-based meshfree method (TMM) and its applications in finance: a review.

Enzo Miller, Paris 7 University, France.
Linear-quadratic control problems for a class of stochastic Volterra equations of convolution type.

Ludger Overbeck, University of Giessen, Germany.
Systemic risk and capital allocation.

Ilya Pavlyukevich, Friedrich Schiller University Jena, Germany.
Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise.

Teemu Pennanen, King's College London, England.
Special session: Information-based complexity in stochastic optimization.

Dylan Possamai, Colombia University, USA.
Contract theory for time-inconsistent agents.

Thorsten Schmidt, Freiburg University, Germany.
No arbitrage in insurance.

Makoto Shimoshimizu, Osaka University, Japan.
Optimal execution strategies with generalized price impacts in a continuous-time setting.

Josef Teichmann, ETH Zurich, Switzerland.

Laura Tinsi, Crest ENSAE/EDF, France.
Price formation and optimal trading in intraday electricity markets.

Mehdi Tomas, Ecole polytechnique, France.
Multivariate rough volatility and cross impact.

Lioudmila Vostrikova, Larema, Angers University, France.
Life insurance of the euro-denominated contracts.

Mikhail Zhitlukhin, Steklov Mathematical Institute, Moscow,
Growth optimal strategies in a game model of a market.

Tan Xiaolu, Chinese University of Hong Kong, Republic of China.
Dynamic programming of the McKean-Vlasov optimal control problem.

Peng Wu, Paris-Dauphine University, PSL, France.
Queue-reactive Hawkes model for the order flow.





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