Organization of Conferences
The Bachelier Colloquium in Mathematical Finance,
Besançon, 2931.03 2000. Coorganizers: J.M. Courtault,
Ch. Stricker.
The 2nd Bachelier Colloquium in Stochastic Calculus and Mathematical Finance, Metabief, 916.01 2005.
Coorganizers: J.M. Courtault, Ch. Stricker. webpages
The 3rd Bachelier Colloquium in Stochastic Calculus and Mathematical Finance, Metabief, 916.01 2008.
Coorganizers: J.M. Courtault, Ch. Stricker.
webpages
The 4th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 2431.01 2010.
Coorganizers: B. Andreianov, U. Franz.
webpages
The 5th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1623.01 2011.
Coorganizers: B. Andreianov, J. Grépat, J.P.Ortega.
webpages
The 6th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1522.01 2012.
Coorganizers: J. Grépat, J.P.Ortega.
webpages
The 7th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1320.01 2013.
Coorganizers: J. Grépat, J.P.Ortega, D.Varron.
webpages
The 8th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1218.01 2014.
Coorganizers: J. Grépat, L. Grigorieva, J.P.Ortega.
webpages
The First Bachelier Winter School in Mathematical
Finance, Metabief, 1926.01 2014.
Coorganizers: J. Grépat, L. Grigorieva, J.P.Ortega.
webpages
International conference "Stochastic calculus, Martingales, and Financial Modeling", Pushkin, 29.0606.07 2014.
Coorganizers: Albert Shiryaev, Vladimir Spokoiny.
webpages
Summer School in Mathematical Finance, Pushkin, 03.0710.07 2014.
webpages
International conference "Science of the Future", St. Petersburg, 17.0920.09 2014.
Member of the Program Committee, Chairman of section "Mathematics".
webpages
International conference "Stochastics. Statistics. Financial mathematics", Moscow, 13.1015.10 2014.
Coorganizer: Mikhail Zhitlukhin.
webpages
The 9th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1118.01 2015.
Coorganizers: J. Grépat, L. Grigorieva, J.P.Ortega.
webpages
The 10th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1724.01 2016.
Coorganizers: E. Lépinette, J.P.Ortega.
webpages
The 11th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1621.01 2017.
Coorganizers: E. Lépinette, J.P.Ortega.
webpages
Winter School on Systemic Risk, The Bernoulli Center (CIB), EPFL, Lausanne, 0913.01 2017.
webpages
Thematic semester
"Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences", The Bernoulli Center (CIB), EPFL, Lausanne, 01.0130.06 2017.
Coorganizers: Luc Bauwens (Université catholique de Louvain), JuanPablo Ortega (Universitaet St. Gallen),
webpages
"Asymptotic Statistics of Stochastic Processes and Applications XI".
Peterhof, July 1721, 2017.
Coorganizers: Yu. Kutoyants, N.Yoshida, A. Shiryaev.
webpages
The 12th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 1520.01 2018.
Coorganizer: E. Lépinette.
webpages
The 13th Bachelier Colloquium in Stochastic Calculus and Mathematical
Finance, Metabief, 0712.01 2019.
Coorganizer: E. Lépinette.
Talks
19961999
1. Conference
in Honor of Oliviero Lessi. Padua,
25  26 March 1996.
On some models of mathematical finance.
2. Conference on Mathematical
Finance. Aarhus,
38 June 1996.
1. Mathematical theory of large financial markets.
2. On Leland's strategy of option pricing with transaction
costs.
3. Minisymposium on Mathematical
Finance. Ascona,
2021 September 1996.
On Leland's strategy of option pricing with transaction costs.
4. Workshop Mathematical Finance
and Applications.
Berlin, 24 October 1996.
Optional decomposition and Lagrange multipliers.
5. III Italian Conference on
Mathematical Finance.
Trento, 26  30 May 1997.
On the Fundamental Theorem of Asset Pricing.
6. Stochastic Analysis in Finance
and Insurance. Mathematisches Forschungsinstitut Oberwolfach,
14  20 September 1997.
Hedging and liquidation under transaction costs.
7. Statistical Inference for
Stochastic Processes, Paderborn, 23  26 April 1998.
Mathematical modeling of financial markets with transaction
costs.
8. Quantitative Methods in Finance,
Sydney,
14  17 December 1998.
Hedging in a model with transaction costs.
9. Statistics of Stochastic
Processes, Freiburg,
27  29 May 1999.
The HarrisonPliska theorem under transaction costs.
10. International Conference
on Mathematical Finance.
Hammamet, Tunisia, 1418 June 1999.
Criteria of nonarbitrage under transaction costs.
11. The 5th JAFEE International
Conference, Tokyo,
28  29 August 1999.
Models with transaction costs: criteria of noarbitrage
and hedging theorems.
12. Workshop on Mathematical
Finance,
Strobl  Vienna, 13  18 September 1999.
Continuoustime models of security markets with transaction
costs.
20002017
13. Pricing
and Managing Financial Assets in International Capital Markets,
Le Mans, 1415 January 2000.
The HarrisonPliska arbitrage pricing theorem under
transaction costs.
14. AMS Scand 2000, Odense,
1316 June 2000,
Models with transaction costs: criteria of noarbitrage.
15. The 1st World Congress of
the Bachelier Finance Society, Paris, 28.06 01.07
2000.
The HarrisonPliska arbitrage pricing theorem under
transaction costs.
16. Risk Management, Modeling
and Numerical Methods. UCLA, Institute of Pure and
Applied Mathematics,
Los Angeles, 312 January 2001.
Aspects of arbitrage theory.
17. International Finance Conference,
HammamSousse,
Port el Kantaoui, Tunisie, 1517 March 2001.
General theory of market with transaction costs.
18. Infinite Dimensional Models
in Mathematical Finance,
Warwick, 2226 Mai 2001.
Lecture 1. Portfolios on HJM bond markets
Lecture 2. General theory of markets with transaction costs.
19. Lectures on Mathematical
Finance, University Roma Tre, 0102.06 June 2001.
Models with transaction costs.
20. Erlangen, Muenchner Tag
der Stochastik, Erlangen,
13 July 2001.
Convex duality methods in portfolio optimization.
21. Hellinger integrals and
processes, University of Helsinki, 0609 September
2001.
Hellinger processes in mathematical finance.
22. Workshop on Stochastic Control
and Its Applications
in Insurance. University of Karlsruhe, 0708 December
2001.
Portfolio optimization under transaction costs.
23. Miniworkshop on Stochastic
Analysis,
University of Jena, 1718.01.2002.
Recent progress in the theory markets with transaction costs.
24. International Symposium
on Stochastic Processes and Applications to Mathematical Finance,
Ritsumeikan University, Kusatsu, Japan, 2002.
Hedging of contingent claims under transaction costs.
25. The 2ndWorld Congress of
the Bachelier Finance Society, Agia Pelagia, Greece,
12.0615.06 2002.
To a theory of financial markets with friction.
26. The 2nd EuroJapanese Workshop
on Stochastic Modelling for Finance, Insurance, Production
and Reliability. Chamonix, September 1820 2002.
Portfolio selection problem under transaction costs.
27. Rencontre nancéenne
de probabilités. Nancy,
1820.11.2002.
On the HJB equation in a model with transaction costs.
28. Stochastic Analysis in Finance
and Insurance.
Mathematisches Forschungsinstitut Oberwolfach,
02.0308.03.2003.
Portfolio choice under transaction costs.
29. Seminar on Mathematical
Finance. Osaka, 12.07.2003.
Recent progress in noarbitrage criteria.
30. EMS Math Weekend,
Lisbon, 12.0915.09 2003.
News from the arbitrage theory.
31. Stochastic Finance,
Lisbon, 26.0901.10 2004.
HJB equations in the theory of financial markets with
transaction costs.
32. 2005 Daiwa International
Workshop on Financial Engineering, Tokyo, 2122.07
 Kyoto, 2526.04 2005.
Recent development in the theory of financial markets with
transaction costs.
33. Minisymposium on Financial
Engineering, Kyoto University, 02.08.2005.
Noarbitrage conditions under transaction costs.
34. Symposium on Optimal Stopping
with Applications,
University of Manchester, 2327.01.2006.
Subtleties in the theory of financial markets with transaction
costs.
35. Journées de probabilités,
1822.09 2006, CIRM,
Marseille, Luminy.
Mean square error for the LelandLott hedging strategy.
36. Advances in Mathematics
of Finance.
Second General AMAMEF and Banach Center Conference,
Bedlewo, 30.0405.05.2007.
A survey of recent results in models with transaction costs.
37. Stochastic Processes Theory and Applications,
Bressanone, 1620 July 2007.
Mathematical theory of financial markets with transaction costs.
38. Stochastic Analysis in Finance and Insurance.
Oberwolfach, 27.0102.02.2008,
Hedging of American options under transaction costs.
39. 2008 Daiwa International Workshop on Financial Engineering.
Tokyo, 56 August 2008.
Hedging of European and American options under transaction costs.
40. Workshop on Finance and Related Mathematical and Statistical Issues.
September 36, 2008, Kyoto. Hedging of American options under transaction costs.
41. Workshop "Finance and Insurance".
March 1620, 2009, Jena. Hedging of American options under transaction costs.
42. Congress "Stochastic Analysis for and from Finance" (SAFFF).
August 37, 2009, Kyoto. Consistent price systems and
arbitrage opportunities of the second kind in models with transaction costs.
43. Workshop "Mathematical Finance and Related Topics in Economics and Engineering".
August 1315, 2009, Kyoto. Approximate hedging under transaction costs.
44. The 4th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance, Métabief, 2431.01 2010.
Consumptioninvestment problem with transaction costs with Lévydriven price processes.
45. Workshop "Stochastic Control in Finance".
Roscoff (France), March 718, 2010. No free lunch of the second kind.
46. International Conference DynStoch Meeting 2010. Angers 16 รณ 19 June, 2010.
Small transaction costs, absence of arbitrage and consistent price systems.
47. KIERTMU International Workshop on Financial Engineering 2010.
Tokyo, August 25, 2010.
Small transaction costs, absence of arbitrage and consistent price systems.
48. ParisDauphine workshop "Markets with frictions:
transaction costs and liquidity risk".
Paris, IHP, September 1417, 2010.
a. Superhedging of options under transaction costs.
b. Consumptioninvestment problem with transaction costs
for Lévydriven price processes.
49. "Visions in Stochastics (Leaders and their Pupils)".
Steklov Mathematical Institute, Moscow, November 13, 2010.
Mathematical finance and mathematics from finance.
50. Workshop "Stochastic Analysis in Finance and Insurance".
Mathematisches Forschungsinstitut Oberwolfach, January 2329, 2011.
Minipresentation of recent results.
51. Spring School "Stochastic Models in Finance and Insurance".
March 21  April 1, 2011, Jena.
No arbitrage under small transaction costs.
52. "Recent Development in Mathematical Finance".
Conference in honor of 60th anniversary of Tomas Björk.
Royal Institute of Technology, Stockholm, May 9  10, 2011.
No arbitrage under small transaction costs.
53. "Seventh Seminar on Stochastic Analysis, Random Fields and Applications".
Centro Stefano Franscini, Ascona. May 23  May 27, 2011.
On local martingale deflators: the Kardaras theorem.
54. "11th Winter school on Mathematical Finance".
Lunteren, The Netherlands. January 23  25, 2012.
On local martingale deflators and market portfolios.
55.
Workshop "Financial Risk Menagement and New Developments in Financial Theory".
Hokkaido University, Sapporo, Japan.
February 1314, 2012.
On local martingale deflators and market portfolios.
56.
"Set Optimization Meets Finance".
International MiniConference on
SetValued Variational Analysis and Optimization with Applications in Finance.
Lutherstadt Wittenberg (Germany), August 1619, 2012.
Essential Supremum and Essential Maximum
with Respect to Random Preference Relations.
57.
"Perspectives in Analysis and Probability". Conference in Honor of Freddy Delbaen.
Zurich, September, 2428, 2012.
Essential Supremum and Essential Maximum
with Respect to Random Preference Relations.
58.
"Winter Workshop on Finance".
Hokkaido University, Sapporo, Japan.
February 1819, 2013.
Essential Supremum and Essential Maximum
with Respect to Random Preference Relations with Financial Applications.
59.
"Asymptotical Statistics of Stochastic Processes IX".
Université du Maine, Le Mans, 1114 March, 2013.
Essential Supremum and Essential Maximum
with Respect to Random Preference Relations.
60. "Advanced Finance and Stochastics".
Steklov Mathematical Institute, Moscow, June 2428, 2013.
On Essential Supremum and Essential Maximum with Respect to Random Partial Orders with Applications to Hedging.
61. "Modern Problems of Mathematical Finance".
Higher School of Economics, Pushkin, November 28December 1, 2013.
On Local Martingale Deflators and Market Portfolios.
62.
"Winter Workshop on Finance".
Hokkaido University, Sapporo, Japan.
February 1617, 2014.
No Asymptotic Arbitrage of the 1st Kind and Market Portfolios.
63.
"International Conference on Portfolio Selection and Asset
Pricing in Financial Markets".
Kyoto University, Japan.
March 2829, 2014.
Local Martingale and
Supermartingale Numeraire Portfolios.
64.
" XV April International Academic Conference on Economic and Social Development".
Higher School of Economics, Moscow.
April 14, 2014.
Mathematical Theories of Option Pricing.
65. Workshop "Stochastic Analysis in Finance and Insurance".
Mathematisches Forschungsinstitut Oberwolfach, May 59, 2014.
On Traded Local Martingale Deflators.
66. Workshop "Contemporary Topics in Actuarial Sciences".
Besançon, June 46, 2014.
In the Life Insurance Business Risky Investments are Dangerous.
67. Workshop "Stochastic Analysis for Risk Modelling".
CIRM, Marseille, September 812, 2014.
Actuarial Problems in Financial Environment.
68. International conference "Science of the Future".
St. Petersburg, 17.0920.09 2014.
Stochastic Deflators and Market Portfolios .
69. International conference "Stochastics. Statistics. Financial mathematics".
Moscow, 13.1015.10 2014.
Absolute Continuity of Measures, The Girsanov Theorem, and
Hellinger Processes .
70. International workshop "Stochastic Analysis, Controlled Dynamical Systems and
Applications".
Jena, March 913, 2015.
On the Asymptotic of Ruin Probability with Risky Investments.
71. "The Second International Conference on Mathematics and Statistics (AUSICMS'15)",
Sharjah, April 25, 2015.
In the Life Insurance Business Risky Investments are Dangerous.
72. "Statistics & Computational Finance",
Lisbon, July 610, 2015.
Ruin Probabilities: Equations and Asymptotics.
73. Workshop on "Decision Theory in Mathematical Finance" in honour of Professor Freddy Delbaen,
Brussels, October 9, 2015.
Local Martingale Deflators and Asymptotic Arbitrage.
74. Workshop "A.N. Shiryaev and contemporary probability theory".
Angers, November 30December 2, 2015.
No Arbitrage and Local Martingale Deflators.
On One Application of the ChernyShiryaev Criterion of Stochastic Integrability.
75. "Winter Workshop on Operations Research, Finance and Mathematics".
Sahoro, Hokkaido.
February 1419, 2016.
Ruin Probabilities in Models with Negative Risk Sums.
76. Workshop on Operations Research and Finance, 2016.
Hakodate, Hokkaido.
June 78, 2016.
Clearing in Financial Networks.
77. "9th European Summer School in Financial Mathematics".
Pushkin,
August 29  September 2, 2016.
Clearing in Financial Networks.
78. Workshop "Advances in Statistics for Random Processes".
Le Mans,
September 69, 2016.
Clearing.
79. The Third Russian Economic Congress.
Moscow,
December 1923, 2016.
Mathematics of systemic risk.
80. "Advances in Financial Mathematics".
Paris,
January 1013, 2017.
Clearing in financial networks.
81. The 11th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance.
Métabief, 1621.01, 2017.
The ruin problem for Lévydriven linear stochastic equations.
82. Winter Workshop on Operations Research, Finance and Mathematics, 2017.
Jozankei, Sapporo, Hokkaido.
February 2024, 2017.
a. Asymptotics of ruin probabilities with investments in a risky asset with price given by a geometric Lévy process.
b. Solving clearing and Bellman Equations.
83. The 2nd NUSNCPC Workshop on Chalenges in Financial Risk Control.
Singapore, April 1112, 2017.
No arbitrage and local martingale deflators.
84.
International conference
"Asymptotic Statistics of Stochastic Processes and Applications XI".
Peterhof, July 1721, 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.
85. "SPA 2017".
Moscow, July 2428 2017.
The ruin problem for Lévydriven linear stochastic equations with applications to actuarial models with
investments.
86. "The 2nd International Conference on Computational Finance".
Lisbon,
September 48, 2017.
Clearing in financial networks.
87. Workshop "Stochastic control, BSDEs and new developments".
Roscoff, September 1115 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.
88. MATRIX program conference "Mathematics of Risk".
Creswick, Australia, November 27December 1 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.
89. UNSWMacquarie University Workshop
"Risk: Modeling, Optimization, and Inference".
Sydney, December 67 2017.
Financial markets with small transaction costs.
90. Conference "Quantitative Methods in Finance QMF2017".
Sydney, Australia, December 1215 2017.
Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process.
91. The 12th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance.
Métabief, 1520.01, 2018.
Ruin probabilities with investments via implicit
renewal theory.
92. The
3rd International Conference on Stochastic Methods.
Divnomorskoe, 0309.06, 2018.
On a multiasset version on the Kusuoka limit
theorem of option superreplication under
transaction costs.
93. Advanced Methods in Mathematical Finance.
Angers, 2831.08. 2018.
On sets of laws of continuous martingales.
94. Innovative Research in Mathematical Finance.
Marseille, CIRM, 0307.09. 2018.
On a multiasset version on the Kusuoka limit
theorem of option superreplication under
transaction costs.

