|
Workshop Programme |
| Wednesday, January 7th | |
| 19:00- ... | Informal 'get together' at Café Orange, Oranienburger Str. 32, Mitte (walking distance from the guest house) |
|
Thursday, January 8th Lecture Hall 0'310 of Erwin-Schrödinger-Zentrum, Adlershof |
|
| 12:00-13:30 | Registration at Conference
Office Room 201, 2nd floor, Department of Mathematics, Rudower Chaussée 25 (Point 9 in this map) |
| 13:30-14:30 | David Hobson Option pricing in Stochastic Volatility Models |
| 14:30-15:00 | Nicolas
Victoir Cubature on Wiener Space and Asymmetric Cubature Formulae ... |
| Coffee Break | |
| 15:30-16:00 | Imen Ben
Tahar Modeling Continuous-Time Financial Markets with Capital Gains Taxes |
| 16:00-16:30 | Guillaume
Lassere Equilibrium with Anticipation in a Financial Market |
|
Coffee Break |
|
| 17:00-17:30 | Asma Meziou Constrained Optimization with Respect to Stochastic Ordering |
| 17:30-18:00 | Thorsten
Rheinländer Arbitrage in Diverse Markets |
|
Friday, January 9th Lecture Hall 0'310 of Erwin-Schrödinger-Zentrum, Adlershof |
|
| 09:00-09:30 | Luciano
Campi Some Results on Quadratric Hedging with Insider Trading |
| 09:30-10:00 | Sara Biagini On the super replication price of unbounded claims |
| Coffee Break | |
| 10:30-11:00 | Giacomo
Scandolo Risk Measures for Processes |
| 11:00-11:30 | Stefan Weber Distribution-Invariant Dynamic Risk Measures |
| Coffee Break | |
| 12:00-13:00 | Thaleia
Zariphopoulou Portfolio decisions in incomplete markets |
|
Lunch Break |
|
| 14:30-15:00 | Josef
Teichmann Hypoellipticity in infinite dimensions and application to interest rate theory |
| Coffee Break | |
| 15:30-16:00 | Martijn
Pistorius Russian and American Put Options under Exponential Phase-Type Levy Models |
| 16:00-16:30 | Christoph
Kühn Pricing Derivatives of American and Game Type |
|
Coffee Break |
|
| 17:00-18:00 | Martin
Schweizer Mean-variance hedging and stochastic control |
|
Transfer to |
|
| 20:00- ... | Conference Dinner at Mirchi
(Singapore Restaurant) Oranienburger Str. 50, Mitte |
|
Saturday, January 10th Lecture Hall 2097 in the main building of Humboldt University, Mitte |
|
| 08:30-09:00 | Pauline
Barrieu Optimal Derivatives Design and Diversification in Financial Market with non-tradable risk |
| 09:00-09:30 | Dirk
Becherer |
| 09:30-10:00 | Anne Gundel Robust Utility Maximization for Complete and Incomplete Market Models |
| Coffee Break | |
| 10:30-11:00 | Aytac Ilhan Optimal Static-Dynamic Hedges for Barrier Options |
| 11:00-11:30 | Matthias
Müller Partial Equilibrium and Market Completion |
| Coffee Break | |
| 12:00-13:00 | Wolfgang
Schmidt Modeling the Credit Equity Link |
| Poster Session
on Friday, January 9th |
|
| from about | John
Aquilina Utility-based models of default |
| 13:45 | Raquel
Gaspar General Quadratic Term Structure of Bond, Forward and Future Prices |
| until | Emanuela Rosazza
Gianin Some Examples of Risk Measures via g-Expectations |
| 14:30 | Vicente
Mataix-Pastor Finite-dimensional Models of the Yield Curve |
| right after |
John Alexander Popovici |
| the lunch |
Thorsten Schmidt |
| break | Irina Slinko Good Deal Bounds for Derivatives when the Underlying Asset Prices are Driven by Marked Point Processes |