Wednesday, June 1 - Humboldt Graduate School

13:00 - 13:45 Registration
13:45 - 14:00 Opening
14:00 - 15:00

Josef Teichmann
Affine processes and non-linear differential equations
15:00 - 15:30 Coffee Break
15:30 - 16:00


Nicolas Baradel
Optimal control under uncertainty and Bayesian parameters adjustments: Application to trading algorithms
16:00 - 16:30

Chen Yang
Feynman-Kac Representation for Periodic Problems
16:30 - 17:00

Matthias Lenga
Are American options European after all?
17:00 - 17:15 Short Break
17:15 - 17:45

I. Cetin Gülüm
A Variant of Strassen's Theorem with an Application to the Consistency of Option Prices
17:45 - 18:15

Todor Bilarev
Pricing European Options in a Multiplicative Impact Model with Transient Impact

Thursday, June 2 - Erwin Schrödinger-Zentrum (Campus Adlershof)

10:00 - 11:00

Kostas Kardaras
Viability and hedging in continuous-path markets with infinite number of assets
11:00 - 11:30 Coffee Break
11:30 - 12:00

Matteo Burzoni
Arbitrage and Hedging in model-independent markets with frictions
12:00 - 12:30

Mark Feodoria
Portfolio optimization under fixed transaction costs
12:30 - 13:00


Thomas Cayé
Nonlinear transaction costs, portfolio choice, and time-varying investment opportunities
13:00 - 14:30 Lunch Break
14:30 - 15:00

Moritz Voß
Hedging with stochastic price impact
15:00 - 15:30

Alex Tse
Can probability weighting help prospect theory explain the disposition effect?
15:30 - 16:00


Thai Nguyen
Optimal investment and consumption with downside risk constraint in jump-diffusion models
16:00 - 17:00 Coffee Break & Poster Session
17:00 - 17:30


Dorothee Westphal
Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
17:30 - 18:00

Victor Nzengang
The opportunity process for utility maximization and applications.

Friday, June 3 - Erwin Schrödinger-Zentrum (Campus Adlershof)

10:00 - 11:00

Ronnie Sircar
Fracking, Renewables & Mean Field Games
11:00 - 11:30 Coffee Break
11:30 - 12:00

Xiaoli Wei
Mean-Field stochastic control problem
12:00 - 12:30

Cong Qin
Exhaustible Resources with Production Adjustment Costs
12:30 - 13:00

Tolulope Fadina
Credit risk with ambiguity on the default intensity
13:00 - 14:30 Lunch Break
14:30 - 15:00

Sigrid Källblad
Model-Independent Bounds for Asian Options: a Dynamic Programming Approach
15:00 - 15:30

Julien Claisse
Skorokhod embedding and robust hedging with local time
15:30 - 16:00

Daniel Bartl
Robust exponential hedging in discrete time
16:00 - 16:30 Coffee Break
16:30 - 17:00

Ludovic Tangpi
Efficient hedging under ambiguity
17:00 - 17:30

Klebert Kentia Tonleu
Good-Deal Bounds and Hedging under Drift- and Volatility Uncertainty
17:30 - 18:00


Wing Fung Chong
An ergodic BSDE approach to maturity independent entropic risk measure and its large time behavior
19:30 Conference Dinner

Saturday, June 4 - Humboldt Graduate School

09:30 - 10:30

Steven Kou
Simulating Risk Measures
10:30 - 11:00 Coffee Break
11:00 - 11:30

Bezirgen Veliyev
Inference from high-frequency data: A subsampling approach
11:30 - 12:00

Thomas Bernhardt
Ito-Semi-Diffusions, a Tool to approximate Levy Processes
12:00 - 12:30


Ankush Agarwal
Rare event simulation related to financial risks: efficient estimation and sensitivity analysis
12:30 - 12:45 Closing