Monday April 7, 2014 |
9:00–9:15 |
Josef TEICHMANN |
Introduction |
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9:15–10:00 |
Ariel NEUFELD |
Nonlinear Lévy Processes and their Characteristics |
Abstract |
10:00–10:30 |
COFFEE BREAK |
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10:30–11:15 |
David STEFANOVITS |
Model risk in portfolio optimization |
Abstract |
11:15–12:00 |
Jean-François CHASSAGNEUX |
High order approximation of BSDEs |
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12:00–14:00 |
LUNCH |
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14:00–14:45 |
Fernando CORDERO |
Asymptotic Proportion of Arbitrage Points in Fractional Binary Markets |
Abstract |
14:45–15:30 |
Ivo MIHAYLOV |
An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs |
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15:30–16:00 |
COFFEE BREAK |
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16:00–16:45 |
Dirk TASCHE |
Period-to-period estimation of probabilities of default |
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16:45–17:30 |
Eamon McMURRAY |
Smoothing properties of McKean-Vlasov stochastic differential equations |
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Tuesday April 8, 2014 |
8:30–9:15 |
Thomas CASS |
Constrained rough paths |
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9:15–10:00 |
Philipp HARMS |
Expected Signature of Lévy Processes |
The expected signature of Léevy processes (i.e., the expectation of iterated integrals of the process with respect to itself) has an expression which closely resembles the Léevy-Kintchine formula. We provide an elementary proof of this fact, which was established by Friz and Shekhar (2012) using the theory of rough paths, and discuss some generalisations. |
10:00–10:30 |
COFFEE BREAK |
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10:30–11:15 |
Martijn PISTORIUS |
Optimal Dividend Distribution in the Presence of a Penalty |
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11:15–12:00 |
Andrea GRANELLI |
Modelling the variance risk premium of equity indices: the role of dependence and contagion |
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12:00–14:00 |
LUNCH |
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14:00–14:45 |
Valeria BIGNOZZI |
How superadditive can a risk measure be? |
Abstract |
14:45–15:30 |
Martin HERDEGEN |
Economically consistent valuation for incomplete markets with bubbles |
Abstract |
15:30–16:00 |
COFFEE BREAK |
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16:00–16:45 |
Blanka HORVATH |
A Generalized Feller Property for SABR |
Abstract |
16:45–17:30 |
Antoine JACQUIER |
Shapes of implied volatility with positive mass at zero |
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17:30–18:15 |
Leif DÖRING |
Time-changed SABR |
We discuss a simple time-change for the SABR model and
explain two applications to the Feller property and a non-ergodicity
property. |
19:00 |
DINNER |
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Wednesday April 9, 2014 |
8:45–9:45 |
Antti KNOWLES |
On the principal components of sample covariance matrices |
Abstract |
9:45–10:30 |
Philippe DEPREZ |
Poisson Heterogeneous Random-Connection Model |
Abstract |
10:30–11:00 |
COFFEE BREAK |
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11:00–12:00 |
Rama CONT |
Functional Kolmogorov equations |
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12:00–12:45 |
Pierre BLACQUE-FLORENTIN |
Functional calculus and representation formulas for discontinuous martingales |
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12:45–14:15 |
LUNCH |
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14:15–16:00 |
Discussion |
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