| Time | Wednesday (27 Oct) | ||
| 8h30-9h00 | Chairman: Monique Jeanblanc | P | Dirk BECHERER (Humboldt University, Berlin, Germany) |
| From Bounds on Optimal Growth towards a Theory of Good-Deal Hedging | |||
| 9h00-9h30 | P | Nizar TOUZI (CMAP/Ecole Polytechnique, France) | |
| Wellposedness of Second Order Backward SDEs | |||
| 9h30-10h00 | P | Peter IMKELLER (Humboldt University of Berlin, Germany) | |
| Utility maximization and systems of forward-backward SDE | |||
| 10h00-10h30 | Coffee break | ||
| 10h30-11h00 | Chairman: Gilles Pages | P | Dylan POSSAMAI (CMAP, Ecole Polytechnique, Palaiseau, France) |
| Second Order Backward Stochastic Differential Equations with Continuous Coefficients | |||
| 11h00-11h30 | P | Peter TANKOV (CMAP/Ecole Polytechnique, France) | |
| A finite dimensional approximation for pricing American options on moving average | |||
| 11h30-12h20 | P+Disc | Bruno BOUCHARD (University of Paris Dauphine, France) | |
| Generalized stochastic target problems for the pricing and partial hedging book liquidation under loss constraints - Application in optimal book liquidation | |||
| Discussion led by Saïd HAMADÈNE (University of Le Mans) |