Time |
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|
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) |
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