CMAP
Contributed talks
Click here to download the book of abstracts (pdf).
| Monday, September 8 | |
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Pricing |
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| 16:30 16:50 | Zehra Eksi, Inflation Linked Derivatives: Pricing Model for a Multi-Country Setting |
| 16:50 17:10 | Bjorn Eriksson, A method of moments approach to pricing double barrier options with the underlying modelled by a general class of jump diffusions |
| 17 10 17:30 | Yan Dolinsky, Binomial Approximation for Barrier Options of Israeli Style |
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Approximation of Stochastic processes |
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| 17:40 18:00 | Mats Broden, On the Convergence of Higher Order Hedging Schemes |
| 18:00 18:20 | Bernhard Vesenmayer, Fast Numerical Method for Computation of Variance-Optimal Hedging Error |
| 18:20 18:40 | Ehsan Azmoodeh, An Estimator of the Quadratic Variation of a Process with Finite Energy |
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| Thursday, September 11 | |
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Mathematical Theory of Finance |
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| 16:30 16:50 | Dmitry De Vallière, Hedging of American Options under Transaction Costs |
| 16:50 17:10 | Monica Bier, An Alternative Characterization of Time-Consistent Sets of Measure |
| 17:10 17:30 | Johannes Muhle-Karbe, On using shadow prices in portfolio optimisation with transaction costs |
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Fixed Income Models | |
| 17:40 18:00 | Antonis Papapantoleon, Strong Taylor approximation of SDEs and application to the Lévy LIBOR model |
| 18:00 18:20 | Stefan Tappe, Term structure models driven by Poisson measures as solutions of SPDEs |
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| Friday, September 12 | |
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Credit Risk |
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| 16:30 16:50 | Verena Goldammer, Modeling and Estimation of Dependent Credit Rating Transitions |
| 16:50 17:10 | Gechun Liang, A Modified Structural Model for Credit Risk - Utility Indifference Valuation |
| 17:10 17:30 | Nathalie Packham, Modelling credit dynamics - a tractable first-passage time model with jumps |
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Illiquidity Models |
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| 17:40 18:00 | Alexandre Roch, Liquidity Risk and Price Impacts |
| 18:00 18:20 | Alessandra Cretarola, Optimal consumption policies in illiquid markets |
| 18:20 18:40 | Simone Scotti, Non-liquid Assets and Error Theory |
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| Saturday, September 13 | |
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Optimal Investment and Pricing |
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| 16:30 16:50 | Sascha Demesttre, Own-Company Stockholding and Work Effort Preferences of an Unconstrained Executive |
| 16:50 17:10 | Okur Yolcu, Optimal Consumption and Portfolio for an Insider in a Market with Jumps |
| 17:10 17:30 | Chongrui Zhou, Marginal Price under Proportional Transaction Costs for Exponential Utility |
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Statistical Methods |
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| 17:40 18:00 | Laurent Duvernet, Asymptotics multifractal modelization of financial data |
| 18:00 18:20 | Junye Li, Stochastic Jump Intensity, Stochastic Volatility and Stochastic Higher Moments in Asset Returns: an Empirical Investigation |
| 18:20 18:40 | Michele Leonardo Bianchi, Tempered stable and tempered infinitely divisible models with volatility clustering |