Contributed talks

Click here to download the book of abstracts (pdf).

Monday, September 8

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

Approximation of Stochastic processes
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

Thursday, September 11

Mathematical Theory of Finance
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

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

Friday, September 12

Credit Risk
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

Illiquidity Models
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

Saturday, September 13

Optimal Investment and Pricing
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

Statistical Methods
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

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