Contributed talks

The abstracts of the contributed talks can be found here.

Session 1 : Monday, 24 August 2009, 10h55-13h

El Hadj Aly Dia (Université Paris Est) : Connecting Continuous and Discrete Path-Dependent Options under Exponential Lévy Model
Christian Jonen (University of Cologne) : A Robust Regression Monte Carlo Method for Pricing High-Dimensional American-Style Options
Antonis Papapantoleon (Vienna University) : Analysis of Fourier Transform Valuation Formulas and Applications
Nicholas Westray (Deutsche Bank) : Minimal Sufficient Conditions on a Primal Optimizer in Utility Maximization
Jan Witte (University of Oxford) : A Penalty based Finite Element Method for the Pricing of American  Options

Session 2 : Tuesday, 25 August 2009, 10h55-13h

Xavier De Scheemaekere (Université Libre de Bruxelles) : Dynamic Risk Indifference Pricing and Hedging in Incomplete Markets
Ruoting Gong ( Georgia Institute of Technology) : Viscosity and Principal-Agent Problem
Gechun Liang (University of Oxford) : Backward Stochastic Dynamics on a Filtered Probability Space
Marco Maggis (Universita' degli studi di Milano) : Conditional Certainty Equivalent
Anja Richter (HU Berlin) : Differentiability of BSDE Driven by Continuous Martingales and Hedging in Incomplete Markets

Session 3 : Thursday, 27 August 2009, 14h00-16h05

Stefano De Marco (Université Paris Est and Scuola  Normale Superiore) : Smoothness of Densities and Tail Estimates for SDEs  with Locally Smooth Coefficients and Applications
Arash Fahim (Ecole Polytechnique and Sharif University of Technology) : A Probabilistic Numerical Method for Fully Nonlinear Parabolic  Nonlocal PDEs
Florence Guillaume (KU Leuven) : Implied Lévy volatility
Martin Klimmek (University of Warwick) : Constructing  Time-Homogeneous Diffusions Consistent with Perpetual Option Prices
Yeliz Yolcu Okur (University of Oslo) : A Malliavin Calculus Approach to General Stochastic Differential Games with Partial Information

Session 4 : Friday, 28 August 2009, 10h55-13h

Antje Fruth (TU Berlin) : Optimal Liquidation in Limit Order Books with Stochastic Liquidity
Selim Gokay (Koc University, Istanbul) : Cetin-Jarrow-Protter Model of Liquidity in a Binomial Market
Marcel Hoeschler (TU Berlin) : A Time-and Price-Continuous Order Book Model
Johannes Ruf (Columbia University) : Optimal Trading Strategies under Arbitrage
Yifei Zhong (University of Oxford) : Optimal Stock Selling/Buying Strategy with Reference to the Ultimate  Average

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