CMAP
Contributed talks
The abstracts of the contributed talks can be found here.Session 1 : Monday, 23 August 2010, 10h55-13h
Ove Gottsche (University of Twente) : Option pricing and the cost of risk
Martin Klimmek (University of Warwick) : Model independent bounds for variance swaps
Johannes Ruf (Columbia University) : Hedging under arbitrage
Bezirgen Velyiev (University of Vienna) : A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage
Session 2 : Tuesday, 24 August 2010, 10h55-13h
Christina Di Girolami (LUISS Roma and Université Paris 13): Infinite dimensional stochastic calculus via regularization with some financial perspectives
Stefan Gerhold (Vienna University of Technology) : Refined volatility expansion in the Heston model
Florence Guillaume (T.U.Eindhoven and K.U.Leuven) : Model and calibration risks for the Heston model
Antoine Jacquier (Imperial College London) : Implied volatility asymptotics of affine stochastic volatility models with jumps
Olivier Pamen (University of Oslo) : A general maximum principle for anticipative stochastic control and applications to insider trading
Session 3 : Thursday, 26 August 2010, 10h55-13h
Sascha Desmettre (Fraunhofer Institute for Industrial Mathematics) : Work effort, consumption, and portfolio choice : When the occupational decision matters
Asma Khedher (University of Oslo) : Conditional density method in the computation of the delta with application to power market
Roman Muraviev (ETH Zürich) : Utility maximization with additive habits : Optimal consumption and wealth
Anna Nazarova (University of Duisburg-Essen) : On modelling of electricity spot price
Johannes Peter Temme (University of Vienna) : The distribution of portfolio payoffs and increases in risk aversion
Session 4 : Friday, 27 August 2010, 10h55-13h
Rim Amami (Université Paul Sabatier Toulouse and Faculté des sciences de Tunis) : Impulse control problem with switching technology
Matteo Casserini (ETH Zürich) : A functional differential equation approach to the numerical simulation of BSDEs
Azra Tafro (University of Zagreb) : Limit theory for heavy-tailed models on a lattice
Yuan Xia (University of Oxford) : Multilevel path simulation for jump diffusion SDEs
