9th European Summer School in
Financial Mathematics
Pushkin, St. Petersburg, 29 August - 2 September 2016
CMAP
Lyceum in Tsarskoye Selo (alma mater of A. Pushkin). Photo: Alex Florstein Fedorov, Wikimedia Commons
| Monday August 29 | |
|---|---|
| 8:30-10:15 | Bruno Bouchard Monte-Carlo approximations of backward stochastic differential equations (lecture 1) |
| 10:15-10:45 | Coffee |
| 10:45-12:30 | Kostas Kardaras Market viability and hedging beyond NFLVR (lecture 1) |
| 12:30-14:30 | Lunch |
| 15:00-15:40 | Stefano De Marco Variance reduction and rare event simulation related to financial risks |
| 15:40-15:55 | Nicolas Baradel Optimal control of trading algorithms with uncertain parameters |
| 15:55-16:10 | Todor Bilarev Optimal liquidation under stochastic resilience and price impact |
| 16:10-16:40 | Coffee |
| 16:40-16:55 | Thomas Caye Trading with small nonlinear price impact |
| 16:55-17:10 | Martin Mueller SPDE Models for Limit Order Books |
| 17:10-17:25 | Carlos Oliveira An Investment Model with Switching Costs and the Option to Abandon |
| 17:25-17:40 | Yiyi Zou Hedging under gamma constraints with price impact |
| 17:40-17:55 | Moritz Voss Hedging with stochastic price impact |
| 18:30-20:30 | Dinner and welcome drinks |
| Tuesday August 30 | |
| 8:30-10:15 | Bruno Bouchard Monte-Carlo approximations of backward stochastic differential equations (lecture 1) |
| 10:15-10:45 | Coffee |
| 10:45-12:30 | Kostas Kardaras Market viability and hedging beyond NFLVR (lecture 2) |
| 12:30-14:30 | Lunch |
| 15:00-15:40 | Noufel Frikha A parametrix approach for first hitting times of one-dimensional elliptic diffusions |
| 15:40-15:55 | Daniel Bartl Robust exponential hedging in discrete time |
| 15:55-16:10 | Gaoyue Guo On the monotonicity principle of optimal Skorokhod embedding problem |
| 16:10-16:40 | Coffee |
| 16:40-16:55 | Sam Kinsley Robust Hedging of Options on a Leveraged Exchange Traded Fund |
| 16:55-17:10 | Yiqing Lin Causal transport in discrete time |
| 17:10-17:25 | Jacopo Mancin Robust financial bubbles |
| 17:25-17:40 | Hadrien De March Multi-dimensional martingale optimal transport |
| 18:30-20:00 | Dinner |
| 20:00-21:00 | Classical music concert in the White Hall of the hotel I. Smirnov, Laureate of International Contests (piano) K. Baryshev, Soloist of the Mariinsky Theatre Orchestra (trumpet) |
| Wednesday August 31 | |
| 8:30-10:15 | Nizar Touzi Branching particle representations of solutions to partial differential equations (lecture 1) |
| 10:15-10:45 | Coffee |
| 10:35-12:20 | Mikhail Zhitlukhin Performance measures: axiomatics and concrete examples (lecture 1) |
| 10:15-10:45 | Break |
| 12:30-13:00 | Youri Kabanov Clearing in financial systems |
| 13:00-14:30 | Lunch |
| 15:30-21:30 | Boat trip and dinner on the Neva river in downtown
St. Petersburg. The bus will depart from the conference center at 15h30 and return at 21:30 A contribution of 1000 roubles is required for this event. |
| Thursday September 1 | |
| 8:30-10:15 | Nizar Touzi Branching particle representations of solutions to partial differential equations (lecture 2) |
| 10:15-10:45 | Coffee |
| 10:45-12:30 | Johannes Ruf Arbitrage opportunities relative to the market (lecture 1) |
| 12:30-14:30 | Lunch |
| 15:00-15:40 | Monique Jeanblanc Arbitrages in enlarged filtrations |
| 15:40-15:55 | David Besslilch Irreversible investment problems solved by an extended stochastic representation result |
| 15:55-16:10 | Alfred Chong An ergodic BSDE approach to entropic risk measure |
| 16:10-16:40 | Coffee |
| 16:40-16:55 | Miryana Grigorova Reflected BSDEs when the obstacle is not right-continuous and optimal stopping with g-expectations |
| 16:55-17:10 | Alexandros Saplaouras A general result on existence, uniqueness and robustness for BSDEs with jumps |
| 17:10-17:25 | Greig Smith Equilibrium in a financial market with relative preferences |
| 17:25-17:40 | Hinesh Chotai A forward-backward SDEs approach to pricing in carbon markets |
| 18:00-19:30 | Dinner |
| 18:00-20:00 | A possibility to visit Catherine's Palace (open until 20:00). |
| Friday September 2 | |
| 8:30-10:15 | Mikhail Zhitlukhin Performance measures: axiomatics and concrete examples (lecture 2) |
| 10:15-10:45 | Coffee |
| 10:45-12:30 | Johannes Ruf Arbitrage opportunities relative to the market (lecture 2) |
| 12:30-14:30 | Lunch |
| 15:00-15:40 | Katja Ignatieva Detecting Money Market Bubbles |
| 15:40-15:55 | Xuecan Cui Option pricing models with underlying nonhomogeneous Levy processes |
| 15:55-16:10 | Sarah Grün Estimating Discrete Dividends by No-Arbitrage |
| 16:10-16:40 | Coffee |
| 16:40-16:55 | Yupeng Jiang Real-Time Risk Management |
| 16:55-17:10 | Robert Wardenga Affine processes with Stochastic Discontinuities |
| 17:10-17:25 | Alexandre Zhou An existence result for the calibrated local regime switching volatility model |
| 17:25-17:40 | Eric Fodjo A probabilistic max-plus numerical method for solving stochastic control problems |