9th European Summer School in Financial Mathematics Pushkin, St. Petersburg, 29 August - 2 September 2016



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


Contact: summerschoolmathfi@mi.ras.ru or summerschoolmathfi@cmap.polytechnique.fr