BLAISE PASCAL INTERNATIONAL CONFERENCE

ON FINANCIAL MODELING

 

Château Villeneuve le Mahieu, Paris July 1-3, 2003

 

 

 

Invited Participants                    Program                   Talks             Posters

 

 

Recommendations for posters                        

 

Transportation

 

 

 

Invited Participants

 

Kerry Back, Washington University, St Louis, USA

Suleyman Basak, London Business School, London, England

Domenico Cuoco, University of Pennsylvania, Philadelphia, USA

Freddy Delbaen, ETH Zurich, Switzerland

Hans Föllmer, Humboldt University, Berlin, Germany

Hayne Leland, University of California, Berkeley, USA

Terry Lyons, University of Oxford, Oxford, England

Bernt Oksendal, University of Oslo, Oslo, Norway

Maurizio Pratelli, University of Pisa, Pisa, Italy

Chris Rogers, Cambridge University, Cambridge, England

Stephen Ross, MIT, Cambridge, USA

Wolfgang Runggaldier, Università degli Studi di Padova, Padova, Italy

Marek Rutkowski, Politechnika, Warsaw, Poland

Walter Schachermayer, University of Vienna, Vienna, Austria

Martin Schweizer, LMU Munich, Munich, Germany

Dieter Sondermann, University of Bonn, Bonn, Germany

Mete Soner, Koç University, Istanbul, Turkey

Christophe Stricker, Université de Franche-Comté, Besançon, France

 

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Program

 

 

Senior lecturer

 

 

Poster session

 

 

Numerical methods

 

Asymetric information

 

Risk measures

 

 

Miscellaneous

 

Calibration

 

 

Default risk

 

 

Discussant

 

 

 

 

 

 

 

 

 

Tuesday

 

 

Wednesday

 

 

Thursday

 

 

 

 

 

 

 

 

8:45 - 9:00

Welcome

 

 

 

 

 

 

 

 

 

8:45 - 9:30

M. Rutkowski

 

8:45 - 9:30

T. Lyons

9:00 - 9:45

K. Back

 

 

 

 

 

 

 

 

 

9:30 - 10:00

O. Chen

 

9:30 - 10:00

E. Gobet

9:45 - 10: 20

H. Yan

 

 

 

 

 

 

 

H. Föllmer

 

10:00 - 10:30

F. Yu

 

10:00 - 10:30

J. Printems

 

COFFEE BREAK

 

 

COFFEE BREAK

 

 

COFFEE BREAK

 

 

 

10:50 - 11:20

S. Weber

 

10:50 - 11:20

B. Bouchard

10:50 - 11:25

A. Ziegler

 

 

 

 

 

 

 

G. Demange

 

11:20 - 11:35

C. Gouriéroux

 

11:20 - 11:35

V. Bally

 

 

 

 

 

 

 

 

11:25 - 12:00

F. Baudoin

 

11:35 - 12:10

J. Teichmann

 

11:35 - 12:10

P. Bank

 

M. Schweizer

 

 

I. Ekeland

 

 

B. Lapeyre

 

 

 

 

 

 

 

 

 

LUNCH

 

 

LUNCH

 

 

LUNCH

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14:00 - 14:30

E. Gianin

 

14:00 - 14:35

P. Barrieu

 

14:00 - 14:35

J. Hugonnier

 

 

 

 

B. Oksendal

 

 

C. Stricker

14:30 - 15:00

P. Cheridito

 

14:35 - 15:10

W. Xiong

 

14:35 - 15:10

U. Horst

15:00 - 15:15

F. Delbaen

 

 

M. Soner

 

 

C. Rogers

15:15 - 15:50

P. Tankov

 

15:10 - 15:45

C. Napp

 

 

 

 

W. Runggaldier

 

 

W. Schachermayer

 

 

 

15:50 - 16:25

R. Pietersz

 

15:45 - 16:20

J. Palczewski

 

15:30 - 16:45

POSTERS

 

M. Pratelli

 

 

E. Jouini

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

POSTERS

 

 

POSTERS

 

 

 

 

 

 

 

 

 

16:45 - 17:45

J. Scheinkman

 

 

 

 

 

 

 

 

17:30 - 18:05

B. Croitoru

 

17:30 - 18:05

M. Watanabe

 

 

 

 

D. Cuoco

 

 

H. Leland

 

 

 

 

 

 

 

 

 

 

 

18:05 - 18:50

D. Cuoco

 

18:05 - 18:50

S. Basak

 

 

 

 

 

 

 

 

 

 

 

 

 

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Talks

 

BANK Peter

American Options, Multi-Armed Bandits and Optimal Consumption Plans: a Unifying View [download]

BARRIEU Pauline

Optimal design of derivatives and quadratic backward stochastic differential equations [download]

BAUDOIN Fabrice

The Financial Value of Weak Information on a Financial Market [download]

BOUCHARD Bruno

Discrete-Time Approximation and Monte-Carlo Simulation of Backward Stochastic Differential Equations [download]

CHEN Oliver

Credit Barrier Models [download]

CHERIDITO Patrick

Coherent and Convex Risk Measures for Bounded càdlàg Processes [download]

CROITORU Benjamin

On the Role of Arbitrageurs in Rational Markets [download]

GIANIN Emanuela

Some Examples of Risk Measures Via g-expectations [download]

GOBET Emmanuel

Sensitivity Analysis Using Ito-Malliavin Calculus and Martingales. Application to Stochastic Optimal Control [download]

HORST Ulrich

A Limit Theorem for Financial Markets with Inert Investors [download]

HUGONNIER Julien

Optimal Investment with Random Endowments in Incomplete Markets [download]

NAPP Clotilde

Consensus Consumer and Intertemporal Asset Pricing under Heterogeneous Beliefs [download]

PALCZEWSKI Jan

Arbitrage and Pricing in a General Model with Flows [download]

PIETERSZ Raoul

Risk Managing Bermudan Swaptions in the Libor BGM Model [download]

PRINTEMS Jacques

Optimal Quantization Method and Application to Numerical Problems in Finance [download]

TANKOV Peter

Calibration of jump-diffusion option pricing models: a robust non-parametric approach [download]

TEICHMANN Josef

On the Geometry of the Term Structure of Interest Rates [download]

WATANABE Masahiro

Rational Trend-Followers and Contrarians in Excessively Volatile, Correlated Markets [download]

WEBER Stefan

Credit Contagion and Aggregate Losses [download]

XIONG Wei

Designing Option Incentives [download]

YAN Hongjun

Information Quality and Asset Prices [download]

YU Fan

Correlated Defaults in Reduced-Form Models [download]

ZIEGLER Alexandre

Why Government Bonds are Sold by Auction and Corporate Bonds by Posted-Price Selling [download]

 

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Posters

 

 

Tuesday

 

 

1.

ACHARYA Viral

Asset Pricing with Liquidity Risk [download]

2.

BEN TAHAR Imen

Modeling Continuous-Time Financial Markets with Capital Gains Taxes [download]

3.

BIAGINI Sara

On the Super Replication Price of Unbounded Claims [download]

4.

BIAGINI Francesca

A General Stochastic Calculus Approach to Insider Trading [download]

5.

LASSERRE Guillaume

Partial Asymmetric Information and Equilibrium in a Continuous Time Model [download]

6.

MANCINI Cecilia

Statistics of a Poisson-Gaussian Process [download]

 

 

Wednesday

 

 

7.

MNIF Mohamed

Optimal Risk Control under Porportional Reinsurance Contract: a Dynamic programming Duality Approach [download]

8.

MRAD Moez

Monte Carlo Estimation of a Joint Density Using Malliavin Calculus  [download]

9.

NGUYEN Laurent

Exotic Options in General Levy Models [download]

10.

GRISHCHENKO Olesya

Asset Pricing in the Production Economy Subject to Monetary Shocks [download]

11.

POLIMENIS Vassilis

The Volatility Sensitivity Ratio and its Asset Pricing Implications [download]

12.

RIBEIRO Claudia

Valuing Path Dependent Options in the Variance-Gamma Model by Monte-Carlo with a Gamma Bridge [download]

 

 

 

 

Thursday

 

13.

RINDISBACHER Marcel

Asymptotic Efficiency of Monte Carlo Estimators for Diffusions [download]

14.

SIRBU Mihai

Perpetual Convertible Bonds [download]

 

15.

SMIMOU Kamal

Mean-Variance Theory and the Bid-Ask Spread [download]

16.

TEMAM Emmanuel

Empirical semi-groups and calibration [download]

17.

TRIVELLATO Barbara

Replication and Shortfall Risk Minimization in a Binomial Model with Transaction Costs [download]

18.

VICTOIR Nicolas

Cubature on Wiener space [download]

 

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