Conference program
Monday, June 24
| 8:40 – 9:10 | Registration |
| 9:10 – 9:30 | Opening |
| 9:30 – 10:20 | Martin Schweizer (ETH Zurich, Switzerland) On a new stochastic Fubini theorem |
| 10:30 – 11:20 | Konstantinos Kardaras (London School of Economics, UK) Prior-to-default equivalent supermartingale measures |
| 11:30 – 11:50 | Dmitry Rokhlin (Southern Federal Univeristy, Russia) On a generalized shadow price process in utility maximization problems under transaction costs |
| 11:50 – 12:10 | Coffee break |
| 12:10 – 13:00 | Alexander Novikov (University of Technology, Sydney, Australia) Lower and upper bounds for Asian-type options: a unified approach |
| 13:10 – 13:30 | Sergey Nadtochiy (University of Michigan, USA) Weak reflection principle and static hedging of barrier options |
| 13:30 – 15:00 | Lunch |
| 15:00 – 15:50 | Teryoshi Suzuki (Hokkaido University, Japan) The pricing model of corporate securities under cross-holdings of debts |
| 16:00 – 16:20 | Torsten Rheinländer (Vienna University of Technology, Austria) Hedging of barrier options via a general self-duality |
| 16:20 – 16:40 | Coffee break |
| 16:40 – 17:30 | Dmitry Kramkov (Carnegie Mellon University, USA) Existence of an endogenously complete equilibrium driven by a diffusion |
| 17:40 – 18:00 | Serguey Khovansky (Northeastern University, USA) What can be inferred from a single cross - section of stock returns? |
| 18:00 – 20:00 | Welcome reception |
Tuesday, June 25
| 9:30 – 10:20 | Michael Dempster (University of Cambridge, UK) Efficient calibration of a nonlinear long term yield curve model effective from low rate regimes |
| 10:30 – 11:20 | Ernst Eberlein (University of Freiburg, Germany) A theory of bid and ask prices in continuous time |
| 11:30 – 11:50 | Abel Cadenillas (Ajou University, South Korea) On the optimal debt ceiling |
| 11:50 – 12:10 | Coffee break |
| 12:10 – 13:00 | Maria Grossinho (Technical University of Lisbon, Portugal) Approximation of nondivergent type parabolic PDEs in finance |
| 13:10 – 13:30 | Deimante Rheinländer (ICAP, UK) Pricing and hedging variance swaps on a swap rate |
| 13:30 – 15:00 | Lunch |
| 15:00 – 15:50 | Masaaki Kijima (Tokyo Metropolitan University, Japan) Investment and capital structure decisions under time-inconsistent preferences |
| 16:00 – 16:20 | Stefan Gerhold (Vienna University of Technology, Austria) Local volatility models: approximation and regularization |
| 16:20 – 16:40 | Coffee break |
| 16:40 – 17:00 | Evelina Shamarova (CMUP, Portugal) Portfolio selection and an analog of the Black-Scholes PDE in a Lévy-type market |
| 17:00 – 17:20 | Michail Anthropelos (University of Piraeus, Greece) An equilibrium model for commodity forward prices |
| 17:20 – 17:40 | Gennady Martynov (Institute for Information Transmission Problems, Russia) Cramér-von Mises test for Gauss processes |
| 17:40 – 18:00 | Vladimir Panov (University of Duisburg-Essen, Germany) Exponential functionals of Lévy processes |
Wednesday, June 26
| 9:30 – 10:20 | Mete Soner (ETH Zurich, Switzerland) Martingale optimal transport and robust hedging |
| 10:30 – 11:20 | Bruno Dupire (Bloomberg, USA) Functional Ito calculus and financial applications |
| 11:30 – 12:20 | Denis Belomestny (University of Duisburg-Essen, Germany) Optimal stopping via multilevel Monte Carlo |
| 12:30 – 14:00 | Lunch |
Thursday, June 27
| 9:30 – 10:20 | William Ziemba (Sauder School of Business, Canada) Response to Paul A Samuelson letters and papers on the Kelly capital growth investment criterion |
| 10:30 – 11:20 | Lioudmila Vostrikova (University of Angers, France) Semimartingale models with additional information and their application in mathematical finance |
| 11:30 – 11:50 | Rehez Ahlip (University of Western Sydney, Australia) Pricing foreign currency options under jumps diffusions and stochastic interest rates |
| 11:50 – 12:10 | Coffee break |
| 12:10 – 12:40 | Poster session |
| 12:40 – 13:30 | Juri Hinz (University of Technology, Sydney, Australia) Using convexity methods for optimal stochastic switching |
| 13:30 – 15:00 | Lunch |
| 15:00 – 15:50 | Youri Kabanov (University of Franche-Comté, France) On essential supremum and essential maximum with respect to random partial orders with applications to hedging |
| 16:00 – 16:20 | Alexander Slastnikov (Central Economics and Mathematics Institute, Russia) Optimization of credit policy of bank and the government guarantees in a model of investment in a risky project |
| 16:20 – 16:40 | Coffee break |
| 16:40 – 17:30 | Paul Glasserman (Columbia Business School, USA) Market-triggered changes in capital structure: equilibrium price dynamics |
| 17:40 – 18:00 | Sergei Sidorov (Saratov State University, Russia) GARCH Model with jumps augmented with news analytics data |
| 18:00 – 18:20 | Hamed Amini (EPFL, Switzerland) Systemic risk with central counterparty clearing |
Friday, June 28
| 9:30 – 10:20 | Michael Markov (Markov Processes International, USA) Dynamic analysis of hedge fund returns: detecting leverage and fraud |
| 10:30 – 11:20 | Ernesto Mordecki (Centro de Matematica, Uruguay) Optimal stopping: representation theorems and new examples |
| 11:30 – 11:50 | Christa Cuchiero (Vienna University of Technology, Austria) Fourier transform methods for pathwise covariance estimation in the presence of jumps |
| 11:50 – 12:10 | Coffee break |
| 12:10 – 12:30 | Akhlaque Ahmad (University of Mumbai, India) Option pricing via stochastic volatility models: impact of correlation structure on option prices |
| 12:30 – 12:50 | Alexander Gushchin (Steklov Mathematical Institute, Russia) On a connection between superhedging prices and the dual problem in utility maximization |
| 12:50 – 13:10 | Alexey Muravlev (Steklov Mathematical Institute, Russia) Sequential hypothesis testing for a drift of a fractional Brownian motion |
| 13:10 – 13:30 | Mikhail Zhitlukhin (Steklov Mathematical Institute, Russia) Detection of trend changes in stock prices |
| 13:30 – 15:00 | Lunch |
| 15:00 – 15:20 | Florence Guillaume (KU Leuven, Belgium) |
| 15:20 – 15:40 | Ömer Önalan (Marmara University, Turkey) Subdiffusive Ornstein-Uhlenbeck processes and applications to finance |
| 15:40 – 16:00 | Tatiana Vasilyeva (Volgograd State University, Russia) American put option valuation by means of Mellin transforms |
| 16:00 – 16:20 | Coffee break |
| 16:20 – 16:40 | Andrey Makarenko (Institute of Control Sciences, Russia) Symbolic CTQ-analysis - a new method for studying of financial indicators |
| 16:40 – 17:00 | Dmitry Muravey (Central Economics and Mathematics Institute, Russia) The value of Asian options in the Black-Scholes model: PDE approach |
| 17:00 – 17:10 | Closing |
| 17:10 – 19:00 | Farewell drinks |