Plenary Talks

  1. Denis Belomestny (University of Duisburg-Essen, Germany) Abstract
    Optimal stopping via multilevel Monte Carlo
  2. Michael Dempster (University of Cambridge, UK)
    Efficient calibration of a nonlinear long term yield curve model effective from low rate regimes
  3. Bruno Dupire (Bloomberg, USA)
    Functional Ito calculus and financial applications
  4. Ernst Eberlein (University of Freiburg, Germany)
    A theory of bid and ask prices in continuous time
  5. Paul Glasserman (Columbia Business School, USA)
    Market-triggered changes in capital structure: equilibrium price dynamics
  6. Maria Grossinho (Technical University of Lisbon, Portugal)
    Approximation of nondivergent type parabolic PDEs in finance
  7. Juri Hinz (University of Technology, Sydney, Australia)
    Using convexity methods for optimal stochastic switching
  8. Youri Kabanov (University of Franche-Comté, France)
    On essential supremum and essential maximum with respect to random partial orders with applications to hedging of contingent claims under transaction costs
  9. Konstantinos Kardaras (London School of Economics, UK)
    Prior-to-default equivalent supermartingale measures
  10. Masaaki Kijima (Tokyo Metropolitan University, Japan)
    Investment and capital structure decisions under time-inconsistent preferences
  11. Dmitry Kramkov (Carnegie Mellon University, USA)
    Existence of an endogenously complete equilibrium driven by a diffusion
  12. Michael Markov (Markov Processes International, USA)
    Dynamic analysis of hedge fund returns: detecting leverage and fraud
  13. Ernesto Mordecki (Centro de Matematica, Uruguay)
    Optimal stopping: representation theorems and new examples
  14. Alexander Novikov (University of Technology, Sydney, Australia)
    Lower and upper bounds for Asian-type options: a unified approach
  15. Mete Soner (ETH Zurich, Switzerland)
    Martingale optimal transport and robust hedging
  16. Martin Schweizer (ETH Zurich, Switzerland)
    On a new stochastic Fubini theorem
  17. Teryoshi Suzuki (Hokkaido University, Japan)
    The pricing model of corporate securities under cross-holdings of debts
  18. Lioudmila Vostrikova (University of Angers, France)
    Semimartingale models with additional information and their application in mathematical finance
  19. William Ziemba (Sauder School of Business, Canada)
    Response to Paul A Samuelson letters and papers on the Kelly capital growth investment criterion

Contributed Talks

  1. Rehez Ahlip (University of Western Sydney, Australia)
    Pricing foreign currency options under jumps diffusions and stochastic interest rates
  2. Hamed Amini (EPFL, Switzerland)
    Systemic risk with central counterparty clearing
  3. Michail Anthropelos (University of Piraeus, Greece)
    An equilibrium model for commodity forward prices
  4. Abel Cadenillas (Ajou University, South Korea)
    On the optimal debt ceiling
  5. Christa Cuchiero (Vienna University of Technology, Austria)
    Fourier transform methods for pathwise covariance estimation in the presence of jumps
  6. Stefan Gerhold (Vienna University of Technology, Austria)
    Local volatility models: approximation and regularization
  7. Florence Guillaume (KU Leuven, Belgium)
    A moment matching market implied calibration
  8. Serguey Khovansky (Northeastern University, USA)
    What can be inferred from a single cross - section of stock returns?
  9. Andrey Makarenko (Institute of Control Sciences RAS, Russia)
    Symbolic CTQ-analysis - a new method for studying of financial indicators
  10. Gennady Martynov (Institute for Information Transmission Problems RAS, Russia)
    Cramér-von Mises test for Gauss processes
  11. Dmitry Muravey (Central Economics and Mathematics Institute RAS, Russia)
    The value of Asian options in the Black-Scholes model: PDE approach
  12. Sergey Nadtochiy (University of Michigan, USA)
    Weak reflection principle and static hedging of barrier options
  13. Ömer Önalan (Marmara University, Turkey)
    Subdiffusive Ornstein-Uhlenbeck processes and applications to finance
  14. Vladimir Panov (University of Duisburg-Essen, Germany)
    Exponential functionals of Lévy processes
  15. Dmitry Rokhlin (Southern Federal Univeristy, Russia)
    On a generalized shadow price process in utility maximization problems under transaction costs
  16. Deimante Rheinländer (ICAP, UK)
    Pricing and hedging variance swaps on a swap rate
  17. Torsten Rheinländer (Vienna University of Technology, Austria)
    Hedging of barrier options via a general self-duality
  18. Evelina Shamarova (CMUP, Portugal)
    Portfolio selection and an analog of the Black-Scholes PDE in a Lévy-type market
  19. Sergei Sidorov (Saratov State University, Russia)
    GARCH Model with jumps augmented with news analytics data
  20. Alexander Slastnikov (Central Economics and Mathematics Institute RAS, Russia)
    Optimization of credit policy of bank and the government guarantees in a model of investment in a risky project
  21. Tatiana Vasilyeva (Volgograd State University, Russia)
    American put option valuation by means of Mellin transforms


  1. Natalia Danilova (South Federal University, Russia)
    About (B-S)-market model with stochastic switching of parameters
  2. Mikhail Ivanov (Lomonosov Moscow State University, Russia)
    Expected utility maximization in exponential Lévy models for logarithmic and power utility functions
  3. Georgy Mironenko (Southern Federal University, Russia)
    On optimal dividend payout in a factor diffusion model
  4. Andrey Homchenko (Saratov State University, Russia)
    Pseudo binary differential evolution algorithm for cardinality constrained portfolio optimization
  5. Yerkin Kitapbayev (University of Manchester, United Kingdom)
    Swing option in the Black-Scholes model: a free-boundary approach
  6. Oleg Rusakov (Saint Petersburg State University, Russia)
    Sums of independent Poissonian subordinators and Ornstein--Uhlenbeck type processes in the sense of upstairs representation
  7. Ludmila Shiryaeva (Samara State Economic University, Russia)
    Construction of a copula function from the joint distribution of Grubbs statistics
  8. Ekaterina Palamarchuk (Central Economics and Mathematics Institute RAS, Russia)
    On stochastic optimality in the portfolio tracking problem