
PROGRAM
WIH PRESENTATIONS

June
22  Tuesday

Opening
Plenary Session (Toronto
I/II) 
16:3016:45 
Welcome
& Introductions 
16:4518:00

Plenary
Lecture  Dilip Madan
Conic Finance and Accounting: The Static Case
(presentation not available) 
June
23 Wednesday

Toronto
I/II

8:30

Plenary
Speaker Rene Carmona
TBA
Chair: Nizar Touzi

Toronto
I/II

9:30


10:30
 11:00 COFFEE Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley

Portfolio
Optimization
Chair:
Martin Schweizer

Stochastic
Volatility
Chair:Knut
Solna

Risk
Measures
Chair:Freddy
Delbaen

Computational
Finance
Chair:
Dilip
Madan

Options
and Futures
Chair:JeanPierre
Fouque

BSDEs
Chair:Traian
Pirvu

11:00

Theme
Speaker
Bank, P.
Market indifference prices






11:25



170
Kou, S.
What
Is a Good External Risk Measure..
(no presentation available)




11:50







12:15







12:40
 14:10 LUNCH Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley

Portfolio
Optimization
Chair:Traian
Pirvu

Stochastic
Volatility
Chair:JeanPierre
Fouque

Risk
Measures
Chair:Patrick
Cheridito

Computational
Finance
Chair:Alexander
Mijatovic

Options
and Futures
Chair:Peter
Carr

Stochastic
Control
Chair:Matheus
Grasselli

14:10

244
Seifried, F
Optimal Investment for WorstCase Crash Scenarios: A Martingale
Approach






14:35







15:00



Theme
Speaker Schachermayer,W
(presentation not available)




15:25

379
Werner, R.
(unable to attend)






15:5016:20
COFFEE BREAK Toronto III &
Johnston


Portfolio
Optimization
Chair:Martin
Schweizer

Stochastic
Volatility
Chair:Bruno
Dupire

Risk
Measures
Chair:Marco
Frittelli

Computational
Finance
Chair:Alexey
Kuznetsov

Options
and Futures
Chair:Peter
Carr

Stochastic
Control
Chair:Erhan
Bayraktar

16:20

52
He, X.
Hope, Fear and Aspiration






16:45





Theme
Speaker
Linetsky.V @ 16:57.
(cancelled)


17:10







17:35







18:00

288
Tashman, A
Portfolio Optimization Under a StressedBeta Model
(unable to attend)



410
Surkov, V
Efficient Construction of Robust Hedging Strategies under
Jump Models
(presentation not available)




June
24 Thursday

Toronto
I/II

8:30

Plenary
Speaker  Bruno Dupire,
Functional Itô Calculus and Applications

Toronto
I/II

9:30


10:30
 11:00 COFFEE Toronto III & Johnston 

Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.


Credit
Risk

Portfolio
Optimization

Risk
Measures

Computational
Finance

Options
and Futures

BSDEs

11:00 
Theme
Speaker
Li, H. ( moved to Sat. Jun 26Thompson)






11:25 



470
Yildirim, Y.
Subprime Default Contagion
(presentation not available)



11:50 






12:15 





Theme
Speaker
Matoussi, Anis
Quadratic BSDE's with jumps and exponential utility maximization
problem for portfolio with defaults
(presentation not available)

12:40
 14:10 LUNCH Toronto III & Johnston

Bachelier
Finance Society Council Meeting
12:40  14:10 (Fitzgerald Room )


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.


Credit
Risk

Portfolio
Optimization

High
Frequency Trading

Computational
Finance

Options
and Futures

Stochastic
Control

14:10 
96
Crépey, S
Deltahedging Correlation Risk
(presentation not available)






14:35 




350
Li, L
Commodity Derivative Models with MeanReverting Jumps
and ...
(presentation not available)


15:00 






15:25 






15:5016:20
COFFEE BREAK Toronto III &
Johnston 

Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Computational
Finance

Options
and Futures

Stochastic
Control

16:20 
77
Nakagawa, H
Modeling of Contagious Downgrades and Its Application
to MultiDowngrade
Protection





36
Dai, M
Trend Following Trading under a Regime Switching Model
(presentation not available)

16:45 






17:10 

103
Vellekoop, M
Sahara Utility and Optimal Investment
(presentation not available)



331
Baurdoux, E
The Shepp–Shiryaev stochastic game driven by a spectrally
negative Lévy
process (presentation not available)


17:35 







June
25 Friday

Toronto
I/II

8:30

Plenary
Speaker
JeanPhilippe Bouchaud

Toronto
I/II

9:30


10:30
 11:00 COFFEE Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley


Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Computational
Finance

Options
and Futures

Real
Options

11:00

Theme
Speaker Frey, R.
Optimal Securitization of Credit Portfolios via Impulse
Control






11:25







11:50






294
Sircar, R
Games with Exhaustible Resources
(presentation not available)

12:15




Theme
Speaker Glasserman, Paul
Pricing Contingent Capital with Continuous Conversion
(presentation not available)


Theme
Speaker
Grenadier, S.
(presentation
not available)

12:40
 14:10 LUNCH Toronto III & Johnston
13:10 14:10 Bachelier Finance Society General Assembly
Toronto
I/II


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley


Credit
Risk

Portfolio
Optimization

Econometrics

Interest
rates

Options
and Futures

Real
Options

14:10

178
Peng, X
Default Clustering and Valuation of Collateralized Debt
Obligations






14:35







15:00

316
Schmidt, T
Market Models for CDOs driven by timeinhomogeneous Levy
processes
(presentation not available)

263
Zhou, X.
Greed, Leverage, and Potential Losses: A Prospect Theory
Perspective
(presentation not available)


465
Chun, A. L.
A ForwardLooking Model Of The Term Structure Of Interest
Rates
(presentation not available)

247
Pistorius, M.
(talk cancelled)

41
Nishide, K.
Optimal Investment Timing With Linearly Additive Geometric
Brownian
Motions: The General Case
(presentation not available)

15:25







15:5016:20
COFFEE BREAK Toronto III &
Johnston


Credit
Risk

Portfolio
Optimization

Insurance

Interest
rates

Options
and Futures

Real
Options

16:20







16:45







17:10







17:35







18:00 








June
26 Saturday

Toronto
I/II

8:30

Plenary
Speaker  Damir
Filipovic
Quadratic
Variance Swap Models: Theory and Evidence


Toronto
I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley

Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Computational
Finance

Interest
Rates

Commodities

9:35







10:00







10:30
 11:00 COFFEE Toronto III & Johnston


Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Stochastic
Analsysis

Options
and Futures

Real
Options

11:00







11:25

Theme
Speaker
Berndt, A.
@ 11:37
On Correlation and Default Clustering in Credit Markets






11:50







12:15







12:40
 14:10 LUNCH Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley
(50)


Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Stochastic
Analysis

Systemic
Risk/Liquidity

Commodities

14:10







14:35

203
Boudreault, Mathieu,
On the nonlinear relationship between default intensity
and leverage





456
Muthuraman, K.
Commodity Storage Valuation
(prsentation not available)

15:00







15:25


358
Wong, H. Y.
MeanVariance Portfolio Selection Of CoIntegrated Assets
(presentation not available)

Theme
Speaker
Li, H
No Arbitrage Taylor Rules
with Switching Regimes
(presentation not available)




15:5016:20
COFFEE BREAK Toronto III &
Johnston


Credit
Risk

Interest
Rates

Stochastic
Volatility

Stochastic
Analysis

Systemic
/ Liquidity

Commodities

16:20

408
Grbac, Z.
Rating Based Lévy Libor Model




466
Maalaoui Chun, O.
Detecting Regime Shifts in Corporate Credit Spreads
(presentation not available)


16:45


116
Papapantoleon, A.
A New Approach To LIBOR Modeling
(presentation not available)





17:20


18:20

Closing
Remarks


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