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Presentersort descending Title Time Session Room
Aksamit, Anna Non-arbitrage in enlarged markets June 4, 14:30-15:00 5.8 1+2
Albani, Vinicius Local Volatility Models in Commodity Markets and Online Calibration June 3, 15:30-16:00 2.7 I
Alfonsi, Aurélien Stochastic Local Intensity Loss Models with Interacting Particle Systems June 3, 14:30-15:00 2.5 G
Anthropelos, Michail Equilibrium in Risk Sharing Games June 5, 12:30-13:00 7.3 EF
Backhoff Veraguas, Julio Daniel Robust utility maximization without compactness of the model-uncertainty set June 4, 14:30-15:00 5.2 CD
Ballotta, Laura Counterparty credit risk in a multivariate structural model with jumps June 3, 12:00-12:30 1.4 K
Balter, Anne Extrapolating the term structure of interest rates with parameter uncertainty June 4, 12:00-12:30 4.4 K
Bangert, Dirk Swaption Pricing and Hedging with Default Risk June 3, 15:30-16:00 2.4 K
Bardgett, Chris A parsimonious stochastic correlation framework to model the joint dynamics of assets June 3, 14:00-14:30 2.8 1+2
Barletta, Andrea Laguerre Expansions for Volatility Derivatives June 5, 14:00-14:30 8.7 I
Basei, Matteo Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem June 5, 11:30-12:00 7.7 I
Bennedsen, Mikkel Modelling Electricity Prices By Brownian Semistationary Processes June 5, 12:30-13:00 7.7 I
Bernard, Carole Rationalizing Investors Choice June 3, 16:30-17:00 3.7 I
Bhatia, Anil Optimal Static Hedging of Currency Risk Using FX Options and FX Forwards contracts June 4, 12:00-12:30 4.7 I
Biagini, Francesca Mathematical models for the formation of financial bubbles June 3, 11:00-11:30 1.1 AB
Bichuch, Maxim Optimal Investment with Transaction Costs and Stochastic Volatility June 5, 11:30-12:00 7.1 AB
Bielecki, Tomasz Valuation and hedging of OTC contracts with funding costs and collateralization June 5, 14:00-14:30 8.3 EF
Borovkova, Svetlana Systemic Risk and Centralized Clearing of OTC derivatives: A Network Approach June 3, 12:00-12:30 1.6 L
Bouveret, Geraldine A Weak Discrete American-Type Stochastic Target Problem and its Application June 3, 15:00-15:30 2.2 CD
Bouwman, Kees Designing longevity-indexed annuity products June 4, 15:00-15:30 5.7 I
Brockhaus, Oliver A Dividend Discount Model for Equity Derivatives June 4, 15:30-16:00 5.5 G
Brummelhuis, Raymond Radial Basis Function Methods for Option Pricing in Exponential Lévy Models June 4, 14:30-15:00 5.1 AB
Buchmann, Boris Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing June 4, 12:00-12:30 4.5 G
Burgard, Christoph FVA via semi-replication strategies – pre-default costs vs post-default windfalls June 4, 12:30-13:00 4.5 G
Bäuerle, Nicole Risk-Sensitive Markov Decision Processes with Applications to Finance and Insurance June 4, 17:00-17:30 6.2 CD
Cadenillas, Abel Explicit formula for the optimal government debt ceiling June 4, 14:30-15:00 5.9 H
Cai, Jiatu Optimal Discretization of Hedging Strategies with Market Trend June 5, 12:00-12:30 7.8 1+2
Caldana, Ruggero General closed-form basket option pricing bounds June 4, 15:00-15:30 5.1 AB
Cambou, Mathieu Model Uncertainty and Scenario Aggregation June 4, 12:00-12:30 4.6 L
Cebiroglu, Gökhan Does Hidden Liquidity Harm Price Efficiency? Equilibrium Exposure under Latent Demand. June 3, 11:30-12:00 1.8 1+2
Cerny, Ales Hedging in Lévy models and the time step equivalent of jumps June 4, 11:30-12:00 4.7 I
Cesari, Riccardo A simplified risk representation for structured products to disclose key information about probability distributions to investors June 4, 17:30-18:00 6.3 EF
Chau, Ngoc Huy Market models with optimal arbitrage June 4, 12:30-13:00 4.8 1+2
Chen, Nan Interconnected balance sheets, market liquidity, and amplifi cation effects in a financial system June 5, 14:00-14:30 8.4 K
Chen, Xinliang On an optimization problem related to static super-replicating strategies June 5, 14:30-15:00 8.3 EF
Chevalier, Etienne Optimal market making strategies under inventory constraints June 3, 14:30-15:00 2.9 H
Chiarella, Carl A comparative study on time-efficient methods to price compound options in the heston model June 5, 17:00-17:30 9.1 AB
Cialenco, Igor Dynamic Conic Finance via Backward Stochastic Difference Equations June 4, 15:30-16:00 5.3 EF
Cohen, Samuel Markov Chain BSDEs and risk averse networks June 4, 17:00-17:30 6.8 1+2
Collin-Dufresne, Pierre Moral Hazard, Informed Trading, and Stock Prices June 3, 12:00-12:30 1.9 H
Cousin, Areski Model Risk Embedded in Yield Curve Construction Methods June 5, 11:30-12:00 7.6 L
Crépey, Stéphane About a class of counterparty risk related BSDEs June 5, 15:00-15:30 8.4 K
Cuchiero, Christa An HJM approach for multiple yield curves June 3, 14:00-14:30 2.4 K
Czichowsky, Christoph Strong supermartingales and portfolio optimisation under transaction costs June 4, 12:00-12:30 4.9 H
Dai, Min Calibration of Stochastic Volatility Models: A Tikhonov Regularization Approach June 5, 17:30-18:00 9.6 L
Daveloose, Catherine Robustness of quadratic hedging strategies in finance via Fourier transforms June 3, 11:30-12:00 1.3 EF
Davis, Mark Consistency of risk measure estimates June 5, 11:30-12:00 7.3 EF
De Kort, Jan Optimal investment with stochastic mortality and stochastic interest rates June 3, 11:00-11:30 1.2 CD
De Marco, Stefano Shapes of implied volatility with positive mass at zero June 4, 17:00-17:30 6.1 AB
De Spiegeleer, Jan CoCo bonds with extension risk : a building block approach June 5, 16:30-17:00 9.2 CD
Décamps, Jean-Paul Integrating profitability prospects within cash management policies June 3, 16:30-17:00 3.8 1+2
Deelstra, Griselda Optimal timing for annuitization, with a jump diffusion fund and stochastic mortality June 4, 15:30-16:00 5.7 I
Desmettre, Sascha Optimal Investment with Illiquid Assets June 3, 12:30-13:00 1.9 H
Donnelly, Ryan Robust Market Making June 3, 12:30-13:00 1.8 1+2
Douady, Raphael A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk June 4, 11:30-12:00 4.3 EF
Drapeau, Samuel General Uncertainty Averse Preferences June 4, 12:30-13:00 4.3 EF
Egami, Masahiko Optimal stopping when the absorbing boundary is following after June 3, 17:00-17:30 3.8 1+2
El Aoud, Sofiene Calibration of a stock's beta using options prices June 3, 15:00-15:30 2.7 I
Elliott, Robert Backward Stochastic Difference Equations for Dynamic Convex Risk Measures on a Binomial Tree June 4, 12:00-12:30 4.3 EF
Fahrenwaldt, Matthias A PDE approach to option pricing in liquidity risk and large trader models June 3, 14:00-14:30 2.9 H
Fajardo, José Barrier Options Under Lévy Processes: An Alternative Short-Cut June 3, 11:30-12:00 1.4 K
Feinstein, Zachary Systemic Risk Measurement and Individual Capital Requirements June 4, 14:30-15:00 5.3 EF
Feng, Qian Efficient Computation of Exposure Pro files for Counterparty Credit Risk June 3, 11:00-11:30 1.6 L
Fermanian, Jean-David Asymptotic Theory of Dynamic Conditional Correlation Models June 4, 16:30-17:00 6.9 H
Filipovic, Damir Linear-Rational Term Structure Models June 3, 14:30-15:00 2.4 K
Foldvari, Sandrine How to Manage Model Risk and Model Ambiguity in a Large Dimension asset allocation problem? June 3, 11:30-12:00 1.6 L
Fontana, Claudio Market viability and martingale measures under partial information June 4, 12:00-12:30 4.2 CD
Forys, Monika Implied liquidity application for the high frequency liquidity data study on prime trading time June 3, 11:30-12:00 1.9 H
Frei, Christoph VWAP order execution and dynamic trading volume estimation June 4, 15:30-16:00 5.8 1+2
Fuh, Cheng-Der Efficient simulations for estimating Value-at-Risk in incremental risk charge June 5, 14:30-15:00 8.1 AB
Gabrielli, Nicoletta Regularity results for degenerate Kolmogorov equations of Affine type June 4, 12:30-13:00 4.1 AB
Gama Batista, Joao da Dynamics of Trust in Networks and Systemic Risk June 4, 16:30-17:00 6.6 L
Gapeev, Pavel Risk sensitive utility indifference pricing of perpetual American options under fixed transaction cost June 5, 11:30-12:00 7.5 G
Garnier, Ernesto Leveraging flexible loads and options-based trading strategies to optimize intraday effects on the market value of renewable energy June 3, 14:30-15:00 2.6 L
Gass, Maximilian PIDE methods for pricing and calibration of Lévy models June 3, 15:30-16:00 2.1 AB
Gerhold, Stefan The Small Maturity Implied Volatility Slope for Levy Models June 5, 14:30-15:00 8.5 G
Ghossoub, Mario Cost-Efficient Contingent Claims under Knightian Uncertainty: A Distributional Analysis June 3, 17:00-17:30 3.7 I
Glau, Kathrin Efficient pricing in jump models and calibration to American options June 3, 14:30-15:00 2.1 AB
Gobet, Emmanuel Analytical formulas for multidimensional diffusion process June 5, 14:00-14:30 8.1 AB
Graewe, Paulwin Smooth solutions to portfolio liquidation problems under price-sensitive market impact June 5, 15:00-15:30 8.8 1+2
Gruber, Peter The dynamics of option pricing and the market price of volatility risk June 3, 12:00-12:30 1.7 I
Guillaume, Florence The LIX: a model-independent liquidity index June 3, 11:00-11:30 1.9 H
Guyon, Julien Calibration of local correlation models to basket smiles June 5, 17:00-17:30 9.6 L
Ha, Hongjun A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements June 5, 17:30-18:00 9.1 AB
Hainaut, Donatien A Continuous Mixed-Laplace Jump Diffusion model for option pricing, with and without mean reversion. June 3, 12:00-12:30 1.5 G
Han, Chuan-Hsiang Efficient importance sampling for estimating lower tail probabilities under Gaussian and Student t distributions June 5, 16:30-17:00 9.1 AB
Harms, Philipp Consistent yield curve modelling June 5, 11:30-12:00 7.4 K
Henrard, Marc Multi-curve framework with collateral June 4, 17:00-17:30 6.4 K
Herdegen, Martin Economically consistent valuation for incomplete markets with bubbles June 4, 15:30-16:00 5.2 CD
Herrmann, Sebastian Optimal Investment in a Black–Scholes Model with a Bubble June 5, 15:00-15:30 8.2 CD
Hieber, Peter First-passage times of regime switching models June 3, 12:30-13:00 1.7 I
Hillairet, Caroline Ramsey rules and yield curves dynamics June 4, 12:30-13:00 4.4 K
Horvath, Blanka Generalized Feller Property for SABR June 5, 14:30-15:00 8.7 I
Huang, Yu-Jui Model-independent hedging under portfolio constraints June 5, 15:30-16:00 8.3 EF
Hughston, Lane Social Discounting and the Long Rate of Interest June 4, 16:30-17:00 6.4 K
Hugonnier, Julien Asset pricing with arbitrage activity June 4, 15:00-15:30 5.9 H
Huitema, Robert Risk premiums in a multi-factor jump-diffusion model for the joint dynamics of equity options and their underlying June 5, 12:30-13:00 7.5 G
In 't Hout, Karel ADI schemes for pricing American-style options under the Heston model June 3, 14:00-14:30 2.1 AB
Jeanblanc, Monique Arbitrages in a progressive enlargement of filtration setting June 4, 12:00-12:30 4.8 1+2
Jensen, Bjarne Astrup Loosing Welfare by Getting Transfers June 3, 17:00-17:30 3.6 L
Kharroubi, Idris Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps June 3, 15:30-16:00 2.8 1+2
Khedher, Asma Robustness of quadratic hedging strategies to the variation of the model, discrete and continuous time June 3, 11:00-11:30 1.3 EF
Kiesel, Ruediger Optimality and robustness of rule-based trigger strategies June 5, 14:00-14:30 8.2 CD
Kim, Sojung Simulation of Tempered Stable Lévy Bridges and its Applications to Option Pricing June 4, 15:30-16:00 5.1 AB
Klein, Irene Asymptotic arbitrage with small transaction costs June 4, 15:00-15:30 5.6 L
Kokholm, Thomas Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models - an empirical study June 5, 15:00-15:30 8.5 G
Kou, Steven Limit Order Books with Stochastic Market Depth June 3, 12:00-12:30 1.8 1+2
Kreher, Dörte Change of measure and no-arbitrage up to a random time June 3, 15:00-15:30 2.5 G
Kruse, Thomas Optimal position closure in a market with stochastic price impact June 5, 14:30-15:00 8.8 1+2
Kupper, Michael On Robust Duality and Superhedging under Model Uncertainty June 5, 12:00-12:30 7.3 EF
Kustermann, Michael A Structural Model for Coupled Electricity Markets June 5, 12:00-12:30 7.7 I
Kühn, Christoph Optimal Liquidity Provision in Limit Order Markets June 3, 11:00-11:30 1.8 1+2
Laeven, Roger Robust Portfolio Choice and Indi fference Valuation June 5, 12:30-13:00 7.2 CD
Lakner, Peter High Frequency Asymptotics for the Limit Order Book June 4, 16:30-17:00 6.8 1+2
Larsson, Martin Polynomial preserving diffusions and models of the term structure June 4, 17:30-18:00 6.4 K
Le Courtois, Olivier The Tempered Multistable Approach and Asset Return Modeling June 4, 17:00-17:30 6.9 H
Leclercq, Emmanuel Finite-Jump Tangent Lévy Models June 3, 17:00-17:30 3.5 G
Leirvik, Thomas Life-Cycle Asset Allocation under Stochastic Interest-Rates and Stock-Return Predictability June 5, 15:30-16:00 8.2 CD
Lepore, Caterina Dynamic incentives with event risk June 3, 16:30-17:00 3.6 L
Levin, Alex Estimation of affine jump-diffusions using realized variance and bipower variation in empirical characteristic function method June 3, 17:00-17:30 3.9 H
Lindberg, Carl Portfolio optimization for an investor with a benchmark June 4, 11:30-12:00 4.2 CD
Linders, Daniël Measuring herd behavior in stock markets June 5, 12:00-12:30 7.6 L
Liu, Qing Consistent Valuation of Collateralized OTC Deals under Credit and Funding Risk June 5, 14:30-15:00 8.4 K
Liu, Ren Rebalancing with Linear and Quadratic Trading Costs June 5, 12:00-12:30 7.1 AB
Lleo, Sebastien Black-Litterman in Continuous Time: Jump-Diffusion Processes and Applications June 6, 16:30-17:00 6.2 CD
Loeper, Grégoire Pricing and hedging contingent claims with liquidity costs and market impact June 4, 12:30-13:00 4.9 H
Lord, Roger Fifty shades of SABR simulation June 3, 14:30-15:00 2.7 I
Lütkebohmert, Eva Optimal Debt Maturity Structure in a Model with Market and Funding Liquidity Risk June 3, 15:00-15:30 2.9 H
Macrina, Andrea Heat Kernel Framework for Asset Pricing in Finite Time June 4, 11:30-12:00 4.4 K
Mahlstedt, Mirco Collateralized structured products June 4, 14:30-15:00 5.5 G
Majewski, Adam Econometric option pricing with multi-component volatility models June 3, 16:30-17:00 3.9 H
Mastrolia, Thibaut Density analysis for BSDEs June 5, 17:30-18:00 9.4 K
Matsumoto, Koichi Model Risk in Pricing Interest Rate Derivatives June 4, 15:30-16:00 5.4 K
Melichercik, Igor Optimal Fund Management With Gradual Contributions June 3, 14:00-14:30 2.2 CD
Melnyk, Yaroslav Small-Cost Asymptotics for the Long-Term Growth Rate in the Heston Model June 5, 12:30-13:00 7.1 AB
Menoncin, Francesco A Class of Incomplete Markets with Optimal Portfolio in Closed Form June 3, 14:30-15:00 2.2 CD
Meyer-Brandis, Thilo Conditional Systemic Risk Measures June 3, 15:00-15:30 2.3 EF
Moreno-Bromberg, Santiago Surplus-invariant capital adequacy tests and their risk measures June 3, 14:00-14:30 2.3 EF
Morgenstern, Tal Towards FVA Pricing: A Martingale Approach June 5, 14:00-14:30 8.6 L
Mosenkis, Viktor Algorithmic Differentiation for Adjoint Greeks of SDEs and PDEs in Computational Finance June 4, 17:30-18:00 6.1 AB
Muhle-Karbe, Johannes Trading with small price impact June 4, 15:30-16:00 5.6 L
Munari, Cosimo Beyond cash-additive risk measures: when changing the numéraire fails June 3, 16:30-17:00 3.3 EF
Muromachi, Yukio Analytical RMBS pricing formulas consistent with observed term structures of interest rates and prepayment rates June 5, 12:30-13:00 7.4 K
Neykova, Daniela Optimal Portfolios under Affine Models with Markov Switching June 4, 12:30-13:00 4.2 CD
Nicolato, Elisa Closed-Form Smile Expansions For The Mixing Setup June 4, 16:30-17:00 6.7 I
Nikitopoulos Sklibosios, Christina The return-volatility relation in commodity futures markets June 4, 17:00-17:30 6.5 G
Nunes, João Pedro Static Hedging and Early Exercise Boundaries for American-style Barrier Options June 3, 12:30-13:00 1.3 EF
Orosi, Greg Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach June 3, 11:00-11:30 1.5 G
Owari, Keita On the regularity and representation of convex risk measures on Orlicz spaces June 4, 16:30-17:00 6.3 EF
Packham, Natalie Structured climate financing June 3, 14:00-14:30 2.6 L
Pallavicini, Andrea CCP Cleared Contracts and Bilateral CSA Trades with Re-Hypothecation, funding, gap risk and wrong way risks: A unified valuation approach June 3, 14:00-14:30 2.5 G
Papapantoleon, Antonis An equilibrium model for commodity spot and forward prices June 4, 16:30-17:00 6.5 G
Peng, Xianhua Measurement of Economic Tail Risk June 3, 17:00-17:30 3.3 EF
Pennanen, Teemu Optimal investment and contingent claim valuation in illiquid markets June 5, 14:30-15:00 8.6 L
Perkkiö, Ari-Pekka Duality in optimal investment with convex frictions June 4, 11:30-12:00 4.9 H
Pisani, Camilla The Impact of Jump distributions on Volatility of Variance June 5, 15:00-15:30 8.7 I
Polishchuk, Alexey American Put Under Stochastic Rates June 5, 17:00-17:30 9.2 CD
Pontier, Monique Optimal Capital Structure in case of Stochastic Volatility June 3, 11:00-11:30 1.7 I
Possamaï, Dylan Moral hazard in dynamic risk management June 4, 11:30-12:00 4.6 L
Prigent, Jean-Luc On the Weak Convergence of Risk-Minimizing Option Hedging Strategies June 3, 12:00-12:30 1.3 EF
Qiu, Jinniao A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions June 5, 14:00-14:30 8.8 1+2
Raskulinec, George A Software Optimization Framework on Intel Architecture using Trinomial Trees June 5, 12:30-13:00 7.6 L
Rayée, Grégory Pricing derivatives written on more than one underlying asset in a multivariate Lévy framework June 5, 16:30-17:00 9.6 L
Reichmann, Oleg Efficient numerical methods for local Levy models June 3, 11:30-12:00 1.1 AB
Ribarits, Thomas Economic Capital Modeling - closed form approximation for real-time applications June 4, 17:00-17:30 6.6 L
Rindisbacher, Marcel Bayesian Inference on Multi-Factor Affine Term Structure Models June 4, 14:30-15:00 5.4 K
Robertson, Scott Continuous Time Perpetuities and the Time Reversal of Diffusions June 5, 17:30-18:00 9.7 I
Romo Romero, Ricardo Indifference fee rate for variable annuities June 5, 17:00-17:30 9.7 I
Roome, Patrick A dynamic view of the Heston model June 3, 11:30-12:00 1.7 I
Rosazza Gianin, Emanuela Pareto allocations and optimal risk sharing for quasiconvex risk measures June 4, 15:00-15:30 5.3 EF
Royer, Guillaume A utility maximisation proof of Strassen's theorem June 3, 16:30-17:00 3.2 CD
Rujivan, Sanae A novel analytical approach for pricing discretely sampled generalized variance swaps in the Heston model with jumps June 5, 14:00-14:30 8.5 G
Rutkowski, Marek Arbitrage Pricing of Financial Game Contracts with Several Parties June 4, 11:30-12:00 4.8 1+2
Sabanis, Sotirios Euler approximations with varying coefficients: the case of superlinearly growing drift and diffusion coefficients June 4, 16:30-17:00 6.1 AB
Sarais, Gabriele Inflation Derivatives Pricing with Macroeconomic Foundations June 3, 16:30-17:00 3.5 G
Sass, Jörn Discrete and continuous-time expert opinions for portfolio optimization with partial information June 3, 12:30-13:00 1.2 CD
Saxena, Konark Good Coskewness, Bad Coskewness June 4, 17:30-18:00 6.2 CD
Scandolo, Giacomo Assessing Financial Model Risk June 4, 17:30-18:00 6.6 L
Schellhorn, Henry A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility June 3, 17:00-17:30 3.4 K
Schiltz, Jang A performance evaluation of weight-constrained conditioned portfolio optimisation using a new numerical scheme for multisignal problems June 3, 12:00-12:30 1.2 CD
Schmidt, Thorsten Default Times Not Avoiding Stopping Times - Defaultable Term Structure Modelling Beyond the Intensity Paradigm June 3, 15:00-15:30 2.4 K
Schmock, Uwe Conditional Weighted Expected Shortfall, Conditional Distortion Risk Measures, and Application to Risk Capital Allocation June 3, 15:30-16:00 2.3 EF
Schneider, Judith C. Robust Measurement of Heavy-Tailed Risks: Theory and Implementation June 4, 12:30-13:00 4.6 L
Schweizer, Janina Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo June 4, 12:00-12:30 4.1 AB
Schweizer, Martin Financial bubbles in incomplete markets June 4, 15:00-15:30 5.2 CD
Schwenkler, Gustavo Simulated Likelihood for Discretely Observed Jump-Diffusions June 3, 15:00-15:30 2.8 1+2
Seiferling, Thomas Consumption and portfolio optimization with stochastic differential utility June 3, 15:30-16:00 2.2 CD
Selch, Daniela A multivariate claim number process with simultaneous claim arrivals and its application to insurance modeling June 4, 14:30-15:00 5.7 I
Seydel, Roland A Tractable Multi-Factor Dynamic Term-Structure Model for Risk Management June 5, 12:00-12:30 7.4 K
Shen, Sally Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets June 5, 14:30-15:00 8.2 CD
Shibata, Takashi Investment timing and financing strategies under collateral constraint June 5, 17:00-17:30 9.4 K
Skabelin, Alexander Discrete Barrier Options. Exact Geometric Solution. June 4, 11:30-12:00 4.5 G
Soner, H. Mete Asymptotic results with small transaction costs June 4, 14:30-15:00 5.6 L
Song, Shiqi Local solution method for the problem of enlargement of filtration June 5, 16:30-17:00 9.4 K
Sosnovskiy, Sergey Market capitalizations, Poisson-Dirichlet subordinators and Fractional Calculus June 4, 17:30-18:00 6.8 1+2
Stadje, Mitja Time-consistent and market-consistent evaluations June 5, 16:30-17:00 9.3 EF
Stelzer, Robert Stochastic Volatility and Possible Long Memory: The supOU Model June 3, 14:00-14:30 2.7 I
Stilger, Przemyslaw Multi-Level Monte Carlo Simulations with Importance Sampling June 3, 12:30-13:00 1.1 AB
Stoev, Yavor Equilibrium with imbalance of the derivative market June 4, 15:30-16:00 5.9 H
Takada, Hideyuki Numerical calculation of rating transition matrix depending on latent macro factor via nonlinear particle filter method June 3, 15:30-16:00 2.5 G
Tangpi, Ludovic Fundamental theorem of asset pricing without reference measure June 4, 17:00-17:30 6.3 EF
Tappe, Stefan Affine realizations for Levy driven interest rate models with real-world forward rate dynamics June 3, 16:30-17:00 3.4 K
Teichmann, Josef When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms June 4, 15:00-15:30 5.4 K
Teng, Hueiwen A direct method for calculating Greeks under some Levy processes June 4, 11:30-12:00 4.1 AB
Thul, Matthias Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model June 3, 17:00-17:30 3.1 AB
Tistaert, Jurgen ING Lecture: To model or not to model? To be used or to be believed? The taming of the financial models June 3, 17:30-18:00 ING AB
Tunaru, Radu Dividend Derivatives June 5, 12:00-12:30 7.5 G
Uchida, Yoshihiko A pricing theory on finite number of issued securities June 5, 15:00-15:30 8.6 L
Ulbricht, Björn Modeling capital gains taxes for trading strategies of infinite variation June 4, 15:00-15:30 5.8 1+2
Van Beek, Misha Markov switching affine processes and applications to credit risk June 3, 12:30-13:00 1.4 K
Vandenbroucke, Jurgen Constant proportion strategies that deal with the lack of borrowing June 5, 11:30-12:00 7.8 1+2
Vasiljevic, Nikola European and American Parisian options in a jump-diffusion model June 4, 15:00-15:30 5.5 G
Vecer, Jan Optimal Portfolio Choice with Multiple Benchmarks June 3, 11:30-12:00 1.2 CD
Veraart, Almut Modelling high frequency financial data by integer-valued trawl processes June 4, 17:30-18:00 6.9 H
Veraart, Luitgard Risk premia in energy markets June 3, 15:00-15:30 2.6 L
Von Sydow, Lina Fast option pricing based on a principal component analysis using adaptive finite differences in space and discontinuous Galerkin in time June 3, 15:00-15:30 2.1 AB
Vrins, Frederic Conic martingales June 3, 14:30-15:00 2.8 1+2
Webber, Nick Decision making in a practice framework June 5, 16:30-17:00 9.5 G
Weber, Stefan Liquidity-adjusted risk measures June 3, 14:30-15:00 2.3 EF
Willemen, Jan Positive Default Intensities June 3, 11:00-11:30 1.4 K
Wojakowski, Rafal On mortgage design: Eliminating negative feedback loops with Continuous and Automatic Workouts June 5, 16:30-17:00 9.7 I
Wong, Hoi Ying Portfolio Optimization with Ambiguous Correlation And Stochastic Volatilities June 3, 17:00-17:30 3.2 CD
Wunderlich, Ralf Dynamic Programming Equations for Portfolio Optimization under Partial Information with Expert Opinions June 5, 12:00-12:30 7.2 CD
Wyns, Maarten Convergence of the Modified Craig-Sneyd scheme for multi-dimensional convection-diffusion equations with application to the Heston PDE June 3, 16:30-17:00 3.1 AB
Wystup, Uwe Embedded Currency Exchange Options in Roll-over Loans June 5, 17:30-18:00 9.2 CD
Xiu, Dacheng Resolution of Policy Uncertainty and Sudden Declines in Volatility June 5, 15:30-16:00 8.7 I
Xu, Mingxin Forward Stopping Rule Within HJM Framework June 3, 11:30-12:00 1.5 G
Xu, Zuoquan Quantile formulation: A link between Rank-dependent utility theory and expected utility theory June 5, 17:00-17:30 9.5 G
Yam, Phillip Rationality under Disappointment June 5, 17:00-17:30 9.3 EF
Yamada, Yuji Evaluation of individual equity values for basket type first passage time structural models June 5, 15:00-15:30 8.3 EF
Zeng, Pingping Pricing barrier and Bermudan style options under time-changed Levy processes: fast Hilbert transform approach June 3, 12:00-12:30 1.1 AB
Zhang, Kun A Bayesian analysis of modelling stock returns with time-changed Lévy processes June 4, 17:00-17:30 6.7 I
Zhang, You You Brownian Excursions and related Drawdown Options June 5, 15:30-16:00 8.5 G
Zhao, Qian Consumption-Leisure-Investment Strategies with Time-Inconsistent Preference in a Life-Cycle Model June 5, 11:30-12:00 7.2 CD