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 |