# Schedule

## Schedule and slides

Tuesday, September 3th |
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8:30 - 9:00 *Welcome*

9:00 - 9:40 **Masaaki KIJIMA ** *Credit-Equity modeling under a Latent Lévy Firm Process.* [Slides]

9:40 - 9:50 *Break*

9:50 - 10:30 **Albina DANILOVA ** *Risk aversion of market makers and asymmetric information.* [Slides]

10:30 - 10:50 *Coffee break*

10:50 - 11:30 **Min DAI** *Calibration of Stochastic Volatility Models: A Tikhonov Regularization Approach. *[Slides]

11:30 - 11:40 *Break*

11:40 - 12:20 **Thorsten RHEINLANDER ** *General self-duality with applications to exotic option valuation.*[Slides]

12:30 - 14:00 *Lunch*

14:00 - 14:40 **Huyên PHAM ** *Semi-Markov model for market micro-structure and high frequency trading.*[Slides]

14:40 - 14:50 *Break*

14:50 - 15:30 **Peter TANKOV ** *Asymptotics for sums of log-normal random variables and applications in finance.* [Slides]

15:30 - 15:50 *Coffee Break*

15:50 - 16:30 **Stéphane CREPEY ** *Wrong Way and Gap Risks modeling: A Marked Default Time Approach.*[Slides]

16:30 - 16:40 *Break*

16:40 - 17:20 **Jan KALLSEN ** *The general structure of optimal investment and consumption with small transaction costs.*[Slides]

17:20 - 17:30 *Break*

17:30 - 18:10 **Emmanuel LEPINETTE ** *Financial market models defined by a random preference relation. Essential supremum and maximum of a family of random variables with respect to a random preference relation. Applications.*[Slides]

18:30 - 20:00 *Visit of the Jean Lurçat Museum*

20:00 - 21:00 *Dinner*

Wednesday, September 4th |
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9:00 - 9:40 **Ernst EBERLEIN ** *A theory of two prices in continuous time.*

9:40 - 9:50 *Break*

9:50 - 10:30 **Teruyoshi SUZUKI ** *The Pricing Model of Corporate Securities under Cross-Holdings of Equities and Debts.*[Slides]

10:30- 10:50 *Coffee break*

10:50 - 11:30 ** Monique JEANBLANC ** * Random times, progressive enlargement and arbitrages.[Slides]
11:30 - 11:40 Break
11:40 - 12:20 Wolfgang RUNGGALDIER On market models that do not admit an ELMM but satisfy weaker forms of no-arbitrage.[Slides]*

12:30 - 14:00 * Lunch*

14:00 - 14:40 ** Ying HU ** *Mean-variance portfolio selection with uncertain drift and volatility.*[Slides]

14:40 - 14:50 *Break*

14:50 - 15:30 **Ying JIAO ** *Hedging under multiple risk constraints. *[Slides]

15:30 - 15:50 *Coffee break*

15:50 - 16:30 **Takashi SHIBATA ** *Investment strategies under debt borrowing limit constraints.* [Slides]

16:30 - 16:40 *Break*

16:40 - 17:20 **Ernst PRESMAN ** *Solution of Opimal Stopping Problems by Modification of Payoff Function.*[Slides]

17:20 - 17:30 *Break*

17:30 - 18:00 **Pierre-Yves MADEC ** *Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions.*[Slides]

18:00 - 18:30 **Adrien RICHOU ** *Numerical simulation of BSDEs with drivers of quadratic growth with respect to Z.*[Slides]

20:00 - 21:00 *Dinner*

Thursday, September 5st |
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9:00 - 9:40 **Emmanuel GOBET ** *SAFE method for analytical approximation of multidimensional diffusion, and applications. *[Slides]

9:40 - 9:50 *Break*

9:50 - 10:30 ** Bruno BOUCHARD ** *Dynamic programming for a class of stochastic target games - Application to hedging under model uncertainty.*[Slides]

10:30 - 10:50 *Coffee break*

10:50 - 11:30 **Raphael DOUADY ** *The Whys of the LOIS: Credit Skew and Funding Spread Volatility.*[Slides]

11:30 - 11:40 *Break*

11:40 - 12:20 **Victor DOMANSKY ** *Game-theoretic models of financial markets.*[Slides]

12:20 - 13:20 * Lunch*

13:30 *Visit of Saumur town and abbey Fontevraud *

20:00 *Conference dinner*

Friday, September 6st |
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9:00 - 9:40 **Nizar TOUZI ** *Martingale optimal transport and model-free hedging.*[Slides]

9:40 - 9:50 *Break*

9:50 - 10:30 **Anis MATOUSSI ** *Robust maximization utility problem with non-entropic penalization /OR / Second order BSDE’s and SPDE’s.*[Slides]

10:30- 10:50 *Coffee break*

10:50 - 11:30 **Caroline HILLAIRET ** *Ramsey Rules and Yields Curve Dynamics.*[Slides]

11:30 - 11:40 *Break *

11:40 - 12:10 **Michael SCHMUTZ ** *Methods from mathematical finance in risk based solvency frameworks for insurance companies.* [for slides contact michael.schmutz@stat.unibe.ch]

12:10 - 12:40 **Alexander SLASTNIKOV ** *Model of financing risky projects: Optimization of a bank credit policy and governmental guarantees.*[Slides]

12:40 - 14:00 * Lunch*

14:00 - 14:40 **Antony REVEILLAC ** *Non-classical of BSDEs arising in the utility maximization problem with random horizon.* [Slides]

14:40 - 14:50 *Break*

14:50 - 15:30 **Marie Amelie MORLAIS ** *Study of a general switching game.* [Slides]

15:30 - 16:00 *Coffee break*

16:00 - 16:30 **Anastasia ELLANSKAYA ** *Indifference pricing of exponential Levy models.* [Slides]

16:30 - 17:00 **Achref BACHOUCH ** * Numerical scheme for semi-linear Stochastic PDE’s via Backward Doubly Stochastic Differential Equations.*[Slides]

17:00 - 17:30 **Shiqi Song ** * Optional splitting formula in a progressively enlarged filtration.*[Slides]

17:30 - 18:00 *Closing*

20:00 - 21:00 *Dinner*

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