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Akdogan, Ozan |
Theory of dynamical models of covariance swaps |
June 3, 10:30-11:00 |
P1 |
lobby |
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Alles Rodrigues, Alexandre |
Integrating Black-Litterman and the Mental Accounting Framework: A Sensible and Intuitive Approach |
June 3, 10:30-11:00 |
P1 |
lobby |
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Bannör, Karl Friedrich |
A BNS-type stochastic volatility model with non-joint jumps in the asset price and volatility |
June 3, 10:30-11:00 |
P1 |
lobby |
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Barkhagen, Mathias |
A stochastic programming model for hedging options in a market with transaction costs |
June 3, 10:30-11:00 |
P1 |
lobby |
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Bellini, Fabio |
On elicitable risk measures |
June 4, 16:00-16:30 |
P4 |
lobby |
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Boguslavskaya, Elena |
A method to solve optimal stopping problems for Lévy processes in infinite horizon |
June 3, 10:30-11:00 |
P1 |
lobby |
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Breuer, Thomas |
Almost worst case distributions |
June 3, 10:30-11:00 |
P1 |
lobby |
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Burzoni, Matteo |
On robustness of arbitrage from intrinsic market model properties |
June 3, 10:30-11:00 |
P1 |
lobby |
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Choi, Youngna |
Financial Instability Contagion – Dynamical Systems Approach |
June 3, 10:30-11:00 |
P1 |
lobby |
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Chung, Tsz-Kin |
Optimal Timing for Short Covering of a Security |
June 3, 10:30-11:00 |
P1 |
lobby |
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Corbetta, Jacopo |
Option pricing and smile asymptotics in a multiscaling stochastic volatility model |
June 4, 11:00-11:30 |
P3 |
lobby |
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Dahl, Kristina R. |
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives |
June 4, 11:00-11:30 |
P3 |
lobby |
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De Graaf, Kees |
A new hybrid Monte Carlo/Finite Difference method to obtain counterparty exposure profiles and sensitivities |
June 4, 11:00-11:30 |
P3 |
lobby |
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Dendievel, Sarah |
Markovian random walks to approximate Janssen's ALM risk model |
June 4, 11:00-11:30 |
P3 |
lobby |
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Derrett, David |
Continuously-generated Jump Processes: A framework for efficient pricing with jumps and stochastic volatility |
June 4, 11:00-11:30 |
P3 |
lobby |
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Dias, Alexandra |
Revisiting Value-at-Risk backtesting using Bayesian statistics |
June 4, 11:00-11:30 |
P3 |
lobby |
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Dong, Xin |
Diffusion Approximation of Bivariate Dynamic Contagion Processes and Applications in Filtering |
June 4, 11:00-11:30 |
P3 |
lobby |
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Dumitrescu, Roxana |
Double reflected BSDEs with jumps and generalized Dynkin games |
June 4, 11:00-11:30 |
P3 |
lobby |
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Eksi-Altay, Zehra |
Modeling Sovereign Credit Risk under Partial-information |
June 4, 11:00-11:30 |
P3 |
lobby |
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Farkas, Walter |
Multi-asset risk measures with applications to conical markets, risk sharing, and superhedging |
June 5, 11:00-11:30 |
P5 |
lobby |
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Fedyashov, Victor |
Ergodic BSDEs with jumps and their applications |
June 4, 11:00-11:30 |
P3 |
lobby |
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Fernandez, Lexuri |
Double-barrier first-passage times of jump-diffusion processes |
June 4, 16:00-16:30 |
P4 |
lobby |
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Gao, Xuefeng |
Hydrodynamic limit of order book dynamics |
June 4, 16:00-16:30 |
P4 |
lobby |
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Ghamlouch, Houda |
Data-based forecasting using stochastic processes |
June 3, 16:00-16:30 |
P2 |
lobby |
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Gnoatto, Alessandro |
Coherent foreign exchange market models |
June 3, 16:00-16:30 |
P2 |
lobby |
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Goncalves, Franklin |
Risk Management in Global Financial Markets: A Practical Perspective |
June 3, 16:00-16:30 |
P2 |
lobby |
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Gourier, Elise |
Information Contents of Option Prices on Idiosyncratic and Systematic Equity Risks |
June 3, 16:00-16:30 |
P2 |
lobby |
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Granelli, Andrea |
Modelling the variance risk premium of equity indices: the role of stochastic volatility, stochastic dependence and self- and mutually exciting jump processes |
June 3, 16:00-16:30 |
P2 |
lobby |
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Hou, Zhaoxu |
On pricing-hedging duality in robust mathematical finance |
June 3, 16:00-16:30 |
P2 |
lobby |
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Huang, Yao Tung |
Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products |
June 3, 16:00-16:30 |
P2 |
lobby |
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Höök, Josef |
A fast adjoint-based quasi-likelihood parameter estimation method for diffusion processes |
June 3, 16:00-16:30 |
P2 |
lobby |
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Ibrahim, Dalia |
Portfolio optimization under a partially observed stochastic volatility models |
June 3, 16:00-16:30 |
P2 |
lobby |
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Kalogeropoulos, Konstantinos |
Bayesian inference for stochastic volatility models driven by fractional Brownian Motion |
June 3, 16:00-16:30 |
P2 |
lobby |
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Kamtchueng, Christian |
Fully liquidity Adjusted CVA |
June 3, 16:00-16:30 |
P2 |
lobby |
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Kang, Boda |
Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time Dependent Volatility |
June 3, 16:00-16:30 |
P2 |
lobby |
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Khapko, Mariana |
Investment Incentives in the Presence of a Credit Rating Agency |
June 3, 16:00-16:30 |
P2 |
lobby |
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Konstantinides, Dimitrios |
Monetary Risk Measures on Orlicz Spaces produced by Set-Valued Risk Measures and Random Measures |
June 4, 16:00-16:30 |
P4 |
lobby |
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Lallouache, Mehdi |
Statistically significant fits of Hawkes processes to FX data |
June 4, 16:00-16:30 |
P4 |
lobby |
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Laminou Abdou, Souleymane |
Pricing and Hedging American and Hybrid Strangles with Finite Maturity |
June 4, 16:00-16:30 |
P4 |
lobby |
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Lee, Minku |
Pricing vulnerable option with credit default risk under stochastic volatility |
June 4, 16:00-16:30 |
P4 |
lobby |
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Loulit, Ahmed |
The Volterra Integral Approach as a Useful Technique to Analytically Price Complex Options: The Example of Double-Barrier Options |
June 4, 16:00-16:30 |
P4 |
lobby |
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Maignan, Michel |
Back to the Future, statistical data mining of Interest Rates Time-series |
June 4, 16:00-16:30 |
P4 |
lobby |
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Marquet, Ine |
The Impact of Skew on the Pricing of Coco Bonds |
June 5, 11:00-11:30 |
P5 |
lobby |
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Merino, Raúl |
About decomposition of pricing formulas under stochastic volatility models |
June 4, 16:00-16:30 |
P4 |
lobby |
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Mihaylov, Ivo |
An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs |
June 5, 11:00-11:30 |
P5 |
lobby |
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Mikus, Georg |
Valuation and Hedging Efficiency of Ratchet GMWBs for Life with Early Surrender via Least-Squares Monte Carlo |
June 5, 11:00-11:30 |
P5 |
lobby |
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Müller, Marvin |
A Stochastic Free Boundary Problem and Limit Order Book Model |
June 5, 11:00-11:30 |
P5 |
lobby |
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Necula, Ciprian |
An expansion-based closed form approximation for pricing basket and spread options |
June 5, 11:00-11:30 |
P5 |
lobby |
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Nishide, Katsumasa |
Heston-Type Stochastic Volatility with a Markov Switching Regime |
June 5, 11:00-11:30 |
P5 |
lobby |
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Nyul, Balazs |
Maximum likelihood estimation in special forward interest rate models |
June 5, 11:00-11:30 |
P5 |
lobby |
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Oliveira, Carlos |
A Black-Scholes equation for illiquid markets |
June 5, 11:00-11:30 |
P5 |
lobby |
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Paletta, Tommaso |
Pricing and Hedging Basket Options with Exact Moment Matching |
June 5, 11:00-11:30 |
P5 |
lobby |
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Pimentel, Rita |
To freeze or not to freeze the drift of Swap interest rates |
June 5, 11:00-11:30 |
P5 |
lobby |
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Pulido, Sergio |
Finite-state approximation of polynomial preserving processes |
June 5, 11:00-11:30 |
P5 |
lobby |
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Rathgeber, Andreas |
Modeling share returns - an empirical study on the Variance Gamma model |
June 5, 11:00-11:30 |
P5 |
lobby |
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Reynkens, Tom |
Contingent capital: a robust regression analysis |
June 5, 11:00-11:30 |
P5 |
lobby |
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Sadoghi, Amirhossein |
Optimum Strategy in Market Order Execution Associated with the Poisson Process |
June 5, 16:00-16:30 |
P6 |
lobby |
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Schwarz, Daniel |
Market Completion with Derivative Securities |
June 5, 16:00-16:30 |
P6 |
lobby |
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Schwendner, Peter |
Tail-risk protection trading strategies |
June 5, 16:00-16:30 |
P6 |
lobby |
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Son, Youngdoo |
Robust parameter estimation for the stochastic volatility model using Markov chain Monte Carlo |
June 5, 16:00-16:30 |
P6 |
lobby |
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Subramanian, Easwar |
Explicit Solutions and Performance Evaluation of Discrete-time Quadratic Optimal Hedging Strategies for European Contingent Claims |
June 5, 16:00-16:30 |
P6 |
lobby |
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Tee, Chyng Wen |
A Payoff Consistent Approach to Cash-Settled Swaptions and CMS Replication |
June 5, 16:00-16:30 |
P6 |
lobby |
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Tolomeo, Antonella |
The value of monitoring trading signals |
June 5, 16:00-16:30 |
P6 |
lobby |
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Tsukahara, Hideatsu |
Estimating and Backtesting Distortion Risk Measures |
June 5, 16:00-16:30 |
P6 |
lobby |
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Vadilyev, Alexander |
How Sensitive Is Corporate Demand for Internal Liquidity to Financial Development? |
June 5, 16:00-16:30 |
P6 |
lobby |
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Wang, Jingjing |
Stochastic control model for R&D race in a mixed duopoly with spillovers and knowledge stocks |
June 5, 16:00-16:30 |
P6 |
lobby |
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Weber, Marko |
Optimal trading with multiple assets and cross-price impact |
June 5, 16:00-16:30 |
P6 |
lobby |
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Wiktorsson, Magnus |
Fast Simultaneous Calibration and Quadratic Hedging under Parameter Uncertainty |
June 5, 16:00-16:30 |
P6 |
lobby |
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Yoshikawa, Daisuke |
A Theory of risk management with model risk and finiteness of number of issued securities |
June 5, 16:00-16:30 |
P6 |
lobby |
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Zisis, Sotiris |
A Computational Application for Portfolio Fitting and `Inui-Kijima' ES Estimation |
June 3, 10:30-11:00 |
P1 |
lobby |
