Poster session papers


Thursday 13.00 to 14.15 

Institut Henri Poincaré
  • Sabyasachi Ghoshray, "Towards a New Paradigm in Financial Risk Management by Incorporating Preferences with Prices and Probability", Cornell University
  • Evangelos Tabakis, "Information Principles and Heavy-tailed Returns in Discrete Incomplete Markets", University of Athens
  • Mikkel Baadsgaard, Jan Nygaard Nielsen and Henrik Madsen, "Estimating Multivariate Exponential-Affine Term  Structure Models from Coupon Bond Prices using Nonlinear Filtering", The Technical University of Denmark
  • Wolfgang J. Runggaldier, Barbara Trivellato and Tiziano Vargiolu, " A Bayesian Adaptive Control Approach to Risk Management in a Binomial Model", Università di Padova
  • Emmanuel Buffet, "Credit Risk : the Structural Approach Revisited", Dublin University
  • Jaume Masoliver, Miquel Montero and Josep M. Porr, "A Dynamical Model Describing Stock Market Price Distributions", University of Barcelona

Friday 13.00 to 14.15

Institut Henri Poincaré
  • Enrico Capobianco, "High Frequency Stock Returns Volatility: Feature Extraction and Pattern Recognition via Wavelet Transforms", Technical University of Denmark
  • C.F. Lo, C.H. Hui and P.H. Yuen, "Pricing Barrier Options with Square Root Process", the Chinese University of Hong Kong
  • Francine Diener and Marc Diener, "Asymptotique des oscillations du prix d'une option dans un modêle d'arbre", Université de Sophia-Antipolis
  • K. Buecker and D. Kelly-Lyth, "The Value of an Asian Option as a Double Integral", Maple Partners and Barbican Centre, London
  • Emilio Barucci, Maria Elvira Mancino and Roberto Reno, "Volatility Estimation via Fourier Analysis", Università di Pisa,  Università di Firenze, Scuola Normale Superiore di Pisa
  • Emmanuel Haven, "The use of a so called 'Information Wave Function' to model interaction between noise and fundamental traders", University of Concordia