Programme

To compose your own programme, you need to create an account on this website and log in. You can then add plenary, parallel or poster presentations to your programme by clicking on the grey stars. Note that this account gives access to the conference website only. If you would like to register for the conference itself, please follow the guidelines at http://www.bacheliercongress.com/2014/registration.

Plenary Parallel Poster

Monday 2 June

12:00-14:00	Registration (MCE Conference Center)
14:00-14:30	Welcome (room AB)
14:30-15:30	Eckhard Platen: Beyond the classical paradigm
15:30-16:00	Coffee break
16:00-17:00	Paul Embrechts: Risk aggregation under dependence uncertainty
17:00-18:00	Ioannis Karatzas: Stable diffusions with rank-based interactions and models of large equity markets
19.00-21.00	Reception (City Hall)

Tuesday 3 June

08:30-09:30	Paul Glasserman: Market-triggered contingent capital: equilibrium price dynamics
09:30-10:30	Darrell Duffie: Efficient contracting in network markets
10:30-11:00	Poster session 1 and coffee break
11:00-13:00	Parallel sessions on Computational Finance \| Portfolio Optimization \| Hedging \| Credit \| Options, Futures \| Risk Management \| Stochastic Volatility \| Market Microstructures \| Liquidity
13:00-14:00	Lunch
14:00-16:00	Parallel sessions on Computational Finance \| Portfolio Optimization \| Risk Measures \| Interest Rates \| Credit \| Energy Finance \| Stochastic Volatility \| Stochastic Analysis \| Liquidity
16:00-16:30	Poster session 2 and coffee break
16:30-17:30	Parallel sessions on Computational Finance \| Portfolio Optimization \| Risk Measures \| Interest Rates \| Options, Futures \| Economics \| Utility \| Stochastic Analysis \| Econometrics
17:30-18:00	ING lecture: To model or not to model? To be used or to be believed? The taming of the financial models

Wednesday 4 June

08:30-09:00	On the life of Marc Yor
09:00-10:00	Helyette Geman: Introducing Metrics to Measure Integration between Commodity Markets
10:00-11:00	David Hobson: Model-free hedging
11:00-11:30	Poster session 3 and coffee break
11:30-13:00	Parallel sessions on Computational Finance \| Portfolio Optimization \| Risk Measures \| Interest Rates \| Options, Futures \| Risk Management \| Hedging \| Trading (Strategies) \| Transaction Costs
13:00-13:45	Lunch
13:45-14:30	General Meeting Bachelier Finance Society (room AB)
14:30-16:00	Parallel sessions on Computational Finance \| Portfolio Optimization \| Risk Measures \| Interest Rates \| Options, Futures \| Transaction Costs \| Insurance \| Trading (Strategies) \| Economics
16:00-16:30	Poster session 4 and coffee break
16:30-18:00	Parallel sessions on Computational Finance \| Portfolio Optimization \| Risk Measures \| Interest Rates \| Commodities \| Risk Management \| Stochastic Volatility \| Stochastic Analysis \| Econometrics

Thursday 5 June

09:00-10:00	Steven Shreve: Diffusion scaling of a limit-order book model
10:00-11:00	Rama Cont: High frequency trading in limit order markets: mathematical modeling and asymptotic analysis
11:00-11:30	Poster session 5 and coffee break
11:30-13:00	Parallel sessions on Transaction Costs \| Portfolio Optimization \| Risk Measures \| Interest Rates \| Options, Futures \| Risk Management \| Energy Finance \| Trading (Strategies)
13:00-14:00	Lunch
14:00-16:00	Parallel sessions on Computational Finance \| Portfolio Optimization \| Hedging \| Credit \| Options, Futures \| Liquidity \| Stochastic Volatility \| Trading (Strategies)
16:00-16:30	Poster session 6 and coffee break
16:30-18:00	Parallel sessions on Computational Finance \| Hybrids \| Risk Measures \| Interest Rates \| Utility \| Calibration \| Insurance \| Stochastic Analysis
19:00-23:00	Conference Dinner (Marriott hotel)

Friday 6 June

08:30-09:15	Coffee (Auditorium National Bank of Belgium)
09:15-09:30	Welcome (auditorium National Bank of Belgium)
09:30-10:30	Peter Carr: Derivatives and duality
10:30-11:30	Ernst Eberlein: Valuation in illiquid markets
11.30-12.00	Closing ceremony