Advances in Financial Mathematics

10-13 Jan 2017 Paris (France)

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Week Tue. 10 Wed. 11 Thu. 12 Fri. 13 List

‹ Wednesday, January 11, 2017 ›

09:00

10:00

11:00

12:00

13:00

14:00

15:00

16:00

17:00

18:00

›9:00 (45min)

Plenary Talk: Mete Soner

› Amphitheater Pasquier

9:00 - 9:45 (45min)

Plenary Talk: Mete Soner

Amphitheater Pasquier

› Trading with market impact - Mete Soner, ETH Zurich 09:00-09:45 (45min)

›9:45 (45min)

Plenary talk: Zorana Grbac

› Amphitheater Pasquier

9:45 - 10:30 (45min)

Plenary talk: Zorana Grbac

Amphitheater Pasquier

› Canceled - Zorana Grbac, University Paris Diderot 09:45-10:30 (45min)

›10:30 (30min)

Coffee break

10:30 - 11:00 (30min)

Coffee break

›11:00 (1h40)

Financial Engineering

11:00 - 12:40 (1h40)

Financial Engineering

› Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio - Christa Cuchiero, University of Vienna 11:00-11:25 (25min)

› Limited liability, or how to prevent slavery in contract theory - Dylan Possamai, CEntre de REcherches en MAthématiques de la DEcision 11:25-11:50 (25min)

› Parametric Option Pricing by Interpolation - Kathrin Glau, Technische Universität München 11:50-12:15 (25min)

› Remarks on rough Bergomi: asymptotics and calibration - Antoine Jacquier, Imperial College London 12:15-12:40 (25min)

›15:00 (45min)

Plenary talk: Masaaki Fukasawa

› Amphitheater Pasquier

15:00 - 15:45 (45min)

Plenary talk: Masaaki Fukasawa

Amphitheater Pasquier

› At-the-money short-term asymptotics under stochastic volatility models - Masaaki Fukasawa, Osaka University 15:00-15:45 (45min)

›15:45 (45min)

Plenary talk: Benjamin Jourdain

› Amphitheater Pasquier

15:45 - 16:30 (45min)

Plenary talk: Benjamin Jourdain

Amphitheater Pasquier

› Existence to a calibrated regime-switching local volatility model - Benjamin Jourdain, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique 15:45-16:30 (45min)

›16:30 (30min)

Coffee break

16:30 - 17:00 (30min)

Coffee break

›17:00 (1h)

Flash Talks

17:00 - 18:00 (1h)

Flash Talks

› Pricing CVA adjustments: An expansion approach for WWR - Marouan Iben Taarit, Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique 17:00-17:10 (10min)

› Large deviations for affine processes and application to variance reduction for pricing - David Krief, University Paris Diderot 17:10-17:20 (10min)

› Total variation convergence for numerical schemes for SDE - Clément Rey, Laboratoire de Probabilités et Modèles Aléatoires 17:20-17:30 (10min)

› Interest rate models enhanced with local volatilities - Lingling Cao, Societe Generale 17:30-17:40 (10min)

› Local volatility models enhanced with jumps - Hamza Guennoun, Societe Generale 17:40-17:50 (10min)

› Analysis of the behavior of High Frequency Traders on Euronext Paris - Pamela Saliba, Laboratoire de Probabilités et Modèles Aléatoires 17:50-18:00 (10min)

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