| Room A Auditorium |
Room B | Room C | |
| Monday, June 10th | |||
| 10.00-10.30 | Opening | ||
| 10.30-11.30 | H. Föllmer Shifting martingale measures and the slow birth of a bubble  |
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| 11.30-12.00 | break | ||
| 12.00-12.30 | O. Menkens Costs and benefits of crash hedging strategies |
F. Oertel Stochastic modelling of counterparty credit risk, CVA and DVA |
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| 12.30-13.00 | K. Zhang Rare events, asymmetric correlation and under diversification |
K. Rognlien Dahl Duality methods for pricing contingent claims under short selling constraints |
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| 13.00-15.00 | lunch | ||
| 15.00-16.00 | F. Benth Modelling forwards in energy markets |
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| 16.00-16.30 | break | ||
| 16.30-17.00 | M. Eriksson Energy derivatives with volume control |
P. Roome Asymptotics of forward implied volatility |
P. Siorpaes Do arbitrage-free prices come from utility maximization? |
| 17.00-17.30 | N. Detering Pricing & hedging asian-style options in energy |
L.A. Abbas-Turki European options sensitivity with respect to the correlation for multidimensional Heston models |
J. Zhang Optimal dual martingales and new algorithms for Bermudan products |
| 17.30-18.00 | H. Eyjolfsson Ambit fields via Fourier methods in the context of power markets |
M. Wiśniewolski Linear stochastic volatility models |
T. Tkaliński Convex hedging of non-superreplicable contingent claims in general semimartingale models |
| 18.15 | Welcome party | ||
| Tuesday, June 11th | |||
| 9.00-10.00 | R. Cont Systemic risk: a challenge for mathematical modeling |
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| 10.10-10.40 | C. Klüppelberg Testing for non-correlation between price and volatility jumps |
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| 10.40-11.15 | break | ||
| 11.15-11.45 | G. Di Nunno Market with memory: pricing and sensitivity analysis |
T. De Angelis A stochastic reversible investment problem on a finite-time horizon: free boundary analysis |
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| 11.50-12.20 | P. Fodra A semi-Markov process approach for market microstructure and high frequency trading |
G. Ferrari On an integral equation for the free boundary of stochastic, irreversible investment problems |
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| 12.25-12.55 | S. Gerhold Local volatility models: Approximation and regularization |
C. Belak Worst-case portfolio optimization in a market with bubbles |
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| 13.00-14.30 | lunch | ||
| 14.30-14.55 | poster session | ||
| 15.00-16.00 | D. Filipovic Scenario aggregation for solvency regulation |
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| 16.00-16.20 | break | ||
| 16.20-16.50 | G. Andruszkiewicz Estimating animal spirits |
H. Feng Gambling in contests with regret |
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| Wednesday, June 12th | |||
| 9.00-10.00 | M. Jeanblanc Multidefault models |
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| 10.10-10.40 | U. Schmock On the existence of an equivalent martingale measure in the Dalang-Morton-Willinger theorem, which preserves the dependence structure |
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| 10.40-11.15 | break | ||
| 11.15-11.45 | M. Vanmaele Robustness of quadratic hedging strategies via backward stochastic differential equations with jumps |
S. Altay Digital double barrier options: several barrier periods and structure floors |
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| 11.50-12.20 | G. Deelstra Optimal timing for annuitization by using expected present value operators |
F. Heuwelyckx On the convergence of European lookback options with floating strike in the binomial model |
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| 12.25-12.55 | Ł. Delong Instantaneous mean-variance hedging and instantaneous Sharpe ratio pricing in a regime-switching financial model, with applications to insurance |
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| 13.00 | lunch | ||
| 13.30 | excursion | ||
| Thursday, June 13th | |||
| 9.00-10.00 | D. Brigo Funding, credit, collateral and hedging: arbitrage free valuation under non-separable risks |
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| 10.10-11.10 | P. Salminen Optimal stopping, Riesz representation and expected suprema |
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| 11.10-11.45 | break | ||
| 11.45-12.15 | L. Hughston Lévy information and the aggregation of risk aversion |
J. Hirz Conditional quantiles, conditional weighted expected shortfall and application to risk capital allocation |
A. Papapantoleon Affine LIBOR models with multiple curves: theory and calibration |
| 12.25-12.55 | M. Rásonyi Superhedging under liquidity constraints |
A. Janssen Applications of the likelihood theory in finance: modelling and pricing |
A. Daniluk The approximation of bonds and swaptions prices in a Black-Karasinski model based on the Karhunen-Loeve expansion |
| 13.00-15.00 | lunch | ||
| 15.00-16.00 | R. Stelzer The multivariate Ornstein-Uhlenbeck type stochastic volatility model |
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| 16.00-16.30 | break | ||
| 16.30-17.00 | S. Desmettre Optimal investment with illiquid assets |
E. Rosazza Gianin Portfolio optimization with quasiconvex risk measures |
O. Reichmann Efficient numerical methods for option pricing in time-inhomogeneous models |
| 17.00-17.30 | V. Ly Vath Optimal liquidation under stochastic liquidity and regime shifting |
K. F. Bannör Incorporating parameter risk into derivatives prices - an approach to bid-ask spreads |
P. Hieber Time-changed Brownian motion and option pricing |
| 17.30-18.00 | E. Chevalier Optimal market making strategies under inventory constraints |
S. Källblad Ambiguity averse portfolio optimization with respect to quasiconcave utility functionals |
R. Ben Abdallah Pricing options embedded in bonds |
| 19.00 | Conference Dinner - restaurant Galeria Freta, 39, Freta street (New Town Square) | ||
| Friday, June 14th | |||
| 10.00-10.40 | M. Rutkowski Multi-person game options in discrete and continuous time |
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| 10.40-11.15 | break | ||
| 11.15-11.45 | M. Leniec Role of information in pricing default-sensitive contingent claims |
T. Kruse BSDEs with singular terminal condition and control problems with constraints |
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| 11.50-12.20 | A. Aksamit Thin random times and their applications to finance |
K. Kentia Tonleu Generalized good-deal bounds and robust hedging under model uncertainty |
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| 12.25-12.55 | C. Fontana Arbitrages arising with honest times |
M. Niewęgłowski Local risk minimization for dividend streams, BSDE approach |
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| 13.00-15.00 | lunch | ||
| 15.00-16.00 | W. Runggaldier Expected log-utility maximization under incomplete information and with Cox-process observation |
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| 16.00-16.30 | break | ||
| 16.30-17.00 | M. Karliczek Dynamic assessment indices |
M.A. Mikou Exercise boundary of the American put near maturity in an exponential Lévy model |
Y. Wang Option pricing and calibration with time-changed Lévy processes |
| 17.00-17.30 | M. Pitera Dynamic limit growth indices |
A. Khedher Computation of conditional expectations with application to pricing of financial products in Lévy and jump-diffusion setting |
C. Buescu An application of the method of moments to range-based volatility estimation using HLOC prices |
| 17.30-18.00 | T. Arai Convex risk measures for càdlàg processes on Orlicz hearts |
A. Bouselmi Critical price near maturity for American option in jump-diffusion model |
F. Guillaume A moment matching market implied calibration |
| Saturday, June 15th | |||
| 9.00-10.00 | Y. Mishura Financial models with long-range dependence |
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| 10.10-10.40 | G. Di Graziano Optimal trading stops |
P. Jaworski Financial markets contagion - the spatial approach |
D. Zawisza Robust consumption-investment problem over infinite horizon |
| 10.40-11.15 | break | ||
| 11.15-11.45 | M. Gaigi Numerical approximation for a portfolio optimization problem under liquidity risk and costs |
R. Łochowski Full cooperation applied to environmental improvements |
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| 11.50-12.20 | T. Rogala Construction of discrete time shadow price |
L. Teng A general approach for stochastic correlation using hyperbolic functions |
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| 12.25-12.55 | P. Rola Arbitrage on markets with proportional transaction costs and shortsale restrictions |
S. Dendievel Markovian fluid queues in ALM |
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| 13.00-13.10 | Closing | ||
| 13.10 | lunch | ||