Planning
| Time |
Event |
(+)
|
|
07:30 - 09:15
|
Breakfast (Restaurant) |
|
|
09:15 - 10:00
|
Optimal stopping: Bermudan strate- gies meet non-linear evaluations (Salle de conférence Mont d'Or) - Miryana Grigorova |
|
|
10:00 - 10:45
|
Robust asymptotic insurance-finance arbitrage (Salle de conférence Mont d'Or) - Thorsten Schmidt |
|
|
10:45 - 11:05
|
Coffee break |
|
|
11:05 - 11:50
|
Optimal ratcheting of dividends in insurance (Salle de conférence Mont d'Or) - Hansjoerg Albreche |
|
|
11:50 - 12:20
|
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions (Salle de conférence Mont d'Or) - Yuri Kabanov |
|
|
12:20 - 13:30
|
Lunch (Restaurant) |
|
|
14:00 - 14:45
|
Convex stochastic optimization (Salle de conférence Mont d'Or) - Teemu Pennanen |
|
|
14:45 - 15:30
|
On exponential almost sure synchroniza- tion of a one-dimensional diffusion with nonregular drift (Salle de conférence Mont d'Or) - Olga Aryasova |
|
|
15:40 - 16:10
|
Second order random fields and yield curve modeling (Salle de conférence Mont d'Or) - Raphael Douady |
|
|
16:10 - 16:30
|
Coffee break (Bar) |
|
|
16:30 - 17:00
|
The normal approximation of com- pound Hawkes functionals (Salle de conférence Mont d'Or) - Mahmoud Khabou |
|
|
17:00 - 17:30
|
Misfortunes never come singly: managing the risk of chain disasters (Salle de conférence Mont d'Or) - Aleksey Minabutdinov |
|
|
19:00 - 20:30
|
Dinner (Restaurant) |
|
Tuesday, January 17, 2023
| Time |
Event |
(+)
|
|
07:30 - 09:30
|
Breakfast (Restaurant) |
|
|
09:30 - 12:00
|
Free |
|
|
12:00 - 13:30
|
Lunch (Restaurant) |
|
|
14:00 - 14:45
|
Regularized mean field optimization prob- lems (Salle de conférence Mont d'Or) - Zhenjie Ren |
|
|
14:45 - 15:15
|
Joint SPX–VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints (Salle de conférence Mont d'Or) - Shaun Li |
|
|
15:15 - 15:45
|
Approximation of PDEs on Wasserstein space and application to mean field control (Salle de conférence Mont d'Or) - Mehdi Talbi |
|
|
15:45 - 16:15
|
Backward Stochastic Differential Equations with interaction (Salle de conférence Mont d'Or) - Jasmina Djorevic |
|
|
16:15 - 16:45
|
Coffee break (Bar) |
|
|
16:45 - 17:15
|
Signature stochastic volatility mod- els: pricing and hedging with Fourier (Salle de conférence Mont d'Or) - Louis-Amand Gérard |
|
|
17:15 - 17:45
|
VOLTERRA SANDWICHED VOLATILITY MODEL: MARKOVIAN APPROXIMATION AND HEDG- ING (Salle de conférence Mont d'Or) - A. Yurchenko-Tytarenko |
|
|
19:00 - 20:30
|
Dinner (Restaurant) |
|
Wednesday, January 18, 2023
| Time |
Event |
(+)
|
|
07:30 - 09:30
|
Breakfast (Restaurant) |
|
|
09:30 - 12:00
|
Free |
|
|
12:00 - 13:30
|
Lunch (Restaurant) |
|
|
14:00 - 14:45
|
Large-scale Wasserstein gradient flows with applications for computing diffusions (Salle de conférence Mont d'Or) - Evgeny Burnaev |
|
|
14:45 - 15:30
|
Ergodic robust maximization of asymptotic growth under stochastic volatility (Salle de conférence Mont d'Or) - Josef Teichmann |
|
|
15:30 - 16:00
|
The Transfer Principal: Universal Approximators Between Metric Spaces From Euclidean Universal Approximators (Salle de conférence Mont d'Or) - Anastasis Kratsios |
|
|
16:00 - 16:30
|
Coffee break (Bar) |
|
|
16:30 - 17:00
|
Properties of utility maximization functionals for non-concave utility function in complete market model (Salle de conférence Mont d'Or) - Olena Bahchedjioglou |
|
|
17:00 - 17:30
|
ractional integral equations with weighted Takagi–Landsberg functions (Salle de conférence Mont d'Or) - Vitalii Makogin. |
|
|
19:00 - 20:30
|
Dinner (Restaurant) |
|
Thursday, January 19, 2023
| Time |
Event |
(+)
|
|
07:30 - 09:30
|
Breakfast |
|
|
09:30 - 12:00
|
Free |
|
|
12:00 - 13:30
|
Lunch |
|
|
14:00 - 14:45
|
Rogue Traders (Salle de conférence Mont d'Or) - Paolo Guasoni |
|
|
14:45 - 15:30
|
Joint calibration of SPX and VIX options with signature-based models (Salle de conférence Mont d'Or) - Christa Cuchier |
|
|
15:30 - 16:00
|
Parameter estimation in stochastic heat equation with fractional Brownian motion (Salle de conférence Mont d'Or) - Diana Avetisian |
|
| Time |
Event |
(+)
|
|
07:30 - 09:30
|
Breakfast (Restaurant) |
|
|
09:30 - 12:00
|
Free |
|
|
12:00 - 13:30
|
Lunch (Restaurant) |
|
|
14:00 - 14:45
|
Noncommutative martingale inequalities (Salle de conférence Mont d'Or) - Quanhua XU |
|
|
14:45 - 15:30
|
Dynamic programming for mean-variance portfolio selection (Salle de conférence Mont d'Or) - Martin Schweizer |
|
|
15:30 - 16:00
|
Mild to classical solutions for XVA equations under stochastic volatility (Salle de conférence Mont d'Or) - Alexander Kalinin |
|
|
16:00 - 16:30
|
Coffee break (Bar) |
|
|
16:30 - 17:15
|
Signature stochastic volatility models: pricing and hedging with Fourier (Salle de conférence Mont d'Or) - Louis-Amand Gérard |
|
Saturday, January 21, 2023
|
