Mathématiques financières et calcul stochastique
16-21 janv. 2023 Métabief (France)
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Programme
Semaine
Lun. 16
Mar. 17
Mer. 18
Jeu. 19
Ven. 20
Sam. 21
Liste
lundi 16 janvier 2023
›
07:00
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
18:00
19:00
20:00
›7:30 (1h45)
Petit déjeuner
› 12631
7:30 - 9:15 (1h45)
Petit déjeuner
12631
›9:15 (45min)
Optimal stopping: Bermudan strate- gies meet non-linear evaluations
Miryana Grigorova
› 12630
9:15 - 10:00 (45min)
Optimal stopping: Bermudan strate- gies meet non-linear evaluations
12630
Miryana Grigorova
https://colbachelier22.sciencesconf.org/data/program/Grigorova.pdf
›10:00 (45min)
Robust asymptotic insurance-finance arbitrage
Thorsten Schmidt
› 12630
10:00 - 10:45 (45min)
Robust asymptotic insurance-finance arbitrage
12630
Thorsten Schmidt
https://colbachelier22.sciencesconf.org/data/program/Schmidt.pdf
›10:45 (20min)
Pause café
› -1
10:45 - 11:05 (20min)
Pause café
-1
›11:05 (45min)
Optimal ratcheting of dividends in insurance
Hansjoerg Albreche
› 12630
11:05 - 11:50 (45min)
Optimal ratcheting of dividends in insurance
12630
Hansjoerg Albreche
https://colbachelier22.sciencesconf.org/data/program/Albrecher.pdf
›11:50 (30min)
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
Yuri Kabanov
› 12630
11:50 - 12:20 (30min)
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions
12630
Yuri Kabanov
https://colbachelier22.sciencesconf.org/data/program/Kabanov.pdf
›12:20 (1h10)
Déjeuner
› 12631
12:20 - 13:30 (1h10)
Déjeuner
12631
›14:00 (45min)
Convex stochastic optimization
Teemu Pennanen
› 12630
14:00 - 14:45 (45min)
Convex stochastic optimization
12630
Teemu Pennanen
https://colbachelier22.sciencesconf.org/data/program/Pennanen.pdf
›14:45 (45min)
On exponential almost sure synchroniza- tion of a one-dimensional diffusion with nonregular drift
Olga Aryasova
› 12630
14:45 - 15:30 (45min)
On exponential almost sure synchroniza- tion of a one-dimensional diffusion with nonregular drift
12630
Olga Aryasova
›15:40 (30min)
Second order random fields and yield curve modeling
Raphael Douady
› 12630
15:40 - 16:10 (30min)
Second order random fields and yield curve modeling
12630
Raphael Douady
›16:10 (20min)
Pause café
› 12632
16:10 - 16:30 (20min)
Pause café
12632
›16:30 (30min)
The normal approximation of com- pound Hawkes functionals
Mahmoud Khabou
› 12630
16:30 - 17:00 (30min)
The normal approximation of com- pound Hawkes functionals
12630
Mahmoud Khabou
https://colbachelier22.sciencesconf.org/data/program/Khabou.pdf
›17:00 (30min)
Misfortunes never come singly: managing the risk of chain disasters
Aleksey Minabutdinov
› 12630
17:00 - 17:30 (30min)
Misfortunes never come singly: managing the risk of chain disasters
12630
Aleksey Minabutdinov
https://colbachelier22.sciencesconf.org/data/program/Minabutdinov.pdf
›19:00 (1h30)
Dîner
› 12631
19:00 - 20:30 (1h30)
Dîner
12631
Session
Discours
Logistique
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