Mathématiques financières et calcul stochastique
16-21 Jan 2023 Métabief (France)
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Week
Mon. 16
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Friday, January 20, 2023
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07:00
08:00
09:00
10:00
11:00
12:00
13:00
14:00
15:00
16:00
17:00
›7:30 (2h)
Breakfast
› 12631
7:30 - 9:30 (2h)
Breakfast
12631
›9:30 (2h30)
Free
› -1
9:30 - 12:00 (2h30)
Free
-1
›12:00 (1h30)
Lunch
› 12631
12:00 - 13:30 (1h30)
Lunch
12631
›14:00 (45min)
Noncommutative martingale inequalities
Quanhua XU
› 12630
14:00 - 14:45 (45min)
Noncommutative martingale inequalities
12630
Quanhua XU
https://colbachelier22.sciencesconf.org/data/program/Xu_Quanhua.pdf
›14:45 (45min)
Dynamic programming for mean-variance portfolio selection
Martin Schweizer
› 12630
14:45 - 15:30 (45min)
Dynamic programming for mean-variance portfolio selection
12630
Martin Schweizer
›15:30 (30min)
Mild to classical solutions for XVA equations under stochastic volatility
Alexander Kalinin
› 12630
15:30 - 16:00 (30min)
Mild to classical solutions for XVA equations under stochastic volatility
12630
Alexander Kalinin
https://colbachelier22.sciencesconf.org/data/program/Kalinin.pdf
›16:00 (30min)
Coffee break
› 12632
16:00 - 16:30 (30min)
Coffee break
12632
›16:30 (45min)
Signature stochastic volatility models: pricing and hedging with Fourier
Louis-Amand Gérard
› 12630
16:30 - 17:15 (45min)
Signature stochastic volatility models: pricing and hedging with Fourier
12630
Louis-Amand Gérard
https://colbachelier22.sciencesconf.org/data/program/GERARD_Louis_Amand_1.pdf
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