Planning

Week Mon. 16 Tue. 17 Wed. 18 Thu. 19 Fri. 20 Sat. 21 List

	Mon. 16	Tue. 17	Wed. 18	Thu. 19	Fri. 20	Sat. 21
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	Breakfast 7:30 - 9:15 (1h45) Breakfast 12631 Optimal stopping: Bermudan strate- gies meet non-linear evaluations 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 Robust asymptotic insurance-finance arbitrage 10:00 - 10:45 (45min) Robust asymptotic insurance-finance arbitrage 12630 Thorsten Schmidt https://colbachelier22.sciencesconf.org/data/program/Schmidt.pdf Coffee break 10:45 - 11:05 (20min) Coffee break -1 Optimal ratcheting of dividends in insurance 11:05 - 11:50 (45min) Optimal ratcheting of dividends in insurance 12630 Hansjoerg Albreche https://colbachelier22.sciencesconf.org/data/program/Albrecher.pdf Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions 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 Lunch 12:20 - 13:30 (1h10) Lunch 12631 Convex stochastic optimization 14:00 - 14:45 (45min) Convex stochastic optimization 12630 Teemu Pennanen https://colbachelier22.sciencesconf.org/data/program/Pennanen.pdf On exponential almost sure synchroniza- tion of a one-dimensional diffusion with nonregular drift 14:45 - 15:30 (45min) On exponential almost sure synchroniza- tion of a one-dimensional diffusion with nonregular drift 12630 Olga Aryasova Second order random fields and yield curve modeling 15:40 - 16:10 (30min) Second order random fields and yield curve modeling 12630 Raphael Douady Coffee break 16:10 - 16:30 (20min) Coffee break 12632 The normal approximation of com- pound Hawkes functionals 16:30 - 17:00 (30min) The normal approximation of com- pound Hawkes functionals 12630 Mahmoud Khabou https://colbachelier22.sciencesconf.org/data/program/Khabou.pdf Misfortunes never come singly: managing the risk of chain disasters 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 Dinner 19:00 - 20:30 (1h30) Dinner 12631	Breakfast 7:30 - 9:30 (2h) Breakfast 12631 Free 9:30 - 12:00 (2h30) Free -1 Lunch 12:00 - 13:30 (1h30) Lunch 12631 Regularized mean field optimization prob- lems 14:00 - 14:45 (45min) Regularized mean field optimization prob- lems 12630 Zhenjie Ren https://colbachelier22.sciencesconf.org/data/program/Ren_Zhenjie_1.pdf Joint SPX–VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints 14:45 - 15:15 (30min) Joint SPX–VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints 12630 Shaun Li https://colbachelier22.sciencesconf.org/data/program/Li_Shaun_.pdf Approximation of PDEs on Wasserstein space and application to mean field control 15:15 - 15:45 (30min) Approximation of PDEs on Wasserstein space and application to mean field control 12630 Mehdi Talbi https://colbachelier22.sciencesconf.org/data/program/Talbi.pdf Backward Stochastic Differential Equations with interaction 15:45 - 16:15 (30min) Backward Stochastic Differential Equations with interaction 12630 Jasmina Djorevic Coffee break 16:15 - 16:45 (30min) Coffee break 12632 Signature stochastic volatility mod- els: pricing and hedging with Fourier 16:45 - 17:15 (30min) Signature stochastic volatility mod- els: pricing and hedging with Fourier 12630 Louis-Amand Gérard https://colbachelier22.sciencesconf.org/data/program/GERARD_Louis_Amand.pdf VOLTERRA SANDWICHED VOLATILITY MODEL: MARKOVIAN APPROXIMATION AND HEDG- ING 17:15 - 17:45 (30min) VOLTERRA SANDWICHED VOLATILITY MODEL: MARKOVIAN APPROXIMATION AND HEDG- ING 12630 A. Yurchenko-Tytarenko https://colbachelier22.sciencesconf.org/data/program/Yurchenko_Tytarenko.pdf Dinner 19:00 - 20:30 (1h30) Dinner 12631	Breakfast 7:30 - 9:30 (2h) Breakfast 12631 Free 9:30 - 12:00 (2h30) Free -1 Lunch 12:00 - 13:30 (1h30) Lunch 12631 Large-scale Wasserstein gradient flows with applications for computing diffusions 14:00 - 14:45 (45min) Large-scale Wasserstein gradient flows with applications for computing diffusions 12630 Evgeny Burnaev https://colbachelier22.sciencesconf.org/data/program/Burnaev.pdf Ergodic robust maximization of asymptotic growth under stochastic volatility 14:45 - 15:30 (45min) Ergodic robust maximization of asymptotic growth under stochastic volatility 12630 Josef Teichmann https://colbachelier22.sciencesconf.org/data/program/Teichmann_.pdf The Transfer Principal: Universal Approximators Between Metric Spaces From Euclidean Universal Approximators 15:30 - 16:00 (30min) The Transfer Principal: Universal Approximators Between Metric Spaces From Euclidean Universal Approximators 12630 Anastasis Kratsios Coffee break 16:00 - 16:30 (30min) Coffee break 12632 Properties of utility maximization functionals for non-concave utility function in complete market model 16:30 - 17:00 (30min) Properties of utility maximization functionals for non-concave utility function in complete market model 12630 Olena Bahchedjioglou https://colbachelier22.sciencesconf.org/data/program/Bahchedjioglou.pdf ractional integral equations with weighted Takagi–Landsberg functions 17:00 - 17:30 (30min) ractional integral equations with weighted Takagi–Landsberg functions 12630 Vitalii Makogin. https://colbachelier22.sciencesconf.org/data/program/Makogin.pdf Dinner 19:00 - 20:30 (1h30) Dinner 12631	Breakfast 7:30 - 9:30 (2h) Breakfast -1 Free 9:30 - 12:00 (2h30) Free -1 Lunch 12:00 - 13:30 (1h30) Lunch -1 Rogue Traders 14:00 - 14:45 (45min) Rogue Traders 12630 Paolo Guasoni https://colbachelier22.sciencesconf.org/data/program/Guasoni_1.pdf Joint calibration of SPX and VIX options with signature-based models 14:45 - 15:30 (45min) Joint calibration of SPX and VIX options with signature-based models 12630 Christa Cuchier https://colbachelier22.sciencesconf.org/data/program/Cuchiero_.pdf Parameter estimation in stochastic heat equation with fractional Brownian motion 15:30 - 16:00 (30min) Parameter estimation in stochastic heat equation with fractional Brownian motion 12630 Diana Avetisian https://colbachelier22.sciencesconf.org/data/program/Avetisian.pdf	Breakfast 7:30 - 9:30 (2h) Breakfast 12631 Free 9:30 - 12:00 (2h30) Free -1 Lunch 12:00 - 13:30 (1h30) Lunch 12631 Noncommutative martingale inequalities 14:00 - 14:45 (45min) Noncommutative martingale inequalities 12630 Quanhua XU https://colbachelier22.sciencesconf.org/data/program/Xu_Quanhua.pdf Dynamic programming for mean-variance portfolio selection 14:45 - 15:30 (45min) Dynamic programming for mean-variance portfolio selection 12630 Martin Schweizer Mild to classical solutions for XVA equations under stochastic volatility 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 Coffee break 16:00 - 16:30 (30min) Coffee break 12632 Signature stochastic volatility models: pricing and hedging with Fourier 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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