ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2022-12-29
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Venue: ETH Zürich, Rämistrasse 101, Zürich

Monday April 7, 2014
9:00–9:15 Josef TEICHMANN Introduction  
9:15–10:00 Ariel NEUFELD Nonlinear Lévy Processes and their Characteristics Abstract
10:00–10:30 COFFEE BREAK    
10:30–11:15 David STEFANOVITS Model risk in portfolio optimization Abstract
11:15–12:00 Jean-François CHASSAGNEUX High order approximation of BSDEs  
12:00–14:00 LUNCH    
14:00–14:45 Fernando CORDERO Asymptotic Proportion of Arbitrage Points in Fractional Binary Markets Abstract
14:45–15:30 Ivo MIHAYLOV An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs  
15:30–16:00 COFFEE BREAK    
16:00–16:45 Dirk TASCHE Period-to-period estimation of probabilities of default  
16:45–17:30 Eamon McMURRAY Smoothing properties of McKean-Vlasov stochastic differential equations  
Tuesday April 8, 2014
8:30–9:15 Thomas CASS Constrained rough paths  
9:15–10:00 Philipp HARMS Expected Signature of Lévy Processes The expected signature of Léevy processes (i.e., the expectation of iterated integrals of the process with respect to itself) has an expression which closely resembles the Léevy-Kintchine formula. We provide an elementary proof of this fact, which was established by Friz and Shekhar (2012) using the theory of rough paths, and discuss some generalisations.
10:00–10:30 COFFEE BREAK    
10:30–11:15 Martijn PISTORIUS Optimal Dividend Distribution in the Presence of a Penalty  
11:15–12:00 Andrea GRANELLI Modelling the variance risk premium of equity indices: the role of dependence and contagion  
12:00–14:00 LUNCH    
14:00–14:45 Valeria BIGNOZZI How superadditive can a risk measure be? Abstract
14:45–15:30 Martin HERDEGEN Economically consistent valuation for incomplete markets with bubbles Abstract
15:30–16:00 COFFEE BREAK    
16:00–16:45 Blanka HORVATH A Generalized Feller Property for SABR Abstract
16:45–17:30 Antoine JACQUIER Shapes of implied volatility with positive mass at zero  
17:30–18:15 Leif DÖRING Time-changed SABR We discuss a simple time-change for the SABR model and explain two applications to the Feller property and a non-ergodicity property.
19:00 DINNER    
Wednesday April 9, 2014
8:45–9:45 Antti KNOWLES On the principal components of sample covariance matrices Abstract
9:45–10:30 Philippe DEPREZ Poisson Heterogeneous Random-Connection Model Abstract
10:30–11:00 COFFEE BREAK    
11:00–12:00 Rama CONT Functional Kolmogorov equations  
12:00–12:45 Pierre BLACQUE-FLORENTIN Functional calculus and representation formulas for discontinuous martingales  
12:45–14:15 LUNCH    
14:15–16:00 Discussion