Programme

 

You can download the booklet of abstracts here.

Wednesday, 26 April 2017

Time   Room

8:40–9:00

Registration

G 19.2

9:00–9:45

Yan Dolinsky,
Tree based approximations of option prices under model uncertainty

G 19.1

9:45–10:15

Coffee break

G 19.2

10:15-10:45

Anna Aksamit,
Robust pricing-hedging duality for American options in discrete time financial markets

G 19.1

10:45-11:15

Mario Sikic,
Robust martingale selection problem and its connections to the no-arbitrage theory

G 19.1

11:15-11:30

Break

11:30-12:00

Ludovic Tangpi,
On robust optimized certainty equivalents

G 19.1

12:00-12:30

Daniel Bartl,
Pointwise time-consistent convex expectations

G 19.1

12:30-14:15

Lunch break

14:15-15:00

Alexander Cox,
Robust Hedging of Options on a Leveraged Exchange Traded Fund

G 19.1

15:00-15:30

Coffee Break

G 19.2

15:30-16:00

Sigrid Källblad,
A dynamic programming principle for distribution-constrained optimal stopping

G 19.1

16:00-16:30

Martin Huesmann,
A Benamou Brenier approach to martingale optimal transport

G 19.1

16:30-18:30

Poster session/Apero

Common room


Thursday, 27 April 2017

Time   Room

9:00–9:45

Beatrice Acciaio,
Discrete-time mean-field games and non-anticipative optimal transport

G 19.1

9:45–10:15

Coffee break

G 19.2

10:15-10:45

Gaoyue Guo,
Numerical computation of martingale optimal transport

G 19.1

10:45-11:15

Pietro Siorpaes,
The Martingale Polar Sets

G 19.1

11:15-11:30

Break

11:30-12:00

Marco Maggis,
The Fatou closedness under model uncertainty

G 19.1

12:00-12:30

Tolulope Rhoda Fadina,
Credit risk with ambiguity on the default intensity

G 19.1

12:30-14:15

Lunch break

14:15-15:00

Francesca Biagini,
Financial Asset Price Bubbles under Model Uncertainty

G 19.1

15:00-15:30

Gabriele Visentin,
Systemic Risk and Endogenous Valuation in Financial Networks

G 19.1

15:30-16:00

Coffee Break

G 69

17:15-18:15

Financial and Insurance Mathematics Talk: Scott Robertson
The pricing of contingent claims and optimal positions in asymptotically complete markets

G 43

19:00-22:00

Conference Dinner by Invitation


Friday, 28 April 2017

Time   Room

9:00–9:45

Rama Cont,
TBA

G 19.1

9:45–10:15

Coffee break

G 19.2

10:15-10:45

Anna Ananova,
TBA

G 19.1

10:45-11:15

Yi Lu,
Weak derivatives of non-anticipative functionals

G 19.1

11:15-11:30

Break

11:30-12:00

Andrea Cosso,
Backward SDE representation for stochastic control problems with non-dominated controlled intensity

G 19.1

12:00-13:00

Plenary discussion

G 19.1