Tuesday, May 10

09:00 - 09:30

Walter Schachermayer

Law invariant risk measures on L^∞(R^d)

09:30 - 10:00

Lane Hughston

On the Representation of General Interest Rate Models as
Square-Integrable Wiener Functionals

10:00 - 10:30

Martin Schweizer

Mean-variance portfolio choice and time-consistency

10:30 - 11:00

Coffee break

11:00 - 11:30

Josef Teichmann

Recent progresses in the theory of affine processes

11:30 - 12:00

Xunyu Zhou

Optimal Stopping under Probability Distortion

12:00 - 13:30

Lunch

13:30 - 14:00

Eckhard Platen

Targeted Pensions: Minimising the Cost of
Securing our Social Future

14:00 - 14:30

Yuri Kabanov

TBA

14:30 - 15:00

Coffee break

15:00 - 15:30

Wolfgang Runggaldier

Interest rate derivatives pricing when the short rate is a
continuous time finite state Markov process

15:30 - 16:00

Henrik Hult

Algorithmic trading in a limit order book using Markov chains