Program

• Monday, August 20
  • 9:20-9:30
    Opening of the workshop
  • 9:30-10:15
    Erik Ekström
    The Black-Scholes equation in stochastic volatility models
  • 10:15-11:00
    Holger Kraft
    Asset Allocation and Liquidity Breakdowns: What if Your Broker Does not Answer the Phone?
  • Coffee break
  • 11:30-12:15
    Rama Cont
    Recovering credit portfolio loss rates from CDO tranches: solution of an inverse problem via intensity control
  • Lunch
  • 14:15-15:00
    Mike Tehranchi
    No-arbitrage implied volatility dynamics
  • Coffee break
  • 15:30-16:15
    Josef Teichmann
    Convexity Theorems in Interest Rate Theory
  • 16:15-17:00
    Srdjan Stojanovic
    Foreign exchange rates and foreign exchange derivatives
• Tuesday, August 21
  • 9:30-10:15
    Benjamin Bruder
    Optimal investment and hedging with execution delay
  • 10:15-11:00
    Nizar Touzi
    Second order BSDE and fully nonlinear PDEs
  • Coffee break
  • 11:30-12:15
    Ljudmila Bordag
    Nonlinear option pricing models for illiquid markets: invariant properties and solutions
  • Lunch
  • 14:15-15:00
    Marco Avellaneda
    Stock pinning on option expiration date with power price-demand elasticity
  • Coffee break
  • 15:30-16:15
    Francesca Biagini
    Local Risk-Minimization for Defaultable Markets
  • 16:15-17:00
    Tomas Björk
    Optimal investment under partial information
• Wednesday, August 22
  • 9:30-10:15
    Boualem Djehiche
    Optimal strategies to sustain profitability of producing a commodity
  • 10:15-11:00
    John Chadam
    Free Boundary Problems in Mathematical Finance
  • Coffee break
  • 11:30-12:15
    Denis Talay
    Stochastic Control and Technical Analysis in Finance
  • Lunch
  • 14:15-15:00
    Bruno Dupire
    Forward PDE and discrete local volatility
  • Coffee break
  • 15:30-17:00
    Special session: From theory to practice
    Presented by Sungard FRONT ARENA
• Thursday, August 23
  • 9:30-10:15
    Imran Habib Biswas
    Error estimates for finite difference-quadrature approximations for integro-PDEs associated with controlled jump-diffusion
  • 10:15-11:00
    Maciej Klimek
    Empirical data and modelling of financial and economic processes
  • Coffee break
  • 11:00-11:30
    Johan Tysk
    Convexity theory for the term structure equation
  • 11:30-12:15
    Nizar Touzi
    Second order BSDE and fully nonlinear PDEs
  • Lunch