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International Conference Programme
1. Mathematical Finance - Stochastic
Models
Session 1-A
Sunday, 26th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Svetlana Borovkova
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Modelling seasonalities and spikes in
electricity prices
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Juri Hinz
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Pricing electricity contracts by interest
rate methods
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Rafal Weron
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Pricing derivatives in electricity
markets
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Andrew Jack
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Impulse Control of One-dimensional Ito Diffusions with an Ergodic Criterion
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Session 1-B
Sunday, 26th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Jeannette H.C. Woerner
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Power and Bipower Variation: inference for high frequency data
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M R Pistorius
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Russian and American put options under
exponential phase-type Lévy models
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Joăo M. E.
Guerra
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Optimal Portfolios in Lévy Markets
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Josep Vives
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Stroock formula for Lévy processes and
applications to Finance
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Session 1-C
Sunday, 26th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Alexandra Dias
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Dynamic copula models for multivariate
high frequency data in finance
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Raquel M Gaspar
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Finite dimensional Markovian realizations for forward price models
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Gordan Zitkovic
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Financial equilibria in the
semimartingale setting: complete markets and markets with withdrawal
constraints
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Mihail Zervos
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Discretionary stopping of one dimensional
Itô diffusions with a staircase payoff function
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Session 1-D
Sunday, 26th
September
17:10 - 18:10
Session 1-E
Sunday, 26th
September
17:10 - 18:30
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SPEAKER
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TITLE
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Arnd Pauwels
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Variance-optimal hedging in stochastic
volatility models
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Amal Merhi
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An investment capacity expansion model
with costly reversibility
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Belhaj Mohamed
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Optimizing Dividend Payments when Cash
reserves Follow a Compound Process
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Ludger Overbeck
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Semi-analytic Techniques for
CDO-Modelling
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Session 1-F
Sunday, 26th
September
17:10 - 18:30
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SPEAKER
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TITLE
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Arne Lokka
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A model for the long-term optimal
capacity level of an investment project.
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Ömer Önalan
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Financial asset returns modelling
a-stable self-similar processes economics
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Henrik Jonsson
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Structural studies of optimal stopping
domains for American type options
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Siu-Ah Ng
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Trading through hyper timeline
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Session 1-G
Monday, 27th
September
14:40 - 16:00
Session 1-H
Monday, 27th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Fabian Astic
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No Arbitrage Conditions and Liquidity
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Timothy Johnson
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An optimal stopping problem with
applications to the timing of investment decisions
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Nordine
Bennani
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An Extended Market Model for Credit
Derivatives
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Sergey
Gelman
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Price convergence of target stock by
Mergers and Acquisitions under uncertainty of the deal completion
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2. Derivative Pricing
Session 2-A
Monday, 27th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Uwe
Wystup
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Instalment Options
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Ana
Lacerda
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Dry Markets and Superreplication Bounds
of American Derivatives
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Claudia Ribeiro
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Correcting for Simulation Bias in Monte
Carlo methods to Value Exotic Options in Models Driven by Lévy Processes
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Nick
Webber
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Valuing Discrete Barrier Options on a
Dirichlet Lattice
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Session 2-B
Monday, 27th
September
17:10 - 18:10
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SPEAKER
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TITLE
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Carlos Manuel Antunes Veiga
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Expanding Further the Universe of Exotic
Options Closed Pricing Formulas
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Jessica
Cariboni
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Global sensitivity analysis for options
pricing
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C.
Vázquez
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Numerical methods for pricing fixed-strike Eurasian
options with continuous arithmetic averaging
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Session 2-C
Monday, 27th
September
17:10 - 18:10
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SPEAKER
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TITLE
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Rui Vilela Mendes
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Option pricing with fractional volatility
Rates
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Susanne
Kruse
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Forward Starting Options in the Heston’s Model on
Stochastic Volatility
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Rehez
Ahlip
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Pricing Stock Options With Stochastic Volatility and
Stochastic Interest
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3. Interest
Rate Term Structure Modelling
Session 3
Sunday, 26th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Joăo Pedro Vidal Nunes
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Barrier Options on Spot LIBOR Rates under
Multi-Factor Gaussian HJM Models
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Veronika Czellar
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Indirect robust estimation of the
short-term interest rate process
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Wolfgang Kluge
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Pricing caps and swaptions in a Lévy
driven term structure model
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Luis Oliveira
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Multi-Factor and Analytical Valuation of
Treasury Bond Futures with an Embedded Quality Option
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4. Portfolio
Management
Session 4-A
Monday, 27th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Aymeric
Kalife
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Portfolio Insurance Strategies by a Large Player
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Yiannis
Kamarianakis
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Portfolios that beat a moving target in the presence of
management fees
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Michael Wolf
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Honey, I shrunk the sample covariance matrix
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Radulescu
Marius
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Risk management in the presence of transaction costs and
initial holdings
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Session 4-B
Monday, 27th
September
17:10 - 18:30
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SPEAKER
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TITLE
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Sergey Nagornii
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Asset Allocation and Risk Budgeting
Optimization
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Joern
Sass
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Good portfolio strategies under
transaction costs: A renewal approach
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Giannis
Vardas
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Optimal portfolio rules derived under
uncertainty aversion
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David
Vyncke
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Comonotonic Approximations for Optimal
Portfolio Selection Problems
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5. Integrated Risk Management
Session 5
Wednesday, 29th
September
17:10 - 18:50
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Manuel L. Esquivel
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Dynamical V-a-R via Ito line integrals
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Pham-Hi
Duc
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Stochastic operational risk control in the New Basle
Accord framework
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José
R. H. Ornelas
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Goodness-of-Fit Test focuses on Conditional Value at
Risk: An Empirical Analysis of Exchange Rates
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Giacomo Scandolo
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Risk measures and capital requirements for processes
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Valeri Zakamouline
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Efficient Analytic Approximation of the Optimal Hedging
Strategy with Transaction Costs
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6.
Mathematical Economics
Session 6
Wednesday, 29th
September
14:40 - 16:00
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Information Flow, Social Interactions and the
Fluctuations of Prices in Financial Markets
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Analysis of equilibrium financial markets in continuous
time
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On the robustness of economic models to heavy-tailedness
assumptions
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Default History Versus Collateral
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7. Finance
Session 7
Sunday, 26th
September
17:10 – 18:30
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Tony Berrada
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Incomplete Information, Heterogeneous Beliefs and Bounded
Rationality
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Quiroga García Raquel
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Samuelson Hypothesis revised: The case of the IBEX 35
index future
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Francisco
Matos
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Modeling the Volatility on International Stock Markets
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Kin-Yip
Ho
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Volatility dynamics of the Tokyo Stock Exchange: a
sectoral analysis based on the multivariate GARCH approach
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8. Quantitative
and Computational Models and Methods
Session 8-A
Wednesday, 29th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Joan
del Castillo
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Estimating Lévy processes by GLM models
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Christian Pigorsch
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EMM Estimation of time-changed Lévy Processes
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Romuald Elie
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Optimal Greek weights by Kernel estimation
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N.
P. Firth
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Upper Bounds for American Option Prices sing Regression
with Martingale Basis Functions
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Session 8-B
Wednesday, 29th
September
14:40 - 16:00
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SPEAKER
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TITLE
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Jae H. Kim
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Non-parametric joint variance ratio tests
and their small sample properties
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Roderick McCrorie
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The effect of temporal aggregation on
macroeconomic and financial time series models
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Ana
Margarida Monteiro
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Recovering Risk-Neutral Probability
Density Functions from Options Prices using Cubic Splines
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Pedro Mota
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A estimation procedure for the brownian
motion (with drift) threshold model
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Session 8-C
Wednesday, 29th
September
17:10 - 18:10
Session 8-D
Wednesday, 29th
September
17:10 - 18:30
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SPEAKER
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TITLE
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António Alberto
Ferreira Santos
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Using MCMC to estimate returns-volume
stochastic volatility models: Some new evidence
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Fredj
Jawadi
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Nonlinear Adjustement towards equilibrium
Value
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Sergio
Bianchi
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Pathwise Identification of the Memory
Function of a Multifractional Market Model
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*******************
Remark: Each presentation in the
Parallel Sessions is 20 minutes long (15m + 5m for discussion).
Poster Session
Sunday, 26th September
18:30 - 19:30
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Andrew Jack
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Impulse Control of One-dimensional Ito
Diffusions with an Ergodic Criterion
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Massimo
Costabile
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On Pricing Exotic Options Under the CEV
Process
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Sadig
Mammadli
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Analysis of stock return and volatility using GARCH
models: the case of Turkey
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Petr Dostál
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Optimal Trading Strategies with
Transaction Costsa>
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Martin Vojtek
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Calibration of interest rate models: A
transition market case
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