Vienna, 31 August - 4 September 2020
CMAP
Contributed talks
Monday 31 August:
11.30 - 11.50: Alessandro Doldi (Università degli Studi di Milano, IT) - Vienna
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
11.50 - 12.10: Julian Hölzermann (University of Bielefeld, DE) - Vienna
Pricing Interest Rate Derivatives under Volatility Uncertainty
12.10 - 12.30: Stefan Rigger (University of Vienna, AT) - Vienna
Propagation of Minimality in the Supercooled Stefan Problem
12.30 - 12.50: Raymond Pang (London School of Economics, UK) - online
Assessing fire-sales risk in reconstructed financial networks
16.00 - 16.20: Camilo Hernandez (Columbia University, USA) - online
Moral hazard for time-inconsistent agents
16.20 - 16.40: Emanuel Rapsch (TU Berlin, DE) - Vienna
Sharing the Risk of Irreversible Investment Timing
Tuesday 1 September:
11.00 - 11.20: Alexandre Pannier (Imperial College London, UK) - Vienna
Large and Moderate Deviations for Stochastic Volterra Systems
11.20 - 11.40: Christoph Gerstenecker (TU Wien, AT) - Vienna
Large deviations for fractional volatility models with non-Gaussian volatility driver
11.40 - 12.00: Elizabeth Zuniga (Université d'Évry Val D'Essonne, FR) - Vienna
Pricing American Options in the Rough Heston Model
12.00 - 12.20: Enzo Miller (Université Paris-Diderot, FR) - Vienna
Markowitz portfolio selection under rough volatiliy
12.20 - 12.40: Kevin Kurt (WU Wien, AT) - Vienna
Markov-Modulated Affine Processes
12.40 - 13.00: Guillaume Szulda (LPSM, FR) - Vienna
Lévy processes via CBI time change for multi-currency modeling with stochastic volatility
Wednesday 2 September:
12.00 - 12.20: Joseph Jerome (University of Warwick, UK) - Vienna
An elementary approach to the Merton problem
12.20 - 12.40: Nazem Khan (University of Warwick, UK) - Vienna
A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
12.40 - 13.00: Osian Shelley (University of Warwick, UK) - Vienna
Transaction tax in a general equilibrium model
Thursday 3 September:
11.00 - 11.20: Vadim Platonov (University of Edinburgh, GB) - online
Forward utilities and mean-field games under relative performance concerns
11.20 - 11.40: Jodi Dianetti (Universtiy f Bielefeld, DE) - Vienna
Submodular Mean Field Games: Existence and Approximation of Solutions
11.40 - 12.00: Mehdi Talbi (École polytechnique, FR) - Vienna
Mean-field optimal stopping
12.00 - 12.20: Ruiqi Liu (University of Warwick, UK) - online
Support and Resistance Line Method: An Analysis via Optimal Stopping
12.20 - 12.40: Andrea Bovo (University of Leeds, UK) - online
The value of zero-sum games of controller/stopper type
12.40 - 13.00: Laura Tinsi (ENSAE/CREST/EDF Lab) - online
Price Formation and Optimal Trading in Intraday Electricity Markets
Friday 4 September:
12.00 - 12.20: Yufei Zhang (University of Oxford, UK) - Vienna
Regularity and stability of feedback relaxed controls
12.20 - 12.40: Alessio Brini (Scuola Normale Superiore, IT) - online
Trading Mean-Reversion with Reinforcement Learning
12.40 - 13.00: Silvia Lavagnini (University of Oslo, NOR) - online
Accuracy of Deep Learning in Calibrating HJM Forward Curves