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International conference "Advanced Finance and Stochastics"
(June 24–28, 2013, Steklov Mathematical Institute of RAS, Moscow)

Website: http://afs.mi.ras.ru

Conference poster

Organizing Committee
Shiryaev Albert Nikolaevich (Co-chairman)
Spokoiny Vladimir Grigor'evich (Co-chairman)
Burnaev Evgenii Vladimirovich
Kashin Boris Sergeevich
Muravlev Alexey Anatol'evich
Sergeev Armen Glebovich
Zhitlukhin Mikhail Valentinovich

Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Research laboratory in Predictive Modeling and Optimization at PhysTech (PreMoLab), Moscow


International conference "Advanced Finance and Stochastics", Moscow, June 24–28, 2013

June 24, 2013
1. Opening ceremony
June 24, 2013 09:10, Moscow, Steklov Mathematical Institute of RAS
  
2. On a new stochastic Fubini theorem
Martin Schweizer
June 24, 2013 09:30, Moscow, Steklov Mathematical Institute of RAS
Martin Schweizer
  
3. Prior-to-default equivalent supermartingale measures
Konstantinos Kardaras
June 24, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS
Konstantinos Kardaras
  
4. On a generalized shadow price process in utility maximization problems under transaction costs
Dmitry Rokhlin
June 24, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS
Dmitry Rokhlin
  
5. Lower and upper bounds for Asian-type options: a unified approach
Alexander Novikov
June 24, 2013 12:10, Moscow, Steklov Mathematical Institute of RAS
Alexander Novikov
  
6. Weak reflection principle and static hedging of barrier options
Sergey Nadtochiy
June 24, 2013 13:10, Moscow, Steklov Mathematical Institute of RAS
Sergey Nadtochiy
  
7. The pricing model of corporate securities under cross-holdings of debts
Teryoshi Suzuki
June 24, 2013 15:00, Moscow, Steklov Mathematical Institute of RAS
Teryoshi Suzuki
  
8. Hedging of barrier options via a general self-duality
Torsten Rheinländer
June 24, 2013 16:00, Moscow, Steklov Mathematical Institute of RAS
Torsten Rheinländer
  
9. Existence of an endogenously complete equilibrium driven by a diffusion
Dmitry Kramkov
June 24, 2013 16:40, Moscow, Steklov Mathematical Institute of RAS
Dmitry Kramkov
  
10. What can be inferred from a single cross-section of stock returns?
Serguey Khovansky
June 24, 2013 17:40, Moscow, Steklov Mathematical Institute of RAS
Serguey Khovansky
  

June 25, 2013
11. Efficient calibration of a nonlinear long term yield curve model effective from low rate regimes
Michael Dempster
June 25, 2013 09:30, Moscow, Steklov Mathematical Institute of RAS
Michael Dempster
  
12. A theory of bid and ask prices in continuous time
Ernst Eberlein
June 25, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS
Ernst Eberlein
  
13. On the optimal debt ceiling
Abel Cadenillas
June 25, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS
Abel Cadenillas
  
14. Approximation of nondivergent type parabolic PDEs in finance
Maria Grossinho
June 25, 2013 12:10, Moscow, Steklov Mathematical Institute of RAS
Maria Grossinho
  
15. Pricing and hedging variance swaps on a swap rate
Deimante Rheinländer
June 25, 2013 13:10, Moscow, Steklov Mathematical Institute of RAS
Deimante Rheinländer
  
16. Investment and capital structure decisions under time-inconsistent preferences
Masaaki Kijima
June 25, 2013 15:00, Moscow, Steklov Mathematical Institute of RAS
Masaaki Kijima
  
17. Local volatility models: approximation and regularization
Stefan Gerhold
June 25, 2013 16:00, Moscow, Steklov Mathematical Institute of RAS
Stefan Gerhold
  
18. Portfolio selection and an analog of the Black–Scholes PDE in a Lévy-type market
Evelina Shamarova
June 25, 2013 16:40, Moscow, Steklov Mathematical Institute of RAS
Evelina Shamarova
  
19. An equilibrium model for commodity forward prices
Michail Anthropelos
June 25, 2013 17:00, Moscow, Steklov Mathematical Institute of RAS
Michail Anthropelos
20. Cramér–von Mises test for Gauss processes
Gennady Martynov
June 25, 2013 17:20, Moscow, Steklov Mathematical Institute of RAS
Gennady Martynov
  
21. Exponential functionals of Lévy processes
Vladimir Panov
June 25, 2013 17:40, Moscow, Steklov Mathematical Institute of RAS
Vladimir Panov
  

June 26, 2013
22. Martingale optimal transport and robust hedging
Mete Soner
June 26, 2013 09:30, Moscow, Steklov Mathematical Institute of RAS
Mete Soner
  
23. Functional Ito calculus and financial applications
Bruno Dupire
June 26, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS
Bruno Dupire
  
24. Optimal stopping via multilevel Monte Carlo
Denis Belomestny
June 26, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS
Denis Belomestny
  

June 27, 2013
25. Response to Paul A Samuelson letters and papers on the Kelly capital growth investment criterion
William Ziemba
June 27, 2013 09:30, Moscow, Steklov Mathematical Institute of RAS
William Ziemba
  
26. Semimartingale models with additional information and their application in mathematical finance
Lioudmila Vostrikova
June 27, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS
Lioudmila Vostrikova
  
27. Pricing foreign currency options under jumps diffusions and stochastic interest rates
Rehez Ahlip
June 27, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS
Rehez Ahlip
  
28. Using convexity methods for optimal stochastic switching
Juri Hinz
June 27, 2013 12:40, Moscow, Steklov Mathematical Institute of RAS
Juri Hinz
  
29. On essential supremum and essential maximum with respect to random partial orders with applications to hedging
Youri Kabanov
June 27, 2013 15:00, Moscow, Steklov Mathematical Institute of RAS
Youri Kabanov
  
30. Optimization of credit policy of bank and the government guarantees in a model of investment in a risky project
Alexander Slastnikov
June 27, 2013 16:00, Moscow, Steklov Mathematical Institute of RAS
Alexander Slastnikov
  
31. Market-triggered changes in capital structure: equilibrium price dynamics
Paul Glasserman
June 27, 2013 16:40, Moscow, Steklov Mathematical Institute of RAS
Paul Glasserman
  

June 28, 2013
32. Dynamic analysis of hedge fund returns: detecting leverage and fraud
Michael Markov
June 28, 2013 09:30, Moscow, Steklov Mathematical Institute of RAS
Michael Markov
  
33. Optimal stopping: representation theorems and new examples
Ernesto Mordecki
June 28, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS
Ernesto Mordecki
  
34. Fourier transform methods for pathwise covariance estimation in the presence of jumps
Christa Cuchiero
June 28, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS
Christa Cuchiero
  
35. A moment matching market implied calibration
Florence Guillaume
June 28, 2013 12:10, Moscow, Steklov Mathematical Institute of RAS
Florence Guillaume
  
36. On a connection between superhedging prices and the dual problem in utility maximization
Alexander Gushchin
June 28, 2013 12:30, Moscow, Steklov Mathematical Institute of RAS
Alexander Gushchin
  
37. Symbolic CTQ-analysis – a new method for studying of financial indicators
Andrey Makarenko
June 28, 2013 12:50, Moscow, Steklov Mathematical Institute of RAS
Andrey Makarenko
  
38. The value of Asian options in the Black–Scholes model: PDE approach
Dmitry Muravey
June 28, 2013 13:30, Moscow, Steklov Mathematical Institute of RAS
Dmitry Muravey
  
39. Sequential hypothesis testing for a drift of a fractional Brownian motion
Alexey Muravlev
June 28, 2013 13:50, Moscow, Steklov Mathematical Institute of RAS
Alexey Muravlev
  
40. Detection of trend changes in stock prices
Mikhail Zhitlukhin
June 28, 2013 14:10, Moscow, Steklov Mathematical Institute of RAS
Mikhail Zhitlukhin
  
 
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