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





3. 
Priortodefault equivalent supermartingale measures Konstantinos Kardaras June 24, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS





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





5. 
Lower and upper bounds for Asiantype options: a unified approach Alexander Novikov June 24, 2013 12:10, Moscow, Steklov Mathematical Institute of RAS





6. 
Weak reflection principle and static hedging of barrier options Sergey Nadtochiy June 24, 2013 13:10, Moscow, Steklov Mathematical Institute of RAS





7. 
The pricing model of corporate securities under crossholdings of debts Teryoshi Suzuki June 24, 2013 15:00, Moscow, Steklov Mathematical Institute of RAS





8. 
Hedging of barrier options via a general selfduality Torsten Rheinländer June 24, 2013 16:00, Moscow, Steklov Mathematical Institute of RAS





9. 
Existence of an endogenously complete equilibrium driven by a diffusion Dmitry Kramkov June 24, 2013 16:40, Moscow, Steklov Mathematical Institute of RAS





10. 
What can be inferred from a single crosssection of stock returns? Serguey Khovansky June 24, 2013 17:40, Moscow, Steklov Mathematical Institute of RAS






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





12. 
A theory of bid and ask prices in continuous time Ernst Eberlein June 25, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS





13. 
On the optimal debt ceiling Abel Cadenillas June 25, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS





14. 
Approximation of nondivergent type parabolic PDEs in finance Maria Grossinho June 25, 2013 12:10, Moscow, Steklov Mathematical Institute of RAS





15. 
Pricing and hedging variance swaps on a swap rate Deimante Rheinländer June 25, 2013 13:10, Moscow, Steklov Mathematical Institute of RAS





16. 
Investment and capital structure decisions under timeinconsistent preferences Masaaki Kijima June 25, 2013 15:00, Moscow, Steklov Mathematical Institute of RAS





17. 
Local volatility models: approximation and regularization Stefan Gerhold June 25, 2013 16:00, Moscow, Steklov Mathematical Institute of RAS





18. 
Portfolio selection and an analog of the Black–Scholes PDE in a Lévytype market Evelina Shamarova June 25, 2013 16:40, Moscow, Steklov Mathematical Institute of RAS





19. 
An equilibrium model for commodity forward prices Michail Anthropelos June 25, 2013 17:00, Moscow, Steklov Mathematical Institute of RAS





20. 
Cramér–von Mises test for Gauss processes Gennady Martynov June 25, 2013 17:20, Moscow, Steklov Mathematical Institute of RAS





21. 
Exponential functionals of Lévy processes Vladimir Panov June 25, 2013 17:40, Moscow, Steklov Mathematical Institute of RAS






June 26, 2013 

22. 
Martingale optimal transport and robust hedging Mete Soner June 26, 2013 09:30, Moscow, Steklov Mathematical Institute of RAS





23. 
Functional Ito calculus and financial applications Bruno Dupire June 26, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS





24. 
Optimal stopping via multilevel Monte Carlo Denis Belomestny June 26, 2013 11:30, Moscow, Steklov Mathematical Institute of RAS






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





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





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





28. 
Using convexity methods for optimal stochastic switching Juri Hinz June 27, 2013 12:40, Moscow, Steklov Mathematical Institute of RAS





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





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





31. 
Markettriggered changes in capital structure: equilibrium price dynamics Paul Glasserman June 27, 2013 16:40, Moscow, Steklov Mathematical Institute of RAS






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





33. 
Optimal stopping: representation theorems and new examples Ernesto Mordecki June 28, 2013 10:30, Moscow, Steklov Mathematical Institute of RAS





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





35. 
A moment matching market implied calibration Florence Guillaume June 28, 2013 12:10, Moscow, Steklov Mathematical Institute of RAS





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





37. 
Symbolic CTQanalysis – a new method for studying of financial indicators Andrey Makarenko June 28, 2013 12:50, Moscow, Steklov Mathematical Institute of RAS





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





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





40. 
Detection of trend changes in stock prices Mikhail Zhitlukhin June 28, 2013 14:10, Moscow, Steklov Mathematical Institute of RAS





