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School on Stochastics and Financial Mathematics
(September 6–11, 2015, Olympic Village, Sochy)

Website: http://sf2015.mi.ras.ru

Organizing Committee
Shiryaev Albert Nikolaevich
Kabanov Yurii Mikhailovich
Muravlev Alexey Anatol'evich
Zhitlukhin Mikhail Valentinovich

Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow


School on Stochastics and Financial Mathematics, Sochy, September 6–11, 2015

September 7, 2015
1. The arbitrage theory: finishing touches. Lecture 1
Yu. M. Kabanov
September 7, 2015 14:30, Sochy, Olympic Village
Yu. M. Kabanov
  
2. The arbitrage theory: finishing touches. Lecture 2
Yu. M. Kabanov
September 7, 2015 15:30, Sochy, Olympic Village
Yu. M. Kabanov
  
3. Computational tensor methods in multidimensional stochastic problems. Lecture 1
I. V. Oseledets
September 7, 2015 17:00, Sochy, Olympic Village
I. V. Oseledets
  
4. Computational tensor methods in multidimensional stochastic problems. Lecture 2
I. V. Oseledets
September 7, 2015 18:00, Sochy, Olympic Village
I. V. Oseledets
  

September 8, 2015
5. Utility-based methods in Mathematical Finance. Lecture 1
D. O. Kramkov
September 8, 2015 09:00, Sochy, Olympic Village
D. O. Kramkov
  
6. Utility-based methods in Mathematical Finance. Lecture 2
D. O. Kramkov
September 8, 2015 10:00, Sochy, Olympic Village
D. O. Kramkov
  
7. A functional limit theorem and numerical approximation for irregular SDEs. Lecture 1
M. A. Urusov
September 8, 2015 11:30, Sochy, Olympic Village
M. A. Urusov
  
8. A functional limit theorem and numerical approximation for irregular SDEs. Lecture 2
M. A. Urusov
September 8, 2015 12:30, Sochy, Olympic Village
M. A. Urusov
  
9. The arbitrage theory: finishing touches. Lecture 3
Yu. M. Kabanov
September 8, 2015 14:30, Sochy, Olympic Village
Yu. M. Kabanov
  
10. The arbitrage theory: finishing touches. Lecture 4
Yu. M. Kabanov
September 8, 2015 15:30, Sochy, Olympic Village
Yu. M. Kabanov
  
11. Computational tensor methods in multidimensional stochastic problems. Lecture 3
I. V. Oseledets
September 8, 2015 17:00, Sochy, Olympic Village
I. V. Oseledets
  
12. Computational tensor methods in multidimensional stochastic problems. Lecture 4
I. V. Oseledets
September 8, 2015 18:00, Sochy, Olympic Village
I. V. Oseledets
  

September 9, 2015
13. Utility-based methods in Mathematical Finance. Lecture 3
D. O. Kramkov
September 9, 2015 09:00, Sochy, Olympic Village
D. O. Kramkov
  
14. Utility-based methods in Mathematical Finance. Lecture 4
D. O. Kramkov
September 9, 2015 10:00, Sochy, Olympic Village
D. O. Kramkov
  
15. Central limit theorem under model uncertainty
D. B. Rokhlin
September 9, 2015 14:30, Sochy, Olympic Village
D. B. Rokhlin
  
16. On some aspects of the utility maximization problem
A. A. Gushchin
September 9, 2015 15:30, Sochy, Olympic Village
A. A. Gushchin
  
17. On efficient optimality criteria in linear stochastic control problems
E. S. Palamarchuk
September 9, 2015 17:00, Sochy, Olympic Village
E. S. Palamarchuk
  

September 10, 2015
18. Utility-based methods in Mathematical Finance. Lecture 5
D. O. Kramkov
September 10, 2015 09:00, Sochy, Olympic Village
D. O. Kramkov
  
19. Utility-based methods in Mathematical Finance. Lecture 6
D. O. Kramkov
September 10, 2015 10:00, Sochy, Olympic Village
D. O. Kramkov
  
20. A functional limit theorem and numerical approximation for irregular SDEs. Lecture 3
M. A. Urusov
September 10, 2015 11:30, Sochy, Olympic Village
M. A. Urusov
  
21. A functional limit theorem and numerical approximation for irregular SDEs. Lecture 4
M. A. Urusov
September 10, 2015 12:30, Sochy, Olympic Village
M. A. Urusov
  
22. On multi-step MLE-processes in the problems of estimation of the solution of BSDE
Yu. A. Kutoyants
September 10, 2015 14:30, Sochy, Olympic Village
Yu. A. Kutoyants
  
23. Optimal stopping problems in Mathematical Finance
N. Rodosthenous
September 10, 2015 15:30, Sochy, Olympic Village
N. Rodosthenous
  
24. Properties of distributions used in stochastic financial models
J. Stoyanov
September 10, 2015 17:00, Sochy, Olympic Village
J. Stoyanov
  
25. Random matrices in finance
P. A. Yaskov
September 10, 2015 18:00, Sochy, Olympic Village
P. A. Yaskov
  
 
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