International conference "Advanced Finance and Stochastics" (June 24–28, 2013, Steklov Mathematical Institute of RAS, Moscow)
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International conference "Advanced Finance and Stochastics", Moscow, June 24–28, 2013 |
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June 24, 2013 (Mon) |
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Opening ceremony June 24, 2013 09:10–09:30, Moscow, Steklov Mathematical Institute of RAS
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2. |
On a new stochastic Fubini theorem Martin Schweizer June 24, 2013 09:30–10:20, Moscow, Steklov Mathematical Institute of RAS
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3. |
Prior-to-default equivalent supermartingale measures Konstantinos Kardaras June 24, 2013 10:30–11:20, Moscow, Steklov Mathematical Institute of RAS
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On a generalized shadow price process in utility maximization problems under transaction costs Dmitry Rokhlin June 24, 2013 11:30–11:50, Moscow, Steklov Mathematical Institute of RAS
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5. |
Lower and upper bounds for Asian-type options: a unified approach Alexander Novikov June 24, 2013 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS
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Weak reflection principle and static hedging of barrier options Sergey Nadtochiy June 24, 2013 13:10–13:30, Moscow, Steklov Mathematical Institute of RAS
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The pricing model of corporate securities under cross-holdings of debts Teryoshi Suzuki June 24, 2013 15:00–15:50, Moscow, Steklov Mathematical Institute of RAS
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Hedging of barrier options via a general self-duality Torsten Rheinländer June 24, 2013 16:00–16:20, Moscow, Steklov Mathematical Institute of RAS
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9. |
Existence of an endogenously complete equilibrium driven by a diffusion Dmitry Kramkov June 24, 2013 16:40–17:30, Moscow, Steklov Mathematical Institute of RAS
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10. |
What can be inferred from a single cross-section of stock returns? Serguey Khovansky June 24, 2013 17:40–18:00, Moscow, Steklov Mathematical Institute of RAS
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June 25, 2013 (Tue) |
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11. |
Efficient calibration of a nonlinear long term yield curve model effective from low rate regimes Michael Dempster June 25, 2013 09:30–10:20, Moscow, Steklov Mathematical Institute of RAS
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12. |
A theory of bid and ask prices in continuous time Ernst Eberlein June 25, 2013 10:30–11:20, Moscow, Steklov Mathematical Institute of RAS
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13. |
On the optimal debt ceiling Abel Cadenillas June 25, 2013 11:30–11:50, Moscow, Steklov Mathematical Institute of RAS
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Approximation of nondivergent type parabolic PDEs in finance Maria Grossinho June 25, 2013 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS
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15. |
Pricing and hedging variance swaps on a swap rate Deimante Rheinländer June 25, 2013 13:10–13:30, Moscow, Steklov Mathematical Institute of RAS
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16. |
Investment and capital structure decisions under time-inconsistent preferences Masaaki Kijima June 25, 2013 15:00–15:50, Moscow, Steklov Mathematical Institute of RAS
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17. |
Local volatility models: approximation and regularization Stefan Gerhold June 25, 2013 16:00–16:20, Moscow, Steklov Mathematical Institute of RAS
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18. |
Portfolio selection and an analog of the Black–Scholes PDE in a Lévy-type market Evelina Shamarova June 25, 2013 16:40–17:00, Moscow, Steklov Mathematical Institute of RAS
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19. |
An equilibrium model for commodity forward prices Michail Anthropelos June 25, 2013 17:00–17:20, Moscow, Steklov Mathematical Institute of RAS
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20. |
Cramér–von Mises test for Gauss processes Gennady Martynov June 25, 2013 17:20–17:40, Moscow, Steklov Mathematical Institute of RAS
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21. |
Exponential functionals of Lévy processes Vladimir Panov June 25, 2013 17:40–18:00, Moscow, Steklov Mathematical Institute of RAS
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June 26, 2013 (Wed) |
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22. |
Martingale optimal transport and robust hedging Mete Soner June 26, 2013 09:30–10:20, Moscow, Steklov Mathematical Institute of RAS
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23. |
Functional Ito calculus and financial applications Bruno Dupire June 26, 2013 10:30–11:20, Moscow, Steklov Mathematical Institute of RAS
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24. |
Optimal stopping via multilevel Monte Carlo Denis Belomestny June 26, 2013 11:30–12:20, Moscow, Steklov Mathematical Institute of RAS
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June 27, 2013 (Thu) |
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25. |
Response to Paul A Samuelson letters and papers on the Kelly capital growth investment criterion William Ziemba June 27, 2013 09:30–10:20, Moscow, Steklov Mathematical Institute of RAS
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26. |
Semimartingale models with additional information and their application in mathematical finance Lioudmila Vostrikova June 27, 2013 10:30–11:20, Moscow, Steklov Mathematical Institute of RAS
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27. |
Pricing foreign currency options under jumps diffusions and stochastic interest rates Rehez Ahlip June 27, 2013 11:30–11:50, Moscow, Steklov Mathematical Institute of RAS
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28. |
Using convexity methods for optimal stochastic switching Juri Hinz June 27, 2013 12:40–13:30, Moscow, Steklov Mathematical Institute of RAS
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29. |
On essential supremum and essential maximum with respect to random partial orders with applications to hedging Youri Kabanov June 27, 2013 15:00–15:50, Moscow, Steklov Mathematical Institute of RAS
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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 16:00–16:20, Moscow, Steklov Mathematical Institute of RAS
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31. |
Market-triggered changes in capital structure: equilibrium price dynamics Paul Glasserman June 27, 2013 16:40–17:30, Moscow, Steklov Mathematical Institute of RAS
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June 28, 2013 (Fri) |
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32. |
Dynamic analysis of hedge fund returns: detecting leverage and fraud Michael Markov June 28, 2013 09:30–10:20, Moscow, Steklov Mathematical Institute of RAS
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33. |
Optimal stopping: representation theorems and new examples Ernesto Mordecki June 28, 2013 10:30–11:20, Moscow, Steklov Mathematical Institute of RAS
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34. |
Fourier transform methods for pathwise covariance estimation in the presence of jumps Christa Cuchiero June 28, 2013 11:30–11:50, Moscow, Steklov Mathematical Institute of RAS
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35. |
A moment matching market implied calibration Florence Guillaume June 28, 2013 12:10–12:30, Moscow, Steklov Mathematical Institute of RAS
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36. |
On a connection between superhedging prices and the dual problem in utility maximization Alexander Gushchin June 28, 2013 12:30–12:50, Moscow, Steklov Mathematical Institute of RAS
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37. |
Symbolic CTQ-analysis – a new method for studying of financial indicators Andrey Makarenko June 28, 2013 12:50–13:10, Moscow, Steklov Mathematical Institute of RAS
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38. |
The value of Asian options in the Black–Scholes model: PDE approach Dmitry Muravey June 28, 2013 13:30–13:50, Moscow, Steklov Mathematical Institute of RAS
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39. |
Sequential hypothesis testing for a drift of a fractional Brownian motion Alexey Muravlev June 28, 2013 13:50–14:10, Moscow, Steklov Mathematical Institute of RAS
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40. |
Detection of trend changes in stock prices Mikhail Zhitlukhin June 28, 2013 14:10–14:30, Moscow, Steklov Mathematical Institute of RAS
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