10th World Congress of the Bachelier Finance Society Programme

2018,

16th - 20th July

10th World Congress of the Bachelier Finance Society

Conference Programme

Sunday, 15th July
Sunday 16:00 - 18:00	Registration
Monday, 16th July
Monday 07:30 - 09:00	Registration
Monday 09:00 - 09:50	MO-PL-A1 Walter Schachermayer Venue Burke Theater - Chairman Steven Shreve
09:00 The Amazing Power of Dimensional Analysis in Finance: Market Impact and the Intraday Trading Invariance Hypothesis » Walter Schachermayer University of Vienna
Monday 10:00 - 10:50	MO-PL-A2 Charles-Albert Lehalle Venue Burke Theater - Chairman Steven Shreve
10:00 From optimal execution in front of a background noise to mean field games » Charles-Albert Lehalle Capital Market Fund
Monday 11:00 - 11:30	Coffee Break
Monday 11:00 - 11:30	PS Poster Presentations
Measuring Default Risk for a Portfolio of Equities » Matheus Rodrigues (University of São Paulo), André Maialy (São Paulo School of Economics) Uniform integrability of a single jump local martingale with state-dependent characteristics » Michael Schatz (ETH Zurich), Didier Sornette (ETH Zurich) Optimal portfolio allocations in a heterogenous banking system » Marko Weber (Columbia University), Agostino Capponi (Columbia University) Pricing VIX derivatives under Double-Mean-Reverting Logarithmic Model » SEEWOO KIM (Yonsei University), Jeong-Hoon Kim (Yonsei University) Application of the transmutation operators to parabolic boundary and free boundary problems » Igor Kravchenko (ISCTE-IUL), Vladislav Kravchenko (CINVESTAV del IPN), Sergii Torba (CINVESTAV del IPN), José Carlos Dias (ISCTE-IUL) Determinants of implied volatility smiles - An empirical analysis using intraday DAX equity options » Andreas W. Rathgeber (University of Augsburg), Johannes Stadler (University of Augsburg), Markus Ulze (University of Augsburg) Accounting for Employee Stock Options: accelerating convergence » Brian Byrne (Dublin Institute of Technology), Qianru Shang (Dublin Institute of Technology) Expected Stock Returns and the Correlation Risk Premium » Lorenzo Schoenleber (Frankfurt School of Finance and Management), Adrian Buss (INSEAD), Grigory Vilkov (Frankfurt School of Finance and Management) XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations » Stéphane Crépey (Evry University), Lokman Abbas-turki (University Pierre and Marie CURIE), Babacar Diallo (Quantitative Research GMD/GMT Credit Agricole CIB) Some properties of density functions on maxima of one-dimensional diffusion processes » Tomonori Nakatsu (Shibaura Institute of Technology) Enhanced GRU Framework for Correlation Analysis of Cryptocurrency Market » Huisu Jang (Seoul National University), Jaewook Lee (Seoul National University), Woojin Lee (Seoul National University), hyungjin ko (Seoul National University) Interest Rate Calibration and Parameter Estimation of Affine Term Structure Models » Samyukta Venkataramanan (Dublin Institute of Technology) Model selection and arbitrage » Thomas Liebmann Series Representation of conditional integral of the variance Process in the Heston Stochastic Volatility Model » Jiaqi Shen (Heriot-Watt University), Anke Wiese (Heriot-Watt University), Simon J.A. Malham (Heriot-Watt University) PS.04 – Irreducible Convex Paving for Decomposition of Multi-dimensional Martingale Transport Plans » Hadrien De March (Ecole Polytechnique-CMAP), Nizar Touzi (Ecole Polytechnique-CMAP) Exploiting Low-Risk Anomaly in the Black-Litterman Framework: Evidence from South Korea » SUJIN PYO (Seoul National University), Jaewook Lee (Seoul National University) The Impact of Sticky Short Rate on Long Bonds » Qi Wu (The Chinese University of Hong Kong) Local and Occupation Time of a Time Elapsed Process of Brownian Motion » Xiaolin Zhu (London School of Economics and Political Science), Angelos Dassios (London School of Economics and Political Science) Option Pricing under Heston Stochastic Volatility with Time-dependent Parameters » Chifai Lo (The Chinese University of Hong Kong), Chi Hei Christopher Liu (The Chinese University of Hong Kong) A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models » Erik Lindström (Lund University), Daniel Damberg (Lund University) Quantifying the Social Benefit of Bail-In Measures using Option-Pricing Techniques » Alina-Nicoleta Radu (Bucharest University of Economic Studies) Robust singular spectrum analysis: an empirical study » Matheus Lima Cornejo (Universidade Federal do Espirito Santo), Fabio Alexander Fajardo Molinares (Universidade Federal do Espirito Santo) Estimation of SVJD models with Bayesian Methods and Power-Variation Estimators » Milan Fičura (University of Economics in Prague, Faculty of Finance and Accounting), Jiri Witzany (University of Economics in Prague, Faculty of Finance and Accounting) Adjusting Positive Definite FX Covariance Matrices » Philip Kinlen (AIB) Modelling Asynchronous Assets with Jump-Diffusion Processes » Roman Makarov (Wilfrid Laurier University), Yuxin Chen (Wilfrid Laurier University) Negative Rate and the Left Wing of Volatility Smile under SABR Process » Kun Huang (Hanken School of Economics) Regret Markets » David Edelman (University College Dublin)
Monday 11:30 - 13:30	MO-A-B1 Risk Measures Chaired By: Conall O'Sullivan Venue Beckett 1
11:30 MO-A-B1.01 – Option Implied Tail Risk » Conall O'Sullivan (Smurfit Business School, University College Dublin), Yan Wang (Smurfit Business School, University College Dublin) 12:00 MO-A-B1.02 – Performance measures Adjusted for the Risk Situation (PARS) » Roland C. Seydel (Commerzbank AG), Christoph Peters (German Finance Agency) 12:30 MO-A-B1.03 – Risk Management for Whales » Lakshithe Wagalath (IESEG School of Management), Rama Cont (Imperial College) 13:00 MO-A-B1.04 – Scenario-based Capital Requirements for the Interest Rate Risk of Insurance Companies » Sebastian Schlütter (Applied University of Mainz)
Monday 11:30 - 13:30	MO-A-B2 Stochastic Volatility 1 Chaired By: Stefan Gerhold Venue Beckett 2
11:30 MO-A-B2.01 – Asymptotic behaviour of randomised fractional volatility models » Chloe Lacombe (Imperial College), Antoine Jacquier (Imperial College), Blanka Horvath (Imperial College) 12:00 MO-A-B2.02 – Moment explosions in the rough Heston model » Stefan Gerhold (TU Wien), Arpad Pinter (TU Wien), Christoph Gerstenecker (TU Wien) 12:30 MO-A-B2.03 – Regime Switching Rough Heston Model » Mesias Alfeus (University of Technology Sydney), Ludger Overbeck (University of Giessen) 13:00 MO-A-B2.04 – Hyperbolic normal stochastic volatility model » Jaehyuk Choi (Peking University HSBC Business School), Chenru Liu (Peking University HSBC Business School), Byoung Ki Seo (Ulsan National Institute of Science and Technology)
Monday 11:30 - 13:30	MO-A-BU Dynamic Preferences Chaired By: Samuel Cohen Venue Burke Theater
11:30 MO-A-BU.01 – Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomisation » Matthew Zeng (University of Warwick), Vicky Henderson (University of Warwick), David Hobson (University of Warwick) 12:00 MO-A-BU.02 – Discounting, Diversity, and Investment » Wei Wei (University of Waterloo), Xunyu Zhou (Columbia University), Sebastian Ebert (Frankfurt School of Finance and Management) 12:30 MO-A-BU.03 – Dynamic statistical uncertainty and decision making » Samuel Cohen (University of Oxford) 13:00 MO-A-BU.04 – Partial Liquidation under Reference-Dependent Preferences » Vicky Henderson (University of Warwick), Jonathan Muscat (University of Warwick)
Monday 11:30 - 13:30	MO-A-DA Optimal Martingale Transport Chaired By: Benjamin Jourdain Venue Davis
11:30 MO-A-DA.01 – Sampling of probability measures in the convex order and approximation of Martingale Optimal Transport problems » Aurelien Alfonsi (Ecole Nationale des Ponts et Chaussees), Jacopo Corbetta (Zeliade Systems), Benjamin Jourdain (Ecole Nationale des Ponts et Chaussees) 12:00 MO-A-DA.02 – Computational Methods for Martingale Optimal Transport Problems » Gaoyue Guo (University of Oxford), Jan Obloj (University of Oxford) 12:30 MO-A-DA.03 – The Optimal Martingale Transport Problem With Additional Information about Variance of the Returns » Julian Sester (University of Freiburg), Eva Luetkebohmert (University of Freiburg) 13:00 MO-A-DA.04 – Robust Pricing and Hedging around the Globe » Sebastian Herrmann (University of Michigan), Florian Stebegg (Columbia University)
Monday 11:30 - 13:30	MO-A-EM Systemic Risk Chaired By: Nils Detering Venue Emmet
11:30 MO-A-EM.01 – Time to Homeownership and Mortgage Design: Income Sharing and Saving Incentive » Gianluca Marcato (University of Reading), Rafal Wojakowski (University of Surrey) 12:00 MO-A-EM.02 – Can Swing Pricing Prevent Mutual Fund Runs and Fire Sales? » Marko Weber (Columbia University), Agostino Capponi (Columbia University), Paul Glasserman (Columbia University) 12:30 MO-A-EM.03 – Default contagion in financial block networks » Nils Detering (University of California, Santa Barbara), Konstantinos Panagiotou (University of Munich), Daniel Ritter (Univesity of Munich), Thilo Meyer-Brandis (University of Munich) 13:00 MO-A-EM.04 – An Asymptotic Model of Fire Sales in Financial Systems » Nils Detering (University of California, Santa Barbara), Thilo Meyer-Brandis (University of Munich), Konstantinos Panagiotou (University of Munich), Daniel Ritter (University of Munich)
Monday 11:30 - 13:30	MO-A-SW BSDE and PDE Methods Chaired By: Junjan Yang Venue Swift
11:30 MO-A-SW.01 – Mild solutions to path-dependent PDEs » Alexander Kalinin (Imperial College London), Alexander Schied (University of Waterloo) 12:00 MO-A-SW.02 – On $L^1$ solutions of BSDE » Junjian Yang (TU Wien), Zhenjie Ren (University of Paris-Dauphine), Nizar Touzi (Ecole Polytechnique-CMAP) 12:30 MO-A-SW.03 – Recent developments in the theory of stochastic control and optimal stopping with nonlinear expectations » Roxana Dumitrescu (King's College London), Agnes Sulem (INRIA), Marie-Claire Quenez (Universite Paris-Diderot) 13:00 MO-A-SW.04 – Second-order backward SDE with random terminal time and applications » YIQING LIN (Shanghai Jiao Tong University), Zhenjie Ren (University of Paris-Dauphine), Nizar Touzi (Ecole Polytechnique-CMAP), Junjian Yang (TU Wien)
Monday 11:30 - 13:30	MO-A-SY Portfolio Choice and Beyond Chaired By: Immacolata Oliva Venue Synge
11:30 MO-A-SY.01 – Portfolio Rho-presentativity » Tristan Froidure (TOBAM), Khalid Jalalzai (TOBAM), Yves Choueifaty (TOBAM) 12:00 MO-A-SY.02 – Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like » Immacolata Oliva (University of Verona), Roberto Reno (University of Verona) 12:30 MO-A-SY.03 – Deflators and optimal portfolios under random horizon » Sina Yansori (University of Alberta), Tahir Choulli (University of Alberta) 13:00 MO-A-SY.04 – Risk Sensitive Portfolio Optimization with Regime-Switching » Xiang Yu (The Hong Kong Polytechnic University), Lijun Bo (University of Science and Technology of China), Huafu Liao (University of Science and Technology of China)
Monday 11:30 - 13:30	MO-A-UI Simulation, Estimation and Approximation Chaired By: Conall Kelly Venue Ui Chadhain
11:30 MO-A-UI.01 – Option Pricing with Orthogonal Polynomial Expansions » Damien Ackerer (Swissquote Bank), Damir Filipovic (EPFL and Swiss Finance Institute) 12:00 MO-A-UI.02 – Adaptive numerical methods for stochastic differential equation models with non-Lipschitz coefficients » Conall Kelly (University College Cork), Gabriel Lord (Heriot-Watt University), Alexandra Rodkina (The University of the West Indies), Eeva Rapoo (The University of South Africa) 12:30 MO-A-UI.03 – Options Portfolio Selection » Eberhard Mayerhofer (University of Limerick), Paolo Guasoni (Dublin City University) 13:00 MO-A-UI.04 – Assessment of time-varying systemic risk in credit default swap indices: simultaneity and contagiousness » Hyun Jin Jang (Ulsan National Institute of Science and Technology), So Eun Choi (Korea Advanced Institute of Science and Technology), Geon Ho Choe (Korea Advanced Institute of Science and Technology)
Monday 13:30 - 14:30	Lunch
Monday 14:30 - 16:30	MO-P-B1 Insurance Chaired By: Francesca Biagini Venue Beckett 1
14:30 MO-P-B1.01 – Reduced-form framework for life insurance liabilities under model uncertainty » Francesca Biagini (University of Munich), Yinglin Zhang (University of Munich) 15:00 MO-P-B1.02 – Minimum Return Rate Guarantees under Default Risk - Optimal Design of Quantile Guarantees » Antje Mahayni (University Duisburg-Essen), Oliver Lubos (University Duisburg-Essen), Sascha Offermann (University Duisburg-Essen) 15:30 MO-P-B1.03 – Optimal Saving and Insurance under Generalized Mean-Variance Preferences » Nicole Branger (University of Muenster), Antje Mahayni (University of Duisburg-Essen), Nikolaus Schweizer (Univfersity of Tilburg), Cathleen Sende (University of Duisburg-Essen) 16:00 MO-P-B1.04 – A market consistent framework for the fair evaluation of insurance contracts under Solvency II » Anna Maria Gambaro (Universita del Piemonte Orientale), Gianluca Fusai (Cass Business School, City, University of London), Riccardo Casalini (UnipolSai Assicurazioni S.p.A.), Alessandro Ghilarducci (Deloitte Consulting Srl)
Monday 14:30 - 16:30	MO-P-B2 Option Pricing Chaired By: Pavel Gapeev Venue Beckett 2
14:30 MO-P-B2.01 – A Multidimensional Hilbert Transform Approach for Barrier Option Pricing and Survival Probability Calculation » Jie Chen (The Chinese University of Hong Kong), Liaoyuan Fan (The Chinese University of Hong Kong), Lingfei Li (The Chinese University of Hong Kong) 15:00 MO-P-B2.02 – A closed-form approximation to European option prices under a multifactor extension of Heston's stochastic volatility model » Sotheara Veng (Pusan National University), Ji-hun Yoon (Pusan National University) 15:30 MO-P-B2.03 – An Approximation of an Equivalent European Payoff for the American Put Option » Ciprian Necula (University of Zurich) 16:00 MO-P-B2.04 – Perpetual American options in a diffusion model with stochastic interest rates » Pavel Gapeev (London School of Economics and Political Science), Goran Peskir (The University of Manchester)
Monday 14:30 - 16:30	MO-P-BU Affine & Polynomial Processes: Applications Chaired By: Josef Teichmann Venue Burke Theater
14:30 MO-P-BU.01 – A multi-factor polynomial framework for long-term electricity forwards with delivery period » Xi Kleisinger-Yu (ETH Zurich), Martin Larsson (ETH Zurich) 15:00 MO-P-BU.02 – A Term Structure Model for Dividends and Interest Rates » Sander Willems (EPFL and Swiss Finance Institute), Damir Filipovic (EPFL and Swiss Finance Institute) 15:30 MO-P-BU.03 – Quantization goes Polynomial » Giorgia Callegaro (University of Padova), Lucio Fiorin (University of Padova), Andrea Pallavicini (Imperial College London) 16:00 MO-P-BU.04 – Linearized Filtering of Affine Processes Using Stochastic Riccati Equations » Josef Teichmann (ETH Zurich), Lukas Gonon (ETH Zurich)
Monday 14:30 - 16:30	MO-P-DA Price Impact and Portfolio Choice Chaired By: Moritz Voss Venue Davis
14:30 MO-P-DA.01 – Optimal investment in an illiquid financial market » Moritz Voss (University of California, Santa Barbara), Peter Bank (TU Berlin) 15:00 MO-P-DA.02 – Stability for gains from large investors' strategies in M1/J1 topologies » Peter Frentrup (Humb), Todor Bilarev (Humboldt-Universität zu Berlin), Dirk Becherer (Humboldt-Universität zu Berlin) 15:30 MO-P-DA.03 – Utility Maximization in a Multidimensional Market with Small Nonlinear Price Impact » Thomas Cayé (Dublin City University), Ibrahim Ekren (University of Michigan), Erhan Bayraktar (University of Michigan) 16:00 MO-P-DA.04 – Quasi-sure duality for multi-dimensional martingale optimal transport » Hadrien De March (Ecole Polytechnique-CMAP)
Monday 14:30 - 16:30	MO-P-EM Robust Finance Chaired By: Jan Vecer Venue Emmet
14:30 MO-P-EM.01 – Utility Maximization under Model Uncertainty » Dorothee Westphal (TU Kaiserslautern), Jörn Sass (TU Kaiserslautern), Ralf Wunderlich (BTU Cottbus-Senftenberg) 15:00 MO-P-EM.02 – Convergence of utility indifference prices to the superreplication price in a multiple-priors framework » Romain Blanchard (LMR, Universite Reims Champagne-Ardenne), Laurence Carassus (Research Center, Leonard de Vinci Pole universitaire and LMR, Universite Reims Champagne-Ardenne) 15:30 MO-P-EM.03 – Dynamic Probability Scoring Rules, Statistical Martingale Testing and Model Selection » Jan Vecer (Charles University) 16:00 MO-P-EM.04 – Pricing and hedging in incomplete markets with model uncertainty » Anne Balter (Tilburg University), Antoon Pelsser (Maastricht University)
Monday 14:30 - 16:30	MO-P-SW Stochastic Processes Chaired By: Uwe Schmock Venue Swift
14:30 MO-P-SW.01 – Normal Variance Mixture Distributions as Approximations of Poisson Mixture Sums » Uwe Schmock (Technische Universität Wien), Peter Eichelsbacher (Ruhr-Universitat Bochum), Piet Porkert (Technische Universität Wien) 15:00 MO-P-SW.02 – Predictive Distribution of Anticipative alpha-Stable Markov Processes » Sébastien Fries (ENSAE-ParisTech & CREST) 15:30 MO-P-SW.03 – On the Determination of the Lévy Exponent in Asset Pricing Models » Georgios Bouzianis (Department of Mathematics, King's College London), Lane Hughston (Goldsmiths College) 16:00 MO-P-SW.04 – A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus » Takuji Arai (Keio University), Yuto Imai (Waseda University)
Monday 14:30 - 16:30	MO-P-SY Bubbles and Macro Models Chaired By: Michael Schatz Venue Synge
14:30 MO-P-SY.01 – A mathematical framework for inefficient market bubbles » Michael Schatz (ETH Zurich), Didier Sornette (ETH Zurich) 15:00 MO-P-SY.02 – An Economic Bubble Model and Its First Hitting Time » Luting Li (London School of Economics and Political Science), Angelos Dassios (London School of Economics and Political Science) 15:30 MO-P-SY.03 – Equity Risk Premium Predictability from Cross-Sectoral Downturns » Jose Faias (Catolica Lisbon SBE), Juan Zambrano (Maynooth University) 16:00 MO-P-SY.04 – Optimal Retirement in a General Market Environment » Hyeng Keun Koo (Ajou University), Zhou Yang (South China Normal University), Yong Hyun Shin (Sookmyung Women's University)
Monday 14:30 - 16:30	MO-P-UI Risk Measures: Theory and Practice Chaired By: Keita Owari Venue Ui Chadhain
14:30 MO-P-UI.01 – Why PD curves calibrated from scoring models should have a Fermi-Dirac shape? » Vivien Brunel (Pole Leonard de Vinci) 15:00 MO-P-UI.02 – Convex Functions on Dual Orlicz Spaces » Keita Owari (Ritsumeikan University), Freddy Delbaen (ETH Zurich) 15:30 MO-P-UI.03 – Expected shortfall and portfolio management in contagious markets » Alice Buccioli (Aarhus BSS, Aarhus University), Thomas Kokholm (Aarhus BSS, Aarhus University), Marco Nicolosi (University of Perugia) 16:00 MO-P-UI.04 – Fatou property of risk measures on Orlicz spaces » Niushan Gao (Ryerson University), Denny Leung (National University of Singapore), Cosimo-Andrea Munari (University of Zurich), Foivos Xanthos (Ryerson University)
Monday 16:30 - 17:00	Coffee Break
Monday 17:00 - 17:50	MO-PL-P Xin Guo Venue Burke Theater - Chairman Jim Gatheral
17:00 Mean Field Games in Singular Controls, Nash Equilibrium vs. Pareto Optimality. » Xin Guo University of California, Berkeley
Monday 18:00 - 19:30	Welcome Reception
Tuesday, 17th July
Tuesday 09:00 - 09:50	TU-PL-A1 Hansjoerg Albrecher Venue Burke Theater - Chairman Eckhard Platen
09:00 On the Principle of Randomization in Finance and Insurance » Hansjoerg Albrecher University of Lausanne
Tuesday 10:00 - 10:50	TU-PL-A2 Jose Scheinkman Venue Burke Theater - Chairman Dilip Madan
10:00 Shorting in Speculative Markets » Jose Scheinkman
Tuesday 11:00 - 11:30	Coffee Break
Tuesday 11:30 - 13:30	TU-A-B1 Mean-Risk Asset Allocation Chaired By: Yaw-Huei Wang Venue Beckett 1
11:30 TU-A-B1.01 – Portfolio Optimisation with Semivariance » Kwok Chuen Wong (Dublin City University), Paolo Guasoni (Dublin City University) 12:00 TU-A-B1.02 – How Elementary is Diversification? A Study of Children's Portfolio Choice » Ola Mahmoud (University of St Gallen), Enrico Degiorgi (University of St Gallen) 12:30 TU-A-B1.03 – Optimal Portfolio Allocation with Option-Implied Moments: A Forward-Looking Approach » Tzu-ying Chen (National Taiwan University), San-lin Chung (National Taiwan University), Yaw-Huei Wang (National Taiwan University) 13:00 TU-A-B1.04 – Dynamic Mean-Risk Asset Allocation and Myopic Strategies: A Universal Portfolio Rule » Xuedong He (The Chinese University of Hong Kong), Zhaoli Jiang (The Chinese University of Hong Kong)
Tuesday 11:30 - 13:30	TU-A-B2 Credit Risk 1 Chaired By: Rüdiger Frey Venue Beckett 2
11:30 TU-A-B2.01 – Sovereign-Bond Backed Securities as a new Safe Asset for the Eurozone: a Dynamic Credit Risk Perspective » Rüdiger Frey (Vienna University of Economics and Business) 12:00 TU-A-B2.02 – CDS index options in Markov chain models » Alexander Herbertsson (University of Gothenburg) 12:30 TU-A-B2.03 – Modelling Liquidation Risk with Occupation Times » Roman Makarov (Wilfrid Laurier University) 13:00 TU-A-B2.04 – Mimicking Credit Ratings by a Perpetual-Debt Structural Model » Gaia Barone (LUISS, Rome)
Tuesday 11:30 - 13:30	TU-A-BU Arbitrage Theory Chaired By: Martin Schweizer Venue Burke Theater
11:30 TU-A-BU.01 – Convex duality and Orlicz spaces in expected utility maximization » Sara Biagini (LUISS, Rome), Aleš Černý (Cass Business School, City, University of London) 12:00 TU-A-BU.02 – How local in time is the no-arbitrage property under capital gains taxes ? » Christoph Kühn (Goethe University Frankfurt) 12:30 TU-A-BU.03 – Arbitrage-Free Pricing in Nonlinear Market Models » Tomasz Bielecki (Illinois Institute of Technology), Igor Cialenco (Illinois Institute of Technology), Marek Rutkowski (University of Sydney) 13:00 TU-A-BU.04 – Absence of arbitrage revisited » Martin Schweizer (ETH Zurich), Daniel Balint (ETH Zurich)
Tuesday 11:30 - 13:30	TU-A-DA Computational Finance Chaired By: Roberto Daluiso Venue Davis
11:30 TU-A-DA.01 – The Evaluation of Gas Sales Agreements with Indexation using GPUs » Wenfeng Dong (University of York), Boda Kang (University of York) 12:00 TU-A-DA.02 – Stochastic Grid Bundling Method for Backward Stochastic Differential Equations » Ki Wai Chau (Centrum Wiskunde & Informatica), Cornelis W. Oosterlee (Centrum Wiskunde & Informatica) 12:30 TU-A-DA.03 – Geometric Learning and Filtering in Finance » Anastasis Kratsios (Concordia University), Cody Hyndman (Concordia University) 13:00 TU-A-DA.04 – Second order sensitivities in linear or constant time » Roberto Daluiso (University of Milano-Bicocca)
Tuesday 11:30 - 13:30	TU-A-EM HJM models and Variations Chaired By: Robert Elliott Venue Emmet
11:30 TU-A-EM.01 – A multiple-curve Lévy forward rate model in a two-price economy » Christoph Gerhart (University of Freiburg), Ernst Eberlein (University of Freiburg) 12:00 TU-A-EM.02 – A stochastic spread HJM model with stochastic volatility » Karl Hofmann (Deloitte GmbH), Moritz Geelhaar (TU Berlin), Antonis Papapantoleon (National Technical University of Athens), Patrick Büchel (Commerzbank AG) 12:30 TU-A-EM.03 – The Heath-Jarrow-Morton Model with Regime Shifts and Jumps Priced » Robert Elliott (University of Calgary/University of South Australia), Tak Kuen Siu (Macquarie University) 13:00 TU-A-EM.04 – A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors » Martino Grasselli (University of Padua and DVCR Paris), Mesias Alfeus (University of Technology Sydney), Erik Schlogl (University of Technology Sydney)
Tuesday 11:30 - 13:30	TU-A-SW High Frequency Trading Chaired By: Sebastian Jaimungal Venue Swift
11:30 TU-A-SW.01 – Adaptive Robust Trading Under Model Uncertainty » Tomasz Bielecki (Illinois Institute of Technology), Tao Chen (University of California, Santa Barbara), Igor Cialenco (Illinois Institute of Technology), Areski Cousin (University of Strasbourg), Monique Jeanblanc (Evry University) 12:00 TU-A-SW.02 – Algorithmic Trading with Partial Information: A Mean Field Game Analysis » Sebastian Jaimungal (University of Toronto), Philippe Casgrain (University of Toronto) 12:30 TU-A-SW.03 – Daily Leveraged ETF Rebalancing under Market Frictions » Min Dai (National University of Singapore), Steven Kou (National University of Singapore), Halil Mete Soner (ETH Zurich), Chen Yang (ETH Zurich) 13:00 TU-A-SW.04 – Maximising Fill Ratios in FX Markets with Latency, Volatility and Model Ambiguity » Leandro Sánchez Betancourt (University of Oxford), Alvaro Cartea (University of Oxford)
Tuesday 11:30 - 13:30	TU-A-SY Optimal Stopping Chaired By: David Hobson Venue Synge
11:30 TU-A-SY.01 – Optimal Stopping and the Sufficiency of Randomized Threshold Strategies » David Hobson (University of Warwick), Matthew Zeng (warwic), Vicky Henderson (University of Warwick) 12:00 TU-A-SY.02 – Optimal Stopping at Random Intervention Times » Mick Schaefer (University of Hamburg), Alexander Szimayer (University of Hamburg) 12:30 TU-A-SY.03 – Optimal stopping in a large financial network model » Nils Detering (University of California, Santa Barbara), Jean-Pierre Fouque (University of California, Santa Barbara), Tomoyuki Ichiba (University of California, Santa Barbara) 13:00 TU-A-SY.04 – Optimal stopping strategies of behavioral gamblers in finite time horizons » Sang Hu (The Chinese University of Hong Kong, Shenzhen), Jan Obloj (University of Oxford), Xunyu Zhou (Columbia University)
Tuesday 11:30 - 13:30	TU-A-UI Equilibria: Heterogenous Preferences & Information, Learning & Reference Dependence Chaired By: Scott Robertson Venue Ui Chadhain
11:30 TU-A-UI.01 – Equilibrium with Heterogenous Information » Scott Robertson (Boston University, Questrom School of Business), Marcel Rindisbacher (Boston University, Questrom School of Business), Jerome Detemple (Boston University, Questrom School of Business) 12:00 TU-A-UI.02 – Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage » Tyler Abbot (Sciences Po) 12:30 TU-A-UI.03 – The Learning Premium » Maxim Bichuch (Johns Hopkins University), Paolo Guasoni (Dublin City University) 13:00 TU-A-UI.04 – Reference Dependence and Market Participation » Andrea Meireles Rodrigues (Dublin City University)
Tuesday 13:30 - 14:30	Lunch
Tuesday 14:30 - 16:30	TU-P-B1 Optimal Control and Optimal Investment 1 Chaired By: Eckhard Platen Venue Beckett 1
14:30 TU-P-B1.01 – Inter-temporal Mutual Fund Management » Phillip Yam (The Chinese University of Hong Kong), Alain Bensoussan (UT Dallas and CityU HK), Yiqun Li (CityU HK) 15:00 TU-P-B1.02 – Optimal Portfolio Choice for Early Retirement with Cointegration between the Stock and Labor Markets » Min Dai (National University of Singapore), Shan Huang (National University of Singapore), Seyoung Park (Loughborough University) 15:30 TU-P-B1.03 – Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management » Ali Al-Aradi (University of Toronto), Sebastian Jaimungal (University of Toronto) 16:00 TU-P-B1.04 – Investing for the Long Run » Eckhard Platen (University of Technology Sydney), Dietmar Leisen (University of Mainz)
Tuesday 14:30 - 16:30	TU-P-B2 Utility Maximization: Opinions, Constraints and Computation Chaired By: Hyungbin Park Venue Beckett 2
14:30 TU-P-B2.01 – Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities » Marco Nicolosi (University of Perugia), Stefano Herzel (University of Rome Tor Vergata) 15:00 TU-P-B2.02 – High-frequency expert opinions and power utility maximization in a market with Gaussian drift » Ralf Wunderlich (BTU Cottbus-Senftenberg), Abdelali Gabih (Universite Chouaib Doukkali), Hakam Kondakji (Brandenburg University of Technology Cottbus-Senftenberg) 15:30 TU-P-B2.03 – A sensitivity analysis of the long-term expected utility of optimal portfolios » Hyungbin Park (Seoul National University), Stephan Sturm (Worcester Polytechnic Institute) 16:00 TU-P-B2.04 – Risk management with multiple VaR constraints » An Chen (University of Ulm), Thai Nguyen (University of Ulm), Mitja Stadje (University of Ulm)
Tuesday 14:30 - 16:30	TU-P-BU Econometrics Chaired By: Dilip Madan Venue Burke Theater
14:30 TU-P-BU.01 – Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias » Diego Amaya (Wilfrid Laurier University), Mathieu Boudreault (Universite du Quebec a Montreal), Don McLeish (University of Waterloo) 15:00 TU-P-BU.02 – Self Similarity in Long Horizon Returns » Dilip Madan (Robert H. Smith School of Business) 15:30 TU-P-BU.03 – Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options » Anmar Al Wakil (University of Paris-Dauphine), Serge Darolles (University of Paris-Dauphine) 16:00 TU-P-BU.04 – Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data » Yuta Koike (University of Tokyo)
Tuesday 14:30 - 16:30	TU-P-DA Robust and Model-Free Finance Chaired By: Gianluca Cassese Venue Davis
14:30 TU-P-DA.01 – Robust Martingale Selection Problem and its Connections to the No-Arbitrage Theory » Matteo Burzoni (ETH Zurich), Mario Sikic (University of Zurich) 15:00 TU-P-DA.02 – Incorporating statistical model error into the calculation of acceptability prices of contingent claims » Martin Glanzer (University of Vienna), Georg Pflug (University of Vienna) 15:30 TU-P-DA.03 – Model-free bounds, optimal transport and applications in finance » Antonis Papapantoleon (National Technical University of Athens), Daniel Bartl (University of Konstanz), Michael Kupper (University of Konstanz), Thibaut Lux (Helvetia Insurance Group), Stephan Eckstein (University of Konstanz) 16:00 TU-P-DA.04 – Asset pricing in an imperfect world » Gianluca Cassese (Universita Milano Bicocca)
Tuesday 14:30 - 16:30	TU-P-EM Interest Rate, Yield Curves, and Derivatives Chaired By: Ernst Eberlein Venue Emmet
14:30 TU-P-EM.01 – EMPIRICAL ANALYSIS AND FORECASTING OF MULTIPLE YIELD CURVES » Eva Luetkebohmert (University of Freiburg), Christoph Gerhart (University of Freiburg) 15:00 TU-P-EM.02 – Computation and Estimation of Shadow Interest Rate Models » Muchen Zhao (Northwestern University), Vadim Linetsky (Northwestern University) 15:30 TU-P-EM.03 – Long-term risk with stochastic interest rates » Federico Severino (Universita della Svizzera Italiana) 16:00 TU-P-EM.04 – Hybrid Lévy models: Design and computational aspects » Ernst Eberlein (University of Freiburg), Marcus Rudmann (University of Freiburg)
Tuesday 14:30 - 16:30	TU-P-SW Equilibria: Macro - and Microeconomic Aspects Chaired By: Johannes Muhle-Karbe Venue Swift
14:30 TU-P-SW.01 – Option Market Making with Imperfect Competition » Martin Herdegen (Warwick), Johannes Muhle-Karbe (Carnegie Mellon University), Florian Stebegg (Columbia University) 15:00 TU-P-SW.02 – Equilibrium Implications of Interest Rate Smoothing » Diogo Duarte (Florida International University), Rodolfo Prieto (Boston University,) 15:30 TU-P-SW.03 – Control-Stopping Games for Market Microstructure and Beyond » Sergey Nadtochiy (University of Michigan), Roman Gayduk (University of Michigan) 16:00 TU-P-SW.04 – Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence » Jing Guo (Columbia University), Xuedong He (The Chinese University of Hong Kong)
Tuesday 14:30 - 16:30	TU-P-SY Risk Dynamics Chaired By: Jocelyne Bion-Nadal Venue Synge
14:30 TU-P-SY.01 – Fully Dynamic Pricing: Risk Indifference and No Good Deal » Jocelyne Bion-Nadal (CNRS, CMAP Ecole Polytechnique), Giulia Di Nunno (University of Oslo) 15:00 TU-P-SY.02 – Procyclicality of Empirical Measurements of Risk in Financial Markets » Marcel Bräutigam (Sorbonne University; ESSEC Business School; LabEx MME-DII), Michel Dacorogna (DEAR Consulting), Marie Kratz (ESSEC Business School, CREAR) 15:30 TU-P-SY.03 – Intrinsic Risk Measures » Alexander Smirnow (University of Zurich), Walter Farkas (University of Zurich) 16:00 TU-P-SY.04 – Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models » Yu Feng (University of Technology Sydney), Ralph Rudd (University of Cape Town), Christopher Baker (University of Cape Town), Qaphela Mashalaba (University of Cape Town), Melusi Mavuso (University of Cape Town), Erik Schlogl (University of Technology Sydney)
Tuesday 14:30 - 16:30	TU-P-UI American, Asian and Exotic Options Chaired By: Gianluca Fusai Venue Ui Chadhain
14:30 TU-P-UI.01 – Asian Options pricing under exponential Ornstein–Uhlenbeck dynamics » Riccardo Brignone (Universita Milano Bicocca), Gianluca Fusai (Universita del Piemonte Orientale), Ioannis Kyriakou (Cass Business School, City, University of London) 15:00 TU-P-UI.02 – Runge-Kutta-Gegenbauer relaxation for parallelised option pricing » Stephen O'Sullivan (Dublin Institute of Technology), Conall O'Sullivan (Smurfit Business School, University College Dublin) 15:30 TU-P-UI.03 – Robust bounds for the American Put » Dominykas Norgilas (University of Warwick), David Hobson (University of Warwick) 16:00 TU-P-UI.04 – Analysis of Calibration Risk for Exotic Options through a Resampling Technique » Marina Marena (Universita di Torino), Gianluca Fusai (Universita del Piemonte Orientale), Marco Materazzi (Source, London, UK)
Tuesday 16:30 - 17:00	Coffee Break
Tuesday 17:00 - 18:00	General Assembly Venue Burke Theater
Wednesday, 18th July
Wednesday 09:00 - 09:50	WE-PL-A1 Jianfeng Zhang Venue Burke Theater - Chairman Lane Hughston
09:00 Viscosity Solutions to Master Equations » Jianfeng Zhang University of Southern California
Wednesday 10:00 - 10:50	WE-PL-A2 Monique Jeanblanc Venue Burke Theater - Chairman Paul Glasserman
10:00 Why is it important to study various sources of information? » Monique Jeanblanc University of Evry
Wednesday 11:00 - 11:30	Coffee Break
Wednesday 11:30 - 13:30	WE-A-B1 Measuring Risk: Unilateral and Central Exposures Chaired By: Sebastian Geissel Venue Beckett 1
11:30 WE-A-B1.01 – Optimal Expected Utility Risk Measures and Implied Risk Aversion » Frank Seifried (University of Trier), Sebastian Geissel (HSBC Germany), Jörn Sass (TU Kaiserslautern), Holger Fink (Nuertingen-Geislingen University of Applied Sciences) 12:00 WE-A-B1.02 – Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR » Moris Strub (The Chinese University of Hong Kong), Duan Li (CityU HK), Xiangyu Cui (Shanghai University of Finance and Economics), Jianjun Gao (Shanghai University of Finance and Economics) 12:30 WE-A-B1.03 – A Dynamic Model of CCP Risk » Tomasz Bielecki (Illinois Institute of Technology), Igor Cialenco (Illinois Institute of Technology), Shibi Feng (Illinois Institute of Technology) 13:00 WE-A-B1.04 – Wrong-way Risk in Credit Valuation Adjustment of Credit Default Swap with Copulas: Application of Shifted Square Root Jump Diffusion for Default Intensities » Toshinao Yoshiba (Bank of Japan), Testuya Adachi (PwC Consulting LLC), Takumi Sueshige (Tokyo Institute of Technology)
Wednesday 11:30 - 13:30	WE-A-B2 Stochastic Volatility 2 Chaired By: Martin Keller-Ressel Venue Beckett 2
11:30 WE-A-B2.01 – Optimal Portfolio under Fractional Stochastic Environment » Jean-Pierre Fouque (University of California, Santa Barbara), Ruimeng Hu (University of California, Santa Barbara) 12:00 WE-A-B2.02 – Information Flow Dependence in Financial Markets » Markus Michaelsen (University of Hamburg) 12:30 WE-A-B2.03 – Smiles & Smirks: a tale of factors » Laura Ballotta (Cass Business School, City, University of London), Gregory Rayee (ULB) 13:00 WE-A-B2.04 – Affine Forward Variance Models » Martin Keller-Ressel (TU Dresden), Jim Gatheral (Baruch College, CUNY)
Wednesday 11:30 - 13:30	WE-A-BU Managing Conflicting Incentives Chaired By: Lane Hughston Venue Burke Theater
11:30 WE-A-BU.01 – Optimal Taxation and Wealth Redistribution » Lane Hughston (Goldsmiths College), Bernhard K. Meister (Renmin University of China, Beijing), Robert Zimmer (Goldsmiths College) 12:00 WE-A-BU.02 – Beyond Valuation Adjustments: an Indifference Approach to Funding and Capital » Damiano Brigo (Imperial College London), Marco Francischello (Imperial College London), Andrea Pallavicini (Imperial College London and Banca IMI) 12:30 WE-A-BU.03 – Valuation and incentives of exotic performance-vesting stock grants with path-dependent (price- and earnings-based) vesting schedules » Elisabeth Megally (University of Zurich and Swiss Finance Institute) 13:00 WE-A-BU.04 – Mathematics of Post Trade Allocation » Ali Hirsa (Columbia University)
Wednesday 11:30 - 13:30	WE-A-DA The Value of Information Chaired By: Jan Obloj Venue Davis
11:30 WE-A-DA.01 – The value of information for optimal portfolio management » Stefano Herzel (University of Rome Tor Vergata), Katia Colaneri (University of Leeds), Marco Nicolosi (University of Perugia) 12:00 WE-A-DA.02 – Sentiment Lost: the E ect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set » Carlo Sala (ESADE Business School), Giovanni Barone Adesi (Universita della Svizzera Italiana) 12:30 WE-A-DA.03 – The Value of Information for Pricing and Hedging » Jan Obloj (University of Oxford), Anna Aksamit (University of Sydney) 13:00 WE-A-DA.04 – An example of martingale representation in progressive enlargement by an accessible random time » Barbara Torti (University of Rome Tor Vergata), Antonella Calzolari (University of Rome Tor Vergata)
Wednesday 11:30 - 13:30	WE-A-EM Optimal Execution, and LOB Models Chaired By: Jinniao Qiu Venue Emmet
11:30 WE-A-EM.01 – Incorporating Signals into Optimal Trading » Eyal Neuman (Imperial College), Charles-Albert LEHALLE (Imperial College and CFM) 12:00 WE-A-EM.02 – Hedging Non-Tradable Risks with Transaction Costs and Price Impact » Ryan Donnelly (University of Washington), Sebastian Jaimungal (University of Toronto), Alvaro Cartea (University of Oxford) 12:30 WE-A-EM.03 – Optimal High Frequency Interactions with Orderbook » Othmane Mounjid (Ecole Polytechnique-CMAP), Charles-albert Lehalle (Imperial College and CFM), Mathieu Rosenbaum (Ecole Polytechnique-CMAP) 13:00 WE-A-EM.04 – A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics » Jinniao Qiu (University of Calgary), Christian Bayer (Weierstrass Institute), Ulrich Horst (Humboldt University Berlin)
Wednesday 11:30 - 13:30	WE-A-SW Computational Finance Chaired By: Xiang Ma Venue Swift
11:30 WE-A-SW.01 – A Bayesian Approach to Backtest Overfitting » Jiri Witzany (University of Economics in Prague, Faculty of Finance and Accounting) 12:00 WE-A-SW.02 – A Fast Optimal Control Algorithm for Multi-Period Portfolio Optimization » Marc Weibel (Eniso Partners AG) 12:30 WE-A-SW.03 – A Recursive Dual Method for Stochastic Control and Its Applications in Finance » Nan Chen (The Chinese University of Hong Kong), Xiang Ma (The Chinese University of Hong Kong) 13:00 WE-A-SW.04 – Predicting Influential Recommendation Revisions » Jose Faias (Catolica Lisbon SBE)
Wednesday 11:30 - 13:30	WE-A-SY Information and Commodities Chaired By: Patrizia Semeraro Venue Synge
11:30 WE-A-SY.01 – Multivariate marked Poisson processes and market related multidimensional information ows » Patrizia Semeraro (Politecnico di Torino), Petar Jevtic (Arizona State University), Marina Marena (Università di) 12:00 WE-A-SY.02 – Portfolio optimization for a large investor controlling market sentiment under partial information » Katia Colaneri (University of Leeds), Sühan Altay (Vienna University of Technology), Zehra Eksi (WU - Vienna University of Economics and Business) 12:30 WE-A-SY.03 – Should Commodity Investors Follow Commodities' Prices? » Antonella Tolomeo (Reale Mutua Assicurazioni), Paolo Guasoni (Dublin City University), Gu Wang (Worcester Polytechnic Institute) 13:00 WE-A-SY.04 – The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield » Katsushi Nakajima (Ritsumeikan Asia Pacific University)
Wednesday 11:30 - 13:30	WE-A-UI Hedging: From Theory to Practice Chaired By: Michael Kupper Venue Ui Chadhain
11:30 WE-A-UI.01 – Pathwise superhedging on prediction sets » Daniel Bartl (University of Konstanz), Michael Kupper (University of Konstanz), Ariel Neufeld (ETH Zurich) 12:00 WE-A-UI.02 – Hedging in long memory stochastic volatility models » Qi Zhao (University of Illinois at Urbana-Champaign), Alexandra Chronopoulou (University of Illinois at Urbana-Champaign) 12:30 WE-A-UI.03 – Expected liquidity cost under delta hedging process » Kyungsub Lee (Yeungnam University), Byoung Ki Seo (Ulsan National Institute of Science and Technology) 13:00 WE-A-UI.04 – Consistent Valuation Across Curves using Pricing Kernels » Obeid Mahomed (University of Cape), Andrea Macrina (University College London)
Wednesday 13:30 - 14:30	Lunch
Wednesday 14:30 - 16:30	WE-P-B1 Optimal Control and Optimal Investment 2 Chaired By: Hoi Ying Wong Venue Beckett 1
14:30 WE-P-B1.01 – Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy » Hoi Ying Wong (The Chinese University of Hong Kong), Mei Choi Chiu (Education University of Hong Kong), Yong Hyun Shin (Sookmyung Women's University) 15:00 WE-P-B1.02 – Dynamic Portfolio Optimization with Looping Contagion Risk » Longjie Jia (Imperial College London), Martijn Pistorius (Imperial College London), Harry Zheng (Imperial College London) 15:30 WE-P-B1.03 – A Term Structure Model for Expert Opinions » Sebastien Lleo (NEOMA Business School), Mark Davis (Imperial College London) 16:00 WE-P-B1.04 – Dynamic Investment and Financing with Internal and External Liquidity Management » Nan Chen (The Chinese University of Hong Kong), Yuan Tian (Ryukoku University), Jiahui Ji (The Chinese University of Hong Kong)
Wednesday 14:30 - 16:30	WE-P-B2 Asset Pricing Chaired By: Sergey Levendorskiy Venue Beckett 2
14:30 WE-P-B2.01 – A generalized Bachelier formula for pricing basket and spread options » Fulvia Fringuellotti (University of Zurich), Ciprian Necula (University of Zurich) 15:00 WE-P-B2.02 – SINH-acceleration: efficient evaluation of probability distributions, option pricing, calibration and Monte-Carlo simulations » Sergey Levendorskiy (Calico Science Consulting), Svetlana Boyarchenko (University of Texas at Austin) 15:30 WE-P-B2.03 – Abnormal energy price movements prior to FOMC announcements » Hyeonung Jang (Ulsan National Institute of Science and Technology), Byoung Ki Seo (Ulsan National Institute of Science and Technology) 16:00 WE-P-B2.04 – Natural hedging with fix and floating strike guarantees » Antje Mahayni (University Duisburg-Essen), Katharina Stein (University Duisburg-Essen), Oliver Lubos (University Duisburg-Essen)
Wednesday 14:30 - 16:30	WE-P-BU Equilibria and Games Chaired By: Mathieu Rosenbaum Venue Burke Theater
14:30 WE-P-BU.01 – Principal Agent problem with common agency without communication » Thibaut Mastrolia (Ecole Polytechnique-CMAP) 15:00 WE-P-BU.02 – Open problems in contract theory » Dylan Possamaï (Columbia University) 15:30 WE-P-BU.03 – Optimal maker-taker fees for a trading platform » Omar El Euch (Ecole Polytechnique), Thibaud Mastrolia (Ecole Polytechnique), Mathieu Rosenbaum (Ecole Polytechnique) 16:00 WE-P-BU.04 – Large Tournament Games » Erhan Bayraktar (University of Michigan), Jaksa Cvitanic (Caltech), Yuchong Zhang (Columbia University)
Wednesday 14:30 - 16:30	WE-P-DA Systemic Risk Chaired By: Svetlana Borovkova Venue Davis
14:30 WE-P-DA.01 – Measuring systemic risk: The Indirect Contagion Index » Eric Schaanning (ETH Zurich), Rama Cont (Imperial College and CFM) 15:00 WE-P-DA.02 – Is more data always better? Optimal data usage in non-stationary systems » Jakob Krause (Martin-Luther University Halle-Wittenberg) 15:30 WE-P-DA.03 – News Sentiment Indices for Sectors and Industries » Svetlana Borovkova (Vrije Universiteit Amsterdam) 16:00 WE-P-DA.04 – Dynamic Initial Margin Estimation based on Quantiles of Johnson Distributions » Thomas McWalter (University of Cape Town), Joerg Kienitz (University of Cape Town), Nikolai Nowaczyk (Quaternion Risk Management), Ralph Rudd (University of Cape Town), Sarp Acar (Quaternion Risk Management)
Wednesday 14:30 - 16:30	WE-P-EM Dividends and Control Chaired By: Alexandre Roch Venue Emmet
14:30 WE-P-EM.01 – Optimal dividend and investment policy with debt covenants » Etienne Chevalier (Evry University), Vathana Ly Vath (ENSIIE), Alexandre Roch (University of Quebec in Montreal) 15:00 WE-P-EM.02 – Suboptimal Control of Dividends under Exponential Utility » Julia Eisenberg (University of Liverpool), Paul Krühner (University of Liverpool) 15:30 WE-P-EM.03 – Pricing Bounds and Bang-bang Analysis of the Polaris Variable Annuities » Zhiyi Shen (University of Waterloo), Chengguo Weng (University of Waterloo) 16:00 WE-P-EM.04 – Stochastic Control and Differential Games with Path-Dependent Controls » Yuri Saporito (Getulio Vargas Foundation)
Wednesday 14:30 - 16:30	WE-P-SW Limit-order Book Chaired By: Thorsten Rheinlander Venue Swift
14:30 WE-P-SW.01 – A Scaling Limit for Limit Order Books Driven by Hawkes Processes » Wei Xu (Humboldt-Universität zu Berlin), Ulrich Horst (Humboldt-Universität zu Berlin) 15:00 WE-P-SW.02 – Brownian trading excursions » Thorsten Rheinlander (Vienna University of Technology), Friedrich Hubalek (Vienna University of Technology), Paul Eisenberg (University of Liverpool) 15:30 WE-P-SW.03 – Spread crossing in a limit order book: optimal strategies and asymptotic analysis » Xuefeng Gao (The Chinese University of Hong Kong), Nan Chen (The Chinese University of Hong Kong), Xiang Ma (The Chinese University of Hong Kong) 16:00 WE-P-SW.04 – Second order approximations for limit order books » Dörte Kreher (Humboldt-Universität zu Berlin), Ulrich Horst (Humboldt-Universität zu Berlin)
Wednesday 14:30 - 16:30	WE-P-SY Macro Models Chaired By: Paul Glasserman Venue Synge
14:30 WE-P-SY.01 – Investor Information Choice with Macro and Micro Information » Paul Glasserman (Columbia University), Harry Mamaysky (Columbia University) 15:00 WE-P-SY.02 – A Model of Banks' Asset Securitization Programs » Masahiko Egami (Kyoto University), Kaoru Hosono (Gakushuin University) 15:30 WE-P-SY.03 – Capital Allocation under Fundamental Review of Trading Book » Luting Li (London School of Economics and Political Science), Hao Xing (London School of Economics and Political Science) 16:00 WE-P-SY.04 – Optimal timing for governmental control of the debt-to-GDP ratio » Neofytos Rodosthenous (Queen Mary University of London), Giorgio Ferrari (Bielefeld University)
Wednesday 14:30 - 16:30	WED-P-UI Approximating the Volatility Smile Chaired By: Kathrin Glau Venue Ui Chadhain
14:30 WED-P-UI.01 – Chebyshev interpolation for multivariate real-time problems in finance » Kathrin Glau (Queen Mary University of London), Mirco Mahlstedt (Technical University of Munich), Maximilian Gaß (Technical University of Munich), Maximilian Mair (Technical University of Munich), Francesco Statti (EPFL), Daniel Kressner (EPFL) 15:00 WED-P-UI.02 – Efficient Long-dated Swaption Volatility Approximation in the Forward-LIBOR Model » Jacques van Appel (University of Johannesburg), Thomas McWalter (University of Cape Town) 15:30 WED-P-UI.03 – Optimal contours and controls in semi-analytical option pricing revisited » Roger Lord (Cardano), Christian Kahl (FINCAD) 16:00 WED-P-UI.04 – The Chebyshev method for the implied volatility » Christian Poetz (Queen Mary University of London), Kathrin Glau (Queen Mary University of London), Paul Herold (Technical University of Munich), Dilip Madan (Robert H. Smith School of Business)
Wednesday 16:30 - 18:00	SIG Presentation Venue SIG Headquarters - IFSC - Transportation by bus from Trinity College
Thursday, 19th July
Thursday 09:00 - 09:50	TH-PL-A1 Bruno Bouchard Venue Burke Theater - Chairman Jean-Pierre Fouque
09:00 Perfect hedging under general price impact and market liquidity » Bruno Bouchard University of Paris Dauphine
Thursday 10:00 - 10:50	TH-PL-A2 Rene Aid Venue Burke Theater - Chairman Jean-Pierre Fouque
10:00 Talking pennies: Optimal Electricity Demand-Response Contracting » Rene Aid University of Paris Dauphine
Thursday 11:00 - 11:30	Coffee Break
Thursday 11:30 - 14:00	TH-A-B1 Risk Measures Chaired By: Emanuela Rosazza Gianin Venue Beckett 1
11:30 TH-A-B1.01 – Risk Sharing with Higher Dimensional Security Spaces » Felix-Benedikt Liebrich (University of Munich), Gregor Svindland (University of Munich) 12:00 TH-A-B1.02 – Capital Allocations for classical and set-valued risk measures » Francesca Centrone (University of Piemonte-Orientale), Emanuela Rosazza Gianin (University of Milano-Bicocca) 12:30 TH-A-B1.03 – Time-consistency of risk measures: how strong is such a property? » Elisa Mastrogiacomo (Insubria), Emanuela Rosazza Gianin (University of Milano-Bicocca) 13:00 TH-A-B1.04 – Multivariate risk measures as quasiconvex compositions » Cagin Ararat (Bilkent University)
Thursday 11:30 - 13:30	Th-A-B2 Portfolio Optimisation with Transaction Costs Chaired By: Oleksii Mostovyi Venue Beckett 2
11:30 Th-A-B2.01 – Optimal consumption and investment under transaction costs » David Hobson (University of Warwick), Alex Sing-lam Tse (University of Cambridge), Yeqi Zhu (Credit Suisse) 12:00 Th-A-B2.02 – Robust utility maximization with proportional transaction costs » Ngoc Huy Chau (Alfred Renyi Institute of Mathematics), Miklós Rásonyi (MTA Alfred Renyi Institute of Mathematics) 12:30 Th-A-B2.03 – Utility Maximization with Constant Costs » Christoph Belak (University of Trier), Sören Christensen (University of Hamburg), Frank Seifried (University of Trier) 13:00 Th-A-B2.04 – Sensitivity analysis of the utility maximization problem with respect to model perturbations » Oleksii Mostovyi (University of Connecticut), Mihai Sirbu (University of Texas at Austin)
Thursday 11:30 - 13:30	TH-A-BU Calibrating Stochastic Volatility Models Chaired By: Jim Gatheral Venue Burke Theater
11:30 TH-A-BU.01 – On the Joint Calibration of SPX and VIX Options » Julien Guyon (Bloomberg LP) 12:00 TH-A-BU.02 – Volatility options in rough volatility models » Antoine Jacquier (Imperial College), Blanka Horvath (Imperial College), Peter Tankov (ENSAE ParisTech) 12:30 TH-A-BU.03 – Exponentiation of Conditional Expectations Under Stochastic Volatility » Jim Gatheral (Baruch College, CUNY), elisa alos (University of Pompeu Fabra), Radoš Radoičić (Baruch College, CUNY) 13:00 TH-A-BU.04 – VIX derivatives in rough forward variance models » Stefano De Marco (Ecole Polytechnique-CMAP)
Thursday 11:30 - 13:30	TH-A-DA Equilibria, Games and BSDEs Chaired By: Matteo Basei Venue Davis
11:30 TH-A-DA.01 – Doubly Reflected BSDEs and non-linear Dynkin games: beyond right-continuity » Miryana Grigorova (University Bielefeld), Peter Imkeller (Humboldt-Universität zu Berlin), Youssef Ouknine (Universite Cadi Ayyad), Marie-Claire Quenez (Universite Paris-Diderot) 12:00 TH-A-DA.02 – General Incomplete-Market Equilibria in Continuous Time » Andrew Lyasoff (Boston University, Questrom School of Business) 12:30 TH-A-DA.03 – A Mean Field Game of Optimal Portfolio Liquidation » Guanxing Fu (Humboldt-Universität zu Berlin), Ulrich Horst (Humboldt-Universität zu Berlin), Paulwin Graewe (Humboldt-Universität zu Berlin), Alexandre Popier (Universite du Maine) 13:00 TH-A-DA.04 – The coordination of centralised and distributed generation » René Aid (University of Paris-Dauphine), Matteo Basei (University of California, Berkeley), Huyên Pham (Paris Diderot University (Paris 7))
Thursday 11:30 - 13:30	TH-A-EM Numerics, PDEs and Option Pricing Chaired By: Max Reppen Venue Emmet
11:30 TH-A-EM.01 – On the calibration of jump-diffusion models in finance » Vinicius Albani (Federal University of Santa Catarina), Jorge Zubelli (National Institute of Pure and Applied Mathematics), Sabrina Mulinacci (University of Bologna) 12:00 TH-A-EM.02 – Pricing Barrier Options in the Heston Model using the Heath-Platen Estimator » Sema Coskun (University of Kaiserslautern), Ralf Korn (University of Kaiserslautern) 12:30 TH-A-EM.03 – Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior » Lingfei Li (The Chinese University of Hong Kong), Gongqiu Zhang (Wuhan University) 13:00 TH-A-EM.04 – Branching diffusion simulation for stochastic control problems with friction » Ibrahim Ekren (University of Michigan), Max Reppen (ETH Zurich)
Thursday 11:30 - 13:30	TH-A-SW Forecasting Chaired By: David Edelman Venue Swift
11:30 TH-A-SW.01 – Forecasting security's volatility using low-frequency and high-frequency historical data and option-implied information » Huiling Yuan (Shanghai University of Finance and Economics), Yong Zhou (Shanghai University of Finance and Economics), Zhiyuan Zhang (Shanghai University of Finance and Economics), Xiangyu Cui (Shanghai University of Finance and Economics) 12:00 TH-A-SW.02 – Modeling Technical Analysis » Jun Maeda (University of Warwick), Saul Jacka (University of Warwick) 12:30 TH-A-SW.03 – Towards Deep Linear Networks for Financial Forecasting » David Edelman (University College Dublin) 13:00 TH-A-SW.04 – Option-Implied Correlations, Factor Models, and Market Risk » Lorenzo Schoenleber (Frankfurt School of Finance and Management), Adrian Buss (INSEAD), Grigory Vilkov (Frankfurt School of Finance and Management)
Thursday 11:30 - 13:30	TH-A-SY Time Consistency and Inconsistency Chaired By: Birgit Rudloff Venue Synge
11:30 TH-A-SY.01 – Optimal Learning under Robustness and Time Consistency » Larry Epstein (Boston University,), Shaolin Ji (Shandong University) 12:00 TH-A-SY.02 – Robust Time-Inconsistent Stochastic Control Problems » Chi Seng Pun (Nanyang Technological University) 12:30 TH-A-SY.03 – Hyperfinite construction of G-expectation » Tolulope Rhoda Fadina (University of Freiburg), Frederik Herzberg (Universitat Bielefeld) 13:00 TH-A-SY.04 – Time consistency of the mean-risk problem » Gabriela Kovacova (WU - Vienna University of Economics and Business), Birgit Rudloff (WU - Vienna University of Economics and Business)
Thursday 11:30 - 13:30	TH-A-UI No-Arbitrage Theory and FTAP Chaired By: Cody Hyndman Venue Ui Chadhain
11:30 TH-A-UI.01 – A UNIFIED FRAMEWORK TO ROBUST MODELLING OF FINANCIAL MARKETS IN DISCRETE TIME » Johannes Wiesel (University of Oxford), Jan Obloj (University of Oxford) 12:00 TH-A-UI.02 – Arbitrage Theory under Integer Constraints » Stefan Gerhold (TU Wien), Paul Krühner (University of Liverpool) 12:30 TH-A-UI.03 – The Black-Scholes Equation in Presence of Arbitrage » Hideyuki Takada (Toho university), Simone Farinelli (Core Dynamics GmbH) 13:00 TH-A-UI.04 – Arbitrage-Free Regularization » Anastasis Kratsios (Concordia University), Cody Hyndman (Concordia University)
Thursday 13:30 - 14:30	Lunch
Thursday 14:30 - 16:30	TH-P-B1 Credit Risk 2 Chaired By: Stéphane Crépey Venue Beckett 1
14:30 TH-P-B1.01 – An application of time reversal to credit risk management » Masahiko Egami (Kyoto University), Rusudan Kevkhishvili (Kyoto University) 15:00 TH-P-B1.02 – From Az\'ema supermartingales of finite honest times to optional semimartingales of class-$(\Sigma)$} » Libo Li (University of New South Wales) 15:30 TH-P-B1.03 – Pricing of CoCo Bonds with Unexpected Write-Down Risk » José Fajardo (FGV/EBAPE), José Manuel Corcuera (University of Barcelona), Wim Schoutens (University Katholic of louvain) 16:00 TH-P-B1.04 – When Capital is a Funding Source: The XVA Anticipated BSDEs » Stéphane Crépey (Evry University), Romuald Elie (University Paris Est), Wissal Sabbagh (Evry), Shiqi Song (University of Evry)
Thursday 14:30 - 16:30	TH-P-B2 New Models for Option Pricing Chaired By: Griselda Deelstra Venue Beckett 2
14:30 TH-P-B2.01 – An Expanded Local Variance Gamma model and ultrafast calibration of volatility smile » Andrey Itkin (NYU), Peter Carr (NYU) 15:00 TH-P-B2.02 – A scaled version of the double-mean-reverting model for VIX derivatives » Jeonggyu Huh (Yonsei University), Jaegi Jeon (Yonsei University), Jeong-Hoon Kim (Yonsei University) 15:30 TH-P-B2.03 – A Self-Excited Switching Jump Diffusion (SESJD): properties, calibration and hitting time » Griselda Deelstra (Universite libre de Bruxelles), Donatien Hainaut (Universite catholique de Louvain) 16:00 TH-P-B2.04 – Multivariate factor-based processes with Sato margins » Andrea Romeo (Universita di Torino), Patrizia Semeraro (Politecnico di Torino), Marina Marena (Universita di Torino)
Thursday 14:30 - 16:30	TH-P-BU Machine Learning Chaired By: Michael Ludkovski Venue Burke Theater
14:30 TH-P-BU.01 – Attention to Bitcoin » Amirhossein Sadoghi (University of Hohenheim) 15:00 TH-P-BU.02 – Machine Learning for Portfolio Tail Risk Measurement » Mike Ludkovski (University of California, Santa Barbara), Jimmy Risk (Cal Poly Pomona) 15:30 TH-P-BU.03 – CDS Rate Construction Methods by Machine Learning Techniques » Zhongmin Luo (birkbeck, University of London), Raymond Brummelhuis (University of Reims Champagne-Ardenne) 16:00 TH-P-BU.04 – Empirical Asset Pricing via Machine Learning » Shihao Gu (University of Chicago), Bryan Kelly (Yale University), Dacheng Xiu (University of Chicago)
Thursday 14:30 - 16:30	TH-P-DA Markets Stylized Facts and Econometrics Chaired By: Roberto Reno Venue Davis
14:30 TH-P-DA.01 – Zeros » Federico Bandi (Johns Hopkins Carey Business School), Davide Pirino (Universita degli Studi di Roma Tor Vergata), Roberto Reno (University of Verona) 15:00 TH-P-DA.02 – Jumps or flatness? » Aleksey Kolokolov (SAFE Center, University of Frankfurt), Roberto Reno (University of Verona) 15:30 TH-P-DA.03 – The behaviour of high-frequency traders under different market stress scenarios » Pamela Saliba (Ecole Polytechnique-CMAP and AMF (Autorite Des Marches Financiers)), Nicolas Megarbane (AMF (Autorite des Marches Financiers)), Mathieu Rosenbaum (Ecole Polytechnique-CMAP), Charles-Albert Lehalle (CFM (Capital Fund Management)) 16:00 TH-P-DA.04 – No arbitrage and lead-lag relationships » Takaki Hayashi (Keio University), Yuta Koike (University of Tokyo)
Thursday 14:30 - 16:30	TH-P-EM Rough volatility and Simulations Chaired By: Omar El Euch Venue Emmet
14:30 TH-P-EM.01 – Statistical Inference for Fractional Volatility » Tetsuya Takabatake (Osaka University), Masaaki Fukasawa (Osaka University), Rebecca Westphal (ETH Zurich) 15:00 TH-P-EM.02 – Multi-factor approximation of rough volatility models » Omar El Euch (Ecole Polytechnique), Eduardo Abi Jaber (University of Paris-Dauphine) 15:30 TH-P-EM.03 – Short-time near-the-money skew in rough volatility models » Blanka Horvath (Imperial College), Benjamin Stemper (TU Berlin), Christian Bayer (TU Berlin), Peter K Friz (TU Berlin), Archil Gulisashvili (Ohio University) 16:00 TH-P-EM.04 – Functional central limit theorems for rough volatility » Aitor Muguruza Gonzalez (Imperial College London), Antoine Jacquier (Imperial College), Blanka Horvath (Imperial College)
Thursday 14:30 - 16:30	TH-P-SW Polynomial Models and Volterra Equations Chaired By: Christa Cuchiero Venue Swift
14:30 TH-P-SW.01 – Canonical Markovian representations of stochastic Volterra equations » Christa Cuchiero (University of Vienna), Josef Teichmann (ETH Zurich) 15:00 TH-P-SW.02 – Generators of measure-valued jump-diffusions » Martin Larsson (ETH), Sara Svaluto-Ferro (ETH Zurich) 15:30 TH-P-SW.03 – Markovian structure of the Volterra Heston model » Eduardo Abi Jaber (Universite Paris Dauphine), Omar El Euch (Ecole Polytechnique) 16:00 TH-P-SW.04 – Probability-valued polynomial diffusions » Sara Svaluto-Ferro (Sara), Martin Larsson (ETH), Christa Cuchiero (University of Vienna)
Thursday 14:30 - 16:30	TH-P-SY Volatility Chaired By: Jan Pospíšil Venue Synge
14:30 TH-P-SY.01 – Approximating option prices and implied volatilities under stochastic volatility jump diffusion models » Josep Vives (Universitat de Barcelona) 15:00 TH-P-SY.02 – Construction and Properties of Maximum Volatility Portfolio » Jan Vecer (Charles University), Robert Navrátil (Charles University) 15:30 TH-P-SY.03 – Decomposition formula for rough fractional stochastic volatility model » Raúl Merino (University of Barc), Jan Pospíšil (University of West Bohemia), Tomáš Sobotka (University of West Bohemia), Tommi Sottinen (University of Vaasa), Josep Vives (Universitat de Barcelona) 16:00 TH-P-SY.04 – Option price decomposition in spot-dependent volatility models and some applications » Raúl Merino (University of Barcelona), Josep Vives (Universitat de Barcelona)
Thursday 14:30 - 16:30	TH-P-UI Equilibria: Bubbles and Transaction Costs Chaired By: Martin Herdegen Venue Ui Chadhain
14:30 TH-P-UI.01 – On Overconfidence, Bubbles and the Stochastic Discount Factor » Hyejin Cho (University of Paris 1 - Pantheon Sorbonne) 15:00 TH-P-UI.02 – A Regime Switching Equilibrium Model for Asset Bubbles » Georg Wehowar (Montanuniversität Leoben), Erika Hausenblas (Montanuniversität Leoben) 15:30 TH-P-UI.03 – Equilibrium Returns with Transaction Costs » Martin Herdegen (University of Warwick), Johannes Muhle-Karbe (Carnegie Mellon University), Bruno Bouchard (University of Paris-Dauphine), Masaaki Fukasawa (Osaka University) 16:00 TH-P-UI.04 – Equilibrium with transaction costs » Kim Weston (Rutgers University)
Thursday 16:30 - 17:00	Coffee Break
Thursday 17:00 - 17:50	TH-PL-P Mete Soner Venue Burke Theater - Chairman Freddy Delbaen
17:00 Unquantifiable Uncertainty » Mete Soner ETH Zurich
Thursday 20:00 - 23:00	Gala Dinner Venue The Round Room at the Mansion House, Dawson St, Dublin 2
Friday, 20th July
Friday 09:00 - 09:50	FR-PL-A1 Masaaki Fukasawa Venue Burke Theater - Chairman Ernst Eberlein
09:00 Hedging and calibration for log-normal rough volatility models » Masaaki Fukasawa University of Osaka
Friday 10:00 - 12:00	FR-A-B1 Risk Spirals Venue Beckett 1
10:00 FR-A-B1.01 – Asset fire sales and strategic trading by regulated banks » Tom Hurd (McMaster University), Tuan Tran (Ryerson University), Quentin Shao (Scotiabank) 10:30 FR-A-B1.02 – Behavioural XVA » Chris Kenyon (MUFG Securities EMEA plc), Hayato Iida (MUFG Securities EMEA plc) 11:00 FR-A-B1.03 – The Risk Spiral: The Effects of Bank Capital and Diversification on Risk Taking » Alon Raviv (Bar Ilan University), Sharon Peleg (Tel Aviv University)
Friday 10:00 - 12:00	FR-A-BU Variance, Implied Volatility and Pricing Chaired By: Peter Carr Venue Burke Theater
10:00 FR-A-BU.01 – Probabilistic Interpretation of an Implied Volatility Smile » Peter Carr (New York University), Liuren Wu (Baruch College, CUNY) 10:30 FR-A-BU.02 – Statistics of VIX & VSTOXX Futures with Applications to Trading Volatility Exchange-Traded Products » Andrew Papanicolaou (NYU) 11:00 FR-A-BU.03 – Extracting Latent States from High Frequency Option Prices » Diego Amaya (Wilfrid Laurier University), Jean-Francois Begin (Simon Fraser University), Genevieve Gauthier (HEC Montreal) 11:30 FR-A-BU.04 – Deep OTM implied Variance Can Never Rise » Bruno Dupire (Bloomberg LP)
Friday 10:00 - 12:00	FR-A-DA Credit Risk 3 Chaired By: Natalie Packham Venue Davis
10:00 FR-A-DA.01 – Is the Hawkes graph approach applicable for examining the bankruptcy risk dependence structure? An empirical analysis of firms' bankruptcies in Japan » Hidetoshi Nakagawa (Hitotsubashi University), Teruo Kemmotsu (Hitotsubashi University (graduated)) 10:30 FR-A-DA.02 – A factor-model approach for correlation scenarios and correlation stress-testing » Natalie Packham (Berlin School of Economics and Law), Fabian Woebbeking (Goethe University Frankfurt) 11:00 FR-A-DA.03 – Time-changed affine models: fitting interest-rates and CDS term-structures without shift » Cheikh Mbaye (Universite catholique de Louvain), Frédéric Vrins (Universite catholique de Louvain) 11:30 FR-A-DA.04 – Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors » Flavia Barsotti (UniCredit Spa), Xavier Milhaud (ISFA), SALHI Yahia (ISFA)
Friday 10:00 - 12:00	FR-A-EM Systemic Risk: Network Models Chaired By: Matheus Grasselli Venue Emmet
10:00 FR-A-EM.01 – Banking networks and the circuit theory of money » Matheus Grasselli (McMaster University), Alexander Lipton (Stronghold Labs) 10:30 FR-A-EM.02 – Dynamic clearing and contagion in financial networks » Tathagata Banerjee (Washington University in St. Louis), Alex Bernstein (University of California, Santa Barbara), Zachary Feinstein (Washington University in St. Louis) 11:00 FR-A-EM.03 – Adjustable Network Reconstruction with Applications to CDS Exposures » Axel Gandy (Imperial College London), Luitgard Veraart (London School of Economics and Political Science)
Friday 10:00 - 12:00	FR-A-SW Information Models Chaired By: Stefano Herzel Venue Swift
10:00 FR-A-SW.01 – A dynamic asymmetric information equilibrium » Luca Bernardinelli (Dublin City University), Paolo Guasoni (Dublin City University), Eberhard Mayerhofer (University of Limerick) 10:30 FR-A-SW.02 – Optimal redeeming strategy of stock loans under drift uncertainty » Zuo Quan Xu (The Hong Kong Polytechnic University), Fahuai Yi (Guangdong University of Foreign Studies) 11:00 FR-A-SW.03 – Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions » Pavol Brunovský (Comenius University Bratislava), Aleš Černý (Cass Business School, City, University of London), Ján Komadel (Comenius University Bratislava)
Friday 10:00 - 12:00	FR-A-SY Dynamic Information Chaired By: Giulia Di Nunno Venue Synge
10:00 FR-A-SY.01 – A continuous auction model with insiders and random time of information release » José Manuel Corcuera (University of Barcelona), Giulia Di Nunno (University of Oslo), Gergely Farkas (University of Barcelona), Bernt Øksendal (Univeristy of Oslo) 10:30 FR-A-SY.02 – Entropy and additional utility of a discrete information disclosed progressively in time » Anna Aksamit (University of Sydney) 11:00 FR-A-SY.03 – Kyle equilibrium under random price pressure » José Manuel Corcuera (University of Barcelona), Giulia Di Nunno (University of Oslo) 11:30 FR-A-SY.04 – Proactive and Reactive Investments via Meyer-σ-fields » David Besslich (TU Berlin), Peter Bank (TU Berlin)
Friday 10:00 - 12:00	FR-A-UI American-style derivatives Chaired By: Joao Pedro Nunes Venue Ui Chadhain
10:00 FR-A-UI.01 – American Step Options » Souleymane Laminou Abdou (Boston University, Questrom School of Business), Jerome Detemple (Boston University, Questrom School of Business), Franck MORAUX (University Rennes 1, IGR-IAE & CREM) 10:30 FR-A-UI.02 – Early Exercise Boundaries for American-Style Knock-Out Options » Joao Pedro Ruas (Sociedade Gestora dos Fundos de Pensoes do Banco de Portugal), Joao Pedro Nunes (ISCTE-IUL), Jose Carlos Dias (ISCTE-IUL) 11:00 FR-A-UI.03 – Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing » Igor Kravchenko (ISCTE-IUL), Vladislav Kravchenko (CINVESTAV del IPN), Sergii Torba (CINVESTAV del IPN), José Carlos Dias (ISCTE-IUL) 11:30 FR-A-UI.04 – American Options by Perturbing Closed Form Solutions » Andrew Smith (University College Dublin)

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