Advances in Stochastic Analysis for Risk Modeling
November 13 – 17, 2017

The last years have seen a period of important contributions in stochastic analysis motivated by the management of risks in finance and insurance.

New mathematical tools have been introduced, contributing both to pure research in applied mathematics and to a better understanding of practical problems. These include martingale optimal transport, path-dependent PDEs, new questions and methods in Skorohod embedding, new insights in homogenization for PDEs, probabilistic approaches for mean-field games, new problems in the analysis of random graphs, and other topics.

The aim of this workshop is to bring together leading researchers who have mainly contributed to these advances, well-established specialists of related fields, and young researchers who could contribute to new advances. The emphasis will be on new mathematical techniques, but we also be to invite some more applied researchers, who will be able to provide a critical point of view in terms of industrial applications.

Scientific  Committee

David Hobson (University of Warwick)
Nicole El Karoui (Ecole polytechnique)
Walter Schachermayer (University of Vienna)
Alexander Schied (University of Mannheim)
H. Mete Soner (ETH Zürich)

Organizing Committee

Bruno Bouchard (Université Paris-Dauphine)
Patrick Cheridito (Princeton University)
Martin Schweizer (ETH Zürich)
Nizar Touzi (Ecole polytechnique)


Beatrice Acciaio (London School of Economics)    McKean–Vlasov control problems and non-anticipative optimal transport  (pdf)
Peter Bank (TU Berlin)   Proactive and reactive trading: optimal control with Meyer sigma-fields   (pdf)
Erhan Bayraktar (University of Michigan)    Crash and Bubbles: a heterogeneous agent model with transaction costs and learning  (pdf)
Dirk Becherer (Humboldt University Berlin)    Good Deal Hedging and Valuation under Combined Uncertainty about Drift & Volatility​: a 2nd-order-BSD approach (pdf)
Mathias Beiglböck (TU Wien)    A Benamou–Brenier type problem for martingale transport
Todor Bilarev (Humboldt University of Berlin)    Superhedging with transient impact​   (pdf)
Jocelyne Bion-Nadal (École polytechnique)  Characterization of a Wasserstein type distance in terms of a stochastic control problem​  (pdf)
Matteo Burzoni (ETH Zürich)   Viability and arbitrage and preferences   (pdf)
Pierre Cardaliaguet (Université Paris-Dauphine)   Mean Field Games of Control​s   (pdf)
Simon Cerreia-Vioglio (Universita Bocconi)   Orthogonal decompositions in Hilbert A-modules​   (pdf)
Jean-François Chassagneux (Université Paris Diderot)   Obliquely Reflected Backward Stochastic Differential Equations   (pdf)
Carsten Chong (Technical University of Munich)  Volatility estimation for stochastic PDEs​   (pdf)
Julien Claisse (École polytechnique)  Branching diffusion representation of semi-linear elliptic PDEs and numerical applications  (pdf)
Alexander Cox (University of Bath)    Robust Hedging of Options on a Leveraged Exchange Traded Fund​   (pdf)
Christa Cuchiero (University of Vienna)   Rough volatility from an affine point of view​   (pdf)
Yan Dolinsky (Hebrew University)    Market delay and G-expectations​
Christoph Frei (University of Alberta)   Stochastic analysis in games with imperfect monitoring: new questions and new results​   
Marco Fritelli (Milano University)   Disentangling price, risk and model risk   (pdf)
Masaaki Fukasawa (Osaka University)  Perfect hedging under endogenous permanent market impacts​   (pdf)
Emmanuel Gobet (École polytechnique)   McKean FBSDE applied to the management of microgrid​   (pdf)
Paolo Guasoni (Dublin City University)   Market Integration and Asset Prices​   (pdf)
Gaoyue Guo (École polytechnique)   Numerical Computation of Martingale Optimal Transport  (pdf)
David Hobson (University of Warwick)   Robust hedging of American puts
Jean Jacod (Université Pierre et Marie Curie)   Modeling asset prices: small scale versus large scale​
Sigrid Källblad (TU Wien)    Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod embedding problem
Jan Kallsen (Kiel University)   Ornstein–Uhlenbeck equivalents of polynomial processes
Kostas Kardaras (London School of Economics)  Projections of stochastic discount factors​
Martin Keller-Ressel (TU Dresden)   Semi-Static and Sparse Variance-Optimal Hedging​   (pdf)< /a>
Martin Larsson (ETH Zürich)  Affine Volterra processes and models for rough volatility   (pdf)
Grégoire Loeper (Monash University)  Reconstruction by optimal transport: applications in cosmology and finance   (pdf)
Marco Maggis (University of Milan)   Looking forward to a forward-looking approach for the theory of rational choices   
Johannes Muhle-Karbe (Carnegie Mellon University )  Equilibrium Asset Pricing with Transaction costs   
Jan Obłój (University of Oxford)  The value of information for pricing and hedging​
Zhenjie Ren (Université Paris-Dauphine)  Mean Field Games with Branching​   (pdf)
Mathieu Rosenbaum (École polytechnique)   Rough volatility, market impact and no-arbitrage​   (pdf)
Mihai Sîrbu (University of Texas at Austin) Sensitivity analysis of the utility maximization problem with respect to model perturbations   (pdf)
Xiaolu Tan (Université Paris 9)   Super-replication with proportional transaction cost under model uncertainty   (pdf)
Ludovic Tangpi (University of Vienna)   Computational aspects of robust optimized certainty equivalent​   (pdf)
Peter Tankov (ENSAE ParisTech)  Pricing volatility derivatives under rough volatility   (pdf)
Josef Teichmann (ETH Zürich)    Machine learning in mathematical finance
Hao Xing (London School of Economics)  Optimal Contracting with Unobservable Managerial Hedging​   (pdf)
Yuchong Zhang (Columbia University)   Mean Field Game Analysis of Tournaments​   (pdf)