CONFERENCE
Innovative Research in Mathematical Finance
Recherche innovante en mathématiques financières
3 – 7 September, 2018
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Scientific Committee
Comité scientifique Giorgia Callegaro (Università degli Studi di Padova) |
Organizing Committee
Comité d’organisation Bruno Bouchard (Université Paris-Dauphine) |
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The main goal of this conference is to gather researchers from many countries (see list) in mathematical finance, especially in the field of financial market modelling in presence of transaction costs but also risk measures, stochastic calculus and beyond. This conference aims to gather international experts working on innovative problems in mathematical finance in order to take into account the financial market reality. A part of this conference is devoted to geometrical financial market models. This is an opportunity to celebrate Yuri Kabanov’s major contributions in this field on the occasion of his 70th birthday and to review the state of progress. Other innovative topics will be presented, like dynamic vector-valued risk measures, stochastic control, backward stochastic differential equations, mean field games. This international conference will be a great opportunity to stimulate exchanges between experts from diverse backgrounds, to give rise to new projects as well as to galvanise the mathematical finance community. It will be a meeting of high level where the best experts in mathematical finance are expected, a field where France is very active.
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La rencontre réunira des spécialistes en mathématiques financières de nombreux pays (voir liste), tout particulièrement concernés par la modélisation de marchés financiers en présence de coûts de transaction que Yuri Kabanov a largement développé mais aussi par les mesures de risque, le calcul stochastique et plus généralement tout ce qui concerne les mathématiques financières. Cette conférence entend regrouper des spécialistes au niveau international qui travaillent sur des problématiques des mathématiques financières innovantes afin de mieux tenir compte de la réalité des marchés financiers. Une partie des exposés sera en relation avec les modèles géométriques de Kabanov, ce qui sera l’occasion de témoigner de la reconnaissance à ce mathématicien lors de son soixante dixième anniversaire pour l’ensemble de ces travaux qui aujourd’hui ont un impact considérable mais aussi de faire un point sur la recherche en cours. D’autres thèmes aussi innovants seront exposés, en particulier les mesures de risque dynamiques vectorielles, le contrôle optimal, les équations différentielles stochastiques rétrogrades, la théorie des jeux à champ moyen, dans l’esprit d’une ouverture vers des sujets d’actualité. L’objectif est clairement de faire rencontrer des spécialistes d’horizons divers en mathématiques financières afin de faire naitre de nouveaux projets et de dynamiser le domaine des mathématiques financières. Il s’agira d’une conférence de tout premier ordre où les meilleurs spécialistes au monde seront présents (voir liste) dans un domaine des mathématiques financières où la France est un pays très actif.
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Speakers
Beatrice Acciaio (London School of Economics) Dynamic Cournot-Nash equilibrium via causal optimal transport (pdf)
Çağın Ararat (Bilkent University) Computation of systemic risk measures (pdf)
Esmaeil Babaei Khezerloo (University of Manchester) Von Neumann-Gale Dynamics and Capital growth in financial markets with frictions (pdf)
Daniel Balint (ETH Zürich) Discounting invariant FTAP for large financial markets (pdf) – VIDEO –
Jocelyne Bion-Nadal (CMAP, École Polytechnique) Approximation and calibration of laws of solutions to stochastic differential equations (pdf) – VIDEO –
Luciano Campi (London School of Economics) Mean Field Games with Absorption (pdf)
Laurence Carassus (Université Reims Champagne Ardenne) Pricing without martingale measure (pdf) – VIDEO –
Thomas Cayé (Dublin City University) Utility Maximization in a Multidimensional Market with Small Nonlinear Price Impact (pdf)
Hyejin Cho (Université Panthéon Sorbonne) On overconfidence, Bubbles and the Stochastic Discount Factor (pdf)
Tahir Choulli (University of Alberta) How martingales’ space expands when its filtration is progressively enlarged ?
Christa Cuchiero (University of Vienna) Infinite dimensional polynomial processes (pdf)
Stephane Crépey (Université d’Evry) When Capital is a Funding Source: The XVA Anticipated BSDEs (pdf)
lbina Danilova (London School of Economics) Risk aversion of insider and asymmetric information (pdf)
Bernard De Meyer (Université Panthéon-Sorbonne) Price Dynamics and Repeated games (pdf)
Eugene Feinberg (Stony Brook University) Lebesgue’s Convergence Theorem and Fatou’s Lemma for Varying Probabilities (pdf)
Masaaki Fukasawa (Osaka University) Hedging under small transaction costs (pdf)
Miryana Grigorova (University of Leeds) Non-linear pricing of American options in an incomplete market with default (pdf)
Paolo Guasoni (Dublin City University) Options Portfolio Selection (pdf)
Alexander Gushchin (HSE and Steklov Mathematical Institute) The joint distributions of terminal values of increasing processes and their compensators (pdf)
Andreas Heinrich Hamel (University of Bozen-Bolzano) From multivariate quantiles to set-valued risk measures: A set optimization approach to financial models with frictions (pdf) – VIDEO –
Blanka Horvath (Imperial college London) Learning Rough Volatility (pdf)
Yuri Kabanov (Université de Franche-Comté) On a multi-asset version of the Kusuoka limit theorem of o
ption superreplication under transaction costs (pdf)
Kostas Kardaras (LSE, London) Efficient estimation of present-value distributions for long-dated contracts (pdf)
Idris Kharroubi (Sorbonne Université) Quenched Mass Transport of Particles Towards a Target (pdf)
Yuri A. Kutoyants (Université du Maine) On Approximation of the Backward Stochastic Differential Equation (pdf)
Emmanuel Lépinette (Université Paris-Dauphine) Beyond the Kabanov financial market model with proportional transaction costs (pdf)
Thibaut Mastrolia (CMAP, École Polytechnique) Optimal make-take fees for market making regulation (pdf)
Ilya Molchanov (University of Bern) Set-valued risk measures of non-convex portfolios (pdf) – VIDEO –
Marvin Müller (ETH Zurich) Limit Order Books: Tractable SPDE models (pdf)
Juan-Pablo Ortega (Université de Franche-Comté) The universality problem in dynamic machine learning with applications to realized covolatilities forecasting (pdf)
Serguei Pergamenshchikov (Université de Rouen Normandie) Stochastic differential equations with singular perturbations (pdf)
Landy Rabehasaina (University Franche-Comté) Asymptotics for IBNR/infinite queue processes (pdf)
Miklós Rásonyi (Alfréd Rényi Institute of Mathematics) Robust utility maximization in markets with transaction costs (pdf)
Birgit Rudloff (Vienna University Time Consistency of the Mean-Risk Problem (pdf)
Wolfgang Runggaldier (Università degli Studi di Padova) Expected utility maximization under incomplete information and with Cox-Process observations (pdf)
Bruno Saussereau (Université de Franche-Comté) Fractional Poisson process: long-range dependence and applications in ruin theory (pdf)
Martin Schweizer (ETH Zürich) Samuelson revisited – a new FTAP without a fixed numéraire (pdf)
Albert Shiryaev (Steklov Mathematical Institute, Moscow) On sequential testing of two statistical hypotheses (pdf)
Shiqi Song (Université d’Évry Val d’Essonne) Pricing measures in the plural and their coherences issue (pdf)
Xiaolu Tan (Université Paris Dauphine) Utility maximization with proportional transaction costs under model uncertainty (pdf)
Peter Tankov (ENSAE ParisTech) An optimal stopping mean-field game of resource sharing (pdf)
Josef Teichmann (ETH Zürich) Bayesian Finance (pdf)
Tiziano Vargiolu (Università degli Studi di Padova) On the Singular Control of Exchange Rates (pdf)
Lioudmila Vostrikova (Université d’Angers)
Exponential functionals of PII and Mathematical Finance (pdf)
José Miguel Zapata (Universidad de Murcia) A Boolean-valued models approach to random convex analysis and duality theory of conditional risk measures (pdf)
Mihail Zervos (London School of Economics) Self-Enforcing Insurance Arrangements (pdf)
Çağın Ararat (Bilkent University) Computation of systemic risk measures (pdf)
Esmaeil Babaei Khezerloo (University of Manchester) Von Neumann-Gale Dynamics and Capital growth in financial markets with frictions (pdf)
Daniel Balint (ETH Zürich) Discounting invariant FTAP for large financial markets (pdf) – VIDEO –
Jocelyne Bion-Nadal (CMAP, École Polytechnique) Approximation and calibration of laws of solutions to stochastic differential equations (pdf) – VIDEO –
Luciano Campi (London School of Economics) Mean Field Games with Absorption (pdf)
Laurence Carassus (Université Reims Champagne Ardenne) Pricing without martingale measure (pdf) – VIDEO –
Thomas Cayé (Dublin City University) Utility Maximization in a Multidimensional Market with Small Nonlinear Price Impact (pdf)
Hyejin Cho (Université Panthéon Sorbonne) On overconfidence, Bubbles and the Stochastic Discount Factor (pdf)
Tahir Choulli (University of Alberta) How martingales’ space expands when its filtration is progressively enlarged ?
Christa Cuchiero (University of Vienna) Infinite dimensional polynomial processes (pdf)
Stephane Crépey (Université d’Evry) When Capital is a Funding Source: The XVA Anticipated BSDEs (pdf)
lbina Danilova (London School of Economics) Risk aversion of insider and asymmetric information (pdf)
Bernard De Meyer (Université Panthéon-Sorbonne) Price Dynamics and Repeated games (pdf)
Eugene Feinberg (Stony Brook University) Lebesgue’s Convergence Theorem and Fatou’s Lemma for Varying Probabilities (pdf)
Masaaki Fukasawa (Osaka University) Hedging under small transaction costs (pdf)
Miryana Grigorova (University of Leeds) Non-linear pricing of American options in an incomplete market with default (pdf)
Paolo Guasoni (Dublin City University) Options Portfolio Selection (pdf)
Alexander Gushchin (HSE and Steklov Mathematical Institute) The joint distributions of terminal values of increasing processes and their compensators (pdf)
Andreas Heinrich Hamel (University of Bozen-Bolzano) From multivariate quantiles to set-valued risk measures: A set optimization approach to financial models with frictions (pdf) – VIDEO –
Blanka Horvath (Imperial college London) Learning Rough Volatility (pdf)
Yuri Kabanov (Université de Franche-Comté) On a multi-asset version of the Kusuoka limit theorem of o
ption superreplication under transaction costs (pdf)
Kostas Kardaras (LSE, London) Efficient estimation of present-value distributions for long-dated contracts (pdf)
Idris Kharroubi (Sorbonne Université) Quenched Mass Transport of Particles Towards a Target (pdf)
Yuri A. Kutoyants (Université du Maine) On Approximation of the Backward Stochastic Differential Equation (pdf)
Emmanuel Lépinette (Université Paris-Dauphine) Beyond the Kabanov financial market model with proportional transaction costs (pdf)
Thibaut Mastrolia (CMAP, École Polytechnique) Optimal make-take fees for market making regulation (pdf)
Ilya Molchanov (University of Bern) Set-valued risk measures of non-convex portfolios (pdf) – VIDEO –
Marvin Müller (ETH Zurich) Limit Order Books: Tractable SPDE models (pdf)
Juan-Pablo Ortega (Université de Franche-Comté) The universality problem in dynamic machine learning with applications to realized covolatilities forecasting (pdf)
Serguei Pergamenshchikov (Université de Rouen Normandie) Stochastic differential equations with singular perturbations (pdf)
Landy Rabehasaina (University Franche-Comté) Asymptotics for IBNR/infinite queue processes (pdf)
Miklós Rásonyi (Alfréd Rényi Institute of Mathematics) Robust utility maximization in markets with transaction costs (pdf)
Birgit Rudloff (Vienna University Time Consistency of the Mean-Risk Problem (pdf)
Wolfgang Runggaldier (Università degli Studi di Padova) Expected utility maximization under incomplete information and with Cox-Process observations (pdf)
Bruno Saussereau (Université de Franche-Comté) Fractional Poisson process: long-range dependence and applications in ruin theory (pdf)
Martin Schweizer (ETH Zürich) Samuelson revisited – a new FTAP without a fixed numéraire (pdf)
Albert Shiryaev (Steklov Mathematical Institute, Moscow) On sequential testing of two statistical hypotheses (pdf)
Shiqi Song (Université d’Évry Val d’Essonne) Pricing measures in the plural and their coherences issue (pdf)
Xiaolu Tan (Université Paris Dauphine) Utility maximization with proportional transaction costs under model uncertainty (pdf)
Peter Tankov (ENSAE ParisTech) An optimal stopping mean-field game of resource sharing (pdf)
Josef Teichmann (ETH Zürich) Bayesian Finance (pdf)
Tiziano Vargiolu (Università degli Studi di Padova) On the Singular Control of Exchange Rates (pdf)
Lioudmila Vostrikova (Université d’Angers)
Exponential functionals of PII and Mathematical Finance (pdf)
José Miguel Zapata (Universidad de Murcia) A Boolean-valued models approach to random convex analysis and duality theory of conditional risk measures (pdf)
Mihail Zervos (London School of Economics) Self-Enforcing Insurance Arrangements (pdf)
SPONSORS
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 Financial support by Stochastic Group (ETH) Zurich
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