Padova, September 2 - 6, 2019
CMAP
Contributed talks
Schedule of the participants' talks
Monday 2 September:
11.30 - 11.50: Emma Hubert (University of Marne La Vallèe, FR)
Hierarchical principal-agent problems
11.50 - 12.10: Ishak Hajjej (ENSAE, FR)
Optimal stopping contract for public private partnerships under moral hazard
12.10 - 12.30: Adel Cerchali (Ecole des Ponts, FR)
A general ALM model for the computation of the solvency capital requirement
12.30 - 12.50: Tanut Treetanthipolet (University of Oxford, UK)
Allocation problem under uncertainty in a multiple filtration
17.00 - 17.20: Davide De Santis (London School of Economics, UK)
Nonzero-sum stochastic differential games between an impulse controller and a stopper
17.20 - 17.40: Jodi Dianetti (University of Bielefeld, DE)
Existence of Nash equilibria in nonzero-sum submodular monotone-follower games
17.40 - 18.00: Médéric Motte (Paris VII University, FR)
Nonlinear mean-field systems in discrete time with common noise
Tuesday 3 September:
17.00 - 17.20: Julian Holzermann (University of Bielefeld, DE)
17.20 - 17.40: Guillaume Szulda (Paris VII University, FR)
Multiple curve modeling with CBI processes
17.40 - 18.00: Thibaut Montes (Paris Sorbonne University, FR)
Optimal quantization: new results and applications to finance
18.00 - 18.20: Zhuoqun Liang (Stockholm School of Economics, SE)
Stochastic volatility models for VIX option pricing
Wednesday 4 September:
11.30 - 11.50: Leandro Betancourt (University of Oxford, UK)
Optimal order placement with random measures
11.50 - 12.10: Thomas Mehdi (Ecole Polytechnique, FR)
Evidence and models for cross impact
12.10 - 12.30: Othmane Mounjid (Ecole Polytechnique, FR)
Ranking of the market makers
12.30 - 12.50: Vadim Platonov (University of Edinburgh, UK)
Ito-Wentzell formula for measure-dependent random field
17.00 - 17.20: Kinga Tikosi (Central European University, HU)
Kiefer-Wolfowitz algorithm with discontinuity in the parameters
17.20 - 17.40: Yufei Zhang (University of Oxford, UK)
17.40 - 18.00: Heythem Farhat (Ecole Polytechnique, FR)
An extension of Kellerer's theorem with constraints on the running maximum
Thursday 5 September:
17.00 - 17.20: Florian Bourgey (Ecole Polytechnique, FR)
Asymptotics of American options and implied volatilities in local volatility models
17.20 - 17.40: Elizabeth Zuniga (University of Evry, UK)
Pricing American options in the rough Heston model
17.40 - 18.00: Yihan Zou (University of Glasgow, UK)
American real option pricing with stochastic volatility and multiple priors