12th European Summer School in Financial Mathematics
Padova, September 2 - 6, 2019

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)

Term structure modeling under volatility uncertainty: a forward rate model driven by G-Brownian motion

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)

A neural network based policy iteration algorithm with global convergence of values and controls for stochastic games on domains

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

Contact: essfm19@math.unipd.it