CMAP
menu
Home
Mini courses
Contributed talks
Location and Accommodation
Application
Registered participants
Schedule
Sponsors
Organising and scientific committees
Contributed talks
Tuesday
Tiziano De Angelis
Galerkin-type approximation of the HJM forward interest rates dynamics and applications to the analytical pricing of American Bond Options
Markus Hofer
A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Mikhail Krayzler
Pricing of Guaranteed Minimum Benefits in Variable Annuities
Adrien Nguyen Huu
Production management on markets with transaction costs
Maren Diane Schmeck
Pricing of spread options in a bivariate Lévy market and stability to model risk
Wednesday
Giorgio Ferrari
Generalized Kuhn-Tucker Conditions for Stochastic Irreversible Investments with Limited Resources
Dalia Ibrahim
Mathematical modelling for technical analysis techniques
Kai Li
Generalised Particle Filters with Gaussian Measures
Yiqing Lin
Stochastic differential equations driven by g-brownian motion with reflecting boundary conditions
Ludovic Moreau
PDE characterization of Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
Thursday
Florian Klöck
Regularity of market impact models and a dark pool extension of the Almgren-Chriss model
Fabrizio Pomponio
Modelling of trades-throughs in a limit order book with Hawkes processes
Rémy Praz
Equilibrium Asset Pricing and Portfolio Choice in the Presence of both Liquid and Illiquid Markets
Oleg Reichmann
hp
-DGFEM for Kolmogorov–Fokker–Planck Equations of Multivariate Lévy Processes
Marc Wittlinger
Optimal portfolios in illiquid markets under a drawdown constraint
CMAP UMR 7641 École Polytechnique CNRS, Route de Saclay, 91128 Palaiseau Cedex, France, Tél: +33 1 69 33 46 00 Fax: +33 1 69 33 46 46
ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland, Tel: +41 44 632 64 65 Fax: +41 44 632 14 74