Contributed talks

Tiziano De AngelisGalerkin-type approximation of the HJM forward interest rates dynamics and applications to the analytical pricing of American Bond Options
Markus HoferA central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Mikhail KrayzlerPricing of Guaranteed Minimum Benefits in Variable Annuities
Adrien Nguyen Huu Production management on markets with transaction costs
Maren Diane SchmeckPricing of spread options in a bivariate Lévy market and stability to model risk
Giorgio FerrariGeneralized Kuhn-Tucker Conditions for Stochastic Irreversible Investments with Limited Resources
Dalia IbrahimMathematical modelling for technical analysis techniques
Kai LiGeneralised Particle Filters with Gaussian Measures
Yiqing LinStochastic differential equations driven by g-brownian motion with reflecting boundary conditions
Ludovic MoreauPDE characterization of Stochastic Target Problems with Controlled Loss in Jump Diffusion Models
Florian KlöckRegularity of market impact models and a dark pool extension of the Almgren-Chriss model
Fabrizio PomponioModelling of trades-throughs in a limit order book with Hawkes processes
Rémy PrazEquilibrium Asset Pricing and Portfolio Choice in the Presence of both Liquid and Illiquid Markets
Oleg Reichmannhp-DGFEM for Kolmogorov–Fokker–Planck Equations of Multivariate Lévy Processes
Marc WittlingerOptimal portfolios in illiquid markets under a drawdown constraint

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