International conference "Advanced Finance and Stochastics"

CONFERENCES

International conference "Advanced Finance and Stochastics"
(June 24–28, 2013, Steklov Mathematical Institute of RAS, Moscow)

Website: https://afs.mi-ras.ru/

Conference schedule
Conference poster

Organizing Committee
Spokoiny Vladimir Grigor'evich (Co-chairman)
Shiryaev Albert Nikolaevich (Co-chairman)
Burnaev Evgenii Vladimirovich
Zhitlukhin Mikhail Valentinovich
Kashin Boris Sergeevich
Muravlev Alexey Anatol'evich
Sergeev Armen Glebovich

Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Research laboratory in Predictive Modeling and Optimization at PhysTech (PreMoLab), Moscow

International conference "Advanced Finance and Stochastics", Moscow, June 24–28, 2013

Opening ceremony June 24, 2013 09:10 Moscow, Steklov Mathematical Institute of RAS
On a new stochastic Fubini theorem Martin Schweizer June 24, 2013 09:30 Moscow, Steklov Mathematical Institute of RAS
Prior-to-default equivalent supermartingale measures Konstantinos Kardaras June 24, 2013 10:30 Moscow, Steklov Mathematical Institute of RAS
On a generalized shadow price process in utility maximization problems under transaction costs Dmitry Rokhlin June 24, 2013 11:30 Moscow, Steklov Mathematical Institute of RAS
Lower and upper bounds for Asian-type options: a unified approach Alexander Novikov June 24, 2013 12:10 Moscow, Steklov Mathematical Institute of RAS
Weak reflection principle and static hedging of barrier options Sergey Nadtochiy June 24, 2013 13:10 Moscow, Steklov Mathematical Institute of RAS
The pricing model of corporate securities under cross-holdings of debts Teryoshi Suzuki June 24, 2013 15:00 Moscow, Steklov Mathematical Institute of RAS
Hedging of barrier options via a general self-duality Torsten Rheinländer June 24, 2013 16:00 Moscow, Steklov Mathematical Institute of RAS
Existence of an endogenously complete equilibrium driven by a diffusion Dmitry Kramkov June 24, 2013 16:40 Moscow, Steklov Mathematical Institute of RAS
What can be inferred from a single cross-section of stock returns? Serguey Khovansky June 24, 2013 17:40 Moscow, Steklov Mathematical Institute of RAS
Efficient calibration of a nonlinear long term yield curve model effective from low rate regimes Michael Dempster June 25, 2013 09:30 Moscow, Steklov Mathematical Institute of RAS
A theory of bid and ask prices in continuous time Ernst Eberlein June 25, 2013 10:30 Moscow, Steklov Mathematical Institute of RAS
On the optimal debt ceiling Abel Cadenillas June 25, 2013 11:30 Moscow, Steklov Mathematical Institute of RAS
Approximation of nondivergent type parabolic PDEs in finance Maria Grossinho June 25, 2013 12:10 Moscow, Steklov Mathematical Institute of RAS
Pricing and hedging variance swaps on a swap rate Deimante Rheinländer June 25, 2013 13:10 Moscow, Steklov Mathematical Institute of RAS
Investment and capital structure decisions under time-inconsistent preferences Masaaki Kijima June 25, 2013 15:00 Moscow, Steklov Mathematical Institute of RAS
Local volatility models: approximation and regularization Stefan Gerhold June 25, 2013 16:00 Moscow, Steklov Mathematical Institute of RAS
Portfolio selection and an analog of the Black–Scholes PDE in a Lévy-type market Evelina Shamarova June 25, 2013 16:40 Moscow, Steklov Mathematical Institute of RAS
An equilibrium model for commodity forward prices Michail Anthropelos June 25, 2013 17:00 Moscow, Steklov Mathematical Institute of RAS
Cramér–von Mises test for Gauss processes Gennady Martynov June 25, 2013 17:20 Moscow, Steklov Mathematical Institute of RAS
Exponential functionals of Lévy processes Vladimir Panov June 25, 2013 17:40 Moscow, Steklov Mathematical Institute of RAS
Martingale optimal transport and robust hedging Mete Soner June 26, 2013 09:30 Moscow, Steklov Mathematical Institute of RAS
Functional Ito calculus and financial applications Bruno Dupire June 26, 2013 10:30 Moscow, Steklov Mathematical Institute of RAS
Optimal stopping via multilevel Monte Carlo Denis Belomestny June 26, 2013 11:30 Moscow, Steklov Mathematical Institute of RAS
Response to Paul A Samuelson letters and papers on the Kelly capital growth investment criterion William Ziemba June 27, 2013 09:30 Moscow, Steklov Mathematical Institute of RAS
Semimartingale models with additional information and their application in mathematical finance Lioudmila Vostrikova June 27, 2013 10:30 Moscow, Steklov Mathematical Institute of RAS
Pricing foreign currency options under jumps diffusions and stochastic interest rates Rehez Ahlip June 27, 2013 11:30 Moscow, Steklov Mathematical Institute of RAS
Using convexity methods for optimal stochastic switching Juri Hinz June 27, 2013 12:40 Moscow, Steklov Mathematical Institute of RAS
On essential supremum and essential maximum with respect to random partial orders with applications to hedging Youri Kabanov June 27, 2013 15:00 Moscow, Steklov Mathematical Institute of RAS
Optimization of credit policy of bank and the government guarantees in a model of investment in a risky project Alexander Slastnikov June 27, 2013 16:00 Moscow, Steklov Mathematical Institute of RAS
Market-triggered changes in capital structure: equilibrium price dynamics Paul Glasserman June 27, 2013 16:40 Moscow, Steklov Mathematical Institute of RAS
Dynamic analysis of hedge fund returns: detecting leverage and fraud Michael Markov June 28, 2013 09:30 Moscow, Steklov Mathematical Institute of RAS
Optimal stopping: representation theorems and new examples Ernesto Mordecki June 28, 2013 10:30 Moscow, Steklov Mathematical Institute of RAS
Fourier transform methods for pathwise covariance estimation in the presence of jumps Christa Cuchiero June 28, 2013 11:30 Moscow, Steklov Mathematical Institute of RAS
A moment matching market implied calibration Florence Guillaume June 28, 2013 12:10 Moscow, Steklov Mathematical Institute of RAS
On a connection between superhedging prices and the dual problem in utility maximization Alexander Gushchin June 28, 2013 12:30 Moscow, Steklov Mathematical Institute of RAS
Symbolic CTQ-analysis – a new method for studying of financial indicators Andrey Makarenko June 28, 2013 12:50 Moscow, Steklov Mathematical Institute of RAS
The value of Asian options in the Black–Scholes model: PDE approach Dmitry Muravey June 28, 2013 13:30 Moscow, Steklov Mathematical Institute of RAS
Sequential hypothesis testing for a drift of a fractional Brownian motion Alexey Muravlev June 28, 2013 13:50 Moscow, Steklov Mathematical Institute of RAS
Detection of trend changes in stock prices Mikhail Zhitlukhin June 28, 2013 14:10 Moscow, Steklov Mathematical Institute of RAS