2014-15
Georgy Chabakauri LSE (Department of Finance)
Multi-asset noisy rational expectations equilibrium with contingent claims
Samuel Drapeau Humboldt Universität zu Berlin
Numerical representation
Fausto Gozzi Luiss University
Impact of time illiquidity in a mixed market without full observation
Martin Herdegen ETH Zürich
Sensitivity of optimal consumption streams
Igor Makarov LSE (Department of Finance)
Marking-to-market and price impact
Dylan Possamaï CMAP École Polytechnique
A primer on Principal/Agent models and their recent extensions
Scott Robertson Carnegie Mellon University
Indifference pricing for contingent claims: large deviations effects
Michael Schmutz University of Bern and Swiss Financial Market Supervisory Authority (FINMA)
Challenges in risk based solvency frameworks
Pietro Siorpaes University of Oxford
Optimal investment and price dependence in a semi-statistic market
Jan-Henrik Steg Universität Bielefeld
Symmetric equilibria in stochastic timing games
2013-14
René Aid EDF
A high-dimensional investment model in electricity generation
Anna Aksamit Université d'Evry Val d'Essonne
Optional semimartingale decomposition and non-arbitrage condition in enlarged filtration
Hansjoerg Albrecher HEC Lausanne ~
On theoretical and practical aspects of catastrophe insurance
Elena Boguslavskaya Brunel University
An effective method to solve optimal stopping problems for Lévy processes in infinite horizon or how to avoid differential or integro-differential equations while solving an optimal stopping problem for a Lévy problem
Giorgia Callegaro University of Padova
An application to credit risk of a hybrid Monte Carlo–optimal quantization method.
Agostino Capponi Purdue University
Optimal Investment in Defaultable Securities under Information Driven Default Contagion
Igor Evstigneev University of Manchester
Modelling Dynamics and Equilibrium of Asset Markets: A Behavioral Approach
Giorgio Ferrari Bielefeld University
A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis
Claudio Fontana INRIA Paris
On honest times and arbitrage possibilities
Yu-Jui Huang Dublin City University
Model-independent Superhedging under Portfolio Constraints
Antoine Jacquier Imperial College London
Asymptotics of forward implied volatility
Kostas Kardaras LSE
Equilibrium in risk-sharing games
Martin Larsson EPFL
Polynomial preserving diffusions and models of the term structure
Claude Martini Zeliade Systems
Calibration of the SSVI model and applications to model free option pricing bounds’
Johannes Muhle-Karbe ETH Zurich
Optimal Liquidity Provision in Limit Order Markets
Sergio Pulido EPFL
Markovian cubature rules for polynomial preserving processes
Walter Schachermayer University of Vienna
Duality Theory for Portfolio Optimisation under Transaction Costs
Michael Schroeder VU Amsterdam
Volatility smiles and derivatives - a direct route to new kinds of high-dimensionality?
Budhi Arta Surya SBM ITB
Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models
2012-13
Elisa Alòs Universitat Pompeu Fabra
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Michael Schröder Vrije Universiteit Amsterdam
Mechanisms for no-arbitrage term-structure modelling with applications to interest-rates and realized-variance
Mikhail Urusov University of Duisburg-Essen
On the boundary behaviour of diffusions and the martingale property of the associated local martingales
Mingyu Xu Chinese Academy of Sciences
BSDE with a ratio constraint and its application
2011-2012
Larbi Alili University of Warwick
On some involutive inversions of one dimensional diffusions
Suleyman Basak London Business School
Strategic Asset Allocation in Money Management
Damiano Brigo King's College London
Arbitrage-free valuation of counterparty credit risk
Brenda Lopez Cabrera Humboldt-Universität zu Berlin
State Price Densities implied from Weather Derivatives
Luciano Campi Paris 13
On existence of shadow prices
Samuel Cohen University of Oxford
Uncertainty and nonlinear expectations
Vicky Henderson Oxford MAN Institute
Executive Stock Options: Portfolio Effects
Alex Mijatovic University of Warwick
On the drawdown of completely asymmetric Levy processes
Roman Muraviev ETH Zürich
Natural selection with habits and learning in heterogeneous economics
Ragnar Norberg LSE and University of Lyon
On optimal quadratic hedging of payment streams and optimal design of derivatives.
Curdin Ott University of Bath
Capped Optimal Stopping problems for the Maximum Process
Huyên Pham University Paris Diderot
Optimal High Frequency Trading with Limit and Market Orders
Markus Riedle King's College London
Stochastic models in infinite dimensions
Kees van Schaik University of Manchester
Meromorphic Levy processes: a Wiener-Hopf Monte Carlo simulation method and American option pricing
Albert Shiryaev Steklov Mathematical Institute
The concept of randomness: evolution of noyions
Mete Soner ETH Zürich
Choquet Capacity, Nonlinear PDE's and hedging
Jordan Stoyanov University of Newcastle
Moment Analysis of Distributions: Classical and Recent Results
Mike Tehranchi University of Cambridge
Put-call symmetry and self-duality
Josef Teichmann ETH Zürich
Finite dimensional realizations for the CNKK-volatility surface model
Johan Tysk Uppsala University
Can time-homogeneous diffusions produce any distribution?
Almut Veraart Imperial College London
Ambit Stochastics with Applications to Energy Markets
Kevin Warner Tower Research Capital
Neural Networks for Systematic Trading
2010-2011
Peter Bank Technische Universität Berlin
Market indifference prices
Erhan Bayraktar University of Michigan
Probabilistic Perron's method and verification without smoothness using viscosity comparison
Giulia Di Nunno University of Oslo
Dynamic no-good-deal bounds and no-good-deal pricing measures
Xuedong He Columbia University
Portfolio Selection with Law-invariant Coherent Risk Measures
Olympia Hadjiliadis City University of New York
Preventing market crashes through insuring the speed of drawdowns
Ulrich Horst Humboldt University
Equilibrium Pricing in Incomplete Markets in Discrete and Continuous Time
Antoine Jacquier Technische Universität Berlin
A large deviations approach to implied volatility asymptotics, with applications to affine stochastic volatility models with jumps
Kostas Kardaras Boston University
On Random Times
Thilo Meyer-Brandis University of Oslo)
Computing Greeks without Derivatives
Johannes Muhle-Karbe ETH Zürich
Transaction Costs Made Tractable
Sergey Nadtochiy Oxford University
An approximation scheme for the optimal investment strategy in incomplete market
Marcel Nutz ETH Zürich
Random G-Expectations
Bernt Oksendal University of Oslo
Optimal pricing strategies and Stackelberg equilibria in time-delayed stochastic differential games
Carlos G Pacheco-González CINVESTAV
The Kac semi-group and applications to stochastic control
Chris Rogers Cambridge University
Diverse beliefs and market selection
Michael Schmutz University of Berne
Selected topics on static- and semi-static hedging
Luitgard Veraart LSE (Department of Mathematics)
Lioudmila Vostrikova (D'Angers University) F-divergence minimal martingale measures and optimal portfolios for exponential Levy models with a change-point
Hao Xing LSE
Portfolio turnpikes in incomplete markets