Mathematical Finance: Arbitrage and Portfolio Optimization
Videos from BIRS Workshop
Hans Föllmer, Humboldt Universität zu Berlin
Monday May 12, 2014 09:01 - 09:41
Spatial risk measures: local specification and phase transition
Christoph Frei, University of Alberta
Monday May 12, 2014 09:47 - 10:28
Finding local equilbria by splitting multidimensional BSDEs
Luciano Campi, London School of Economics
Monday May 12, 2014 15:01 - 15:36
Utility indifference pricing for non-smooth payoffs in a model with non-tradable assets
Johannes Muhle-Karbe, Carnegie Mellon University
Monday May 12, 2014 15:47 - 16:28
Trading with small price impact
Johannes Ruf, UCL
Monday May 12, 2014 17:01 - 17:20
Convergence of Local Supermartingales
Johannes Ruf, UCL
Monday May 12, 2014 17:01 - 17:20
Convergence of Local Supermartingales
Martin Larsson, Carnegie Mellon University
Monday May 12, 2014 17:20 - 17:44
Novikov-type conditions for processes with jumps
Martin Larsson, Carnegie Mellon University
Monday May 12, 2014 17:20 - 17:44
Novikov-type conditions for processes with jumps
Tomoyuki Ichiba, University of California Santa Barbara
Monday May 12, 2014 17:45 - 17:58
Some Aspects of Universal Portfolios
Paolo Guasoni, Boston University and Dublin City University
Tuesday May 13, 2014 09:47 - 10:30
The Limits of Leverage
Mihai Sirbu, UT Austin
Tuesday May 13, 2014 11:05 - 11:45
A new look at zero-sum stochastic differential games
Scott Robertson, Carnegie Mellon University
Tuesday May 13, 2014 11:53 - 12:27
Continuous Time Perpetuities and the Time Reversal of Diffusions
Sergio Pulido Nino, Swiss Finance Institute @ EPFL
Tuesday May 13, 2014 15:02 - 15:45
Existence and uniqueness results for multi-dimensional quadratic BSDEs arising from a price impact model with exponential utility
Jan Obloj, University of Oxford
Tuesday May 13, 2014 15:50 - 16:05
Robust hedging of barrier options with beliefs on implied Volatility
Christoph Czichowsky, London School of Economics
Tuesday May 13, 2014 16:05 - 16:21
Strong supermartingales and portfolio optimisation under transaction costs
Umut Çetin, London School of Economics
Tuesday May 13, 2014 16:22 - 16:40
Equilibrium with risk averse market makers and related inverse problems
Jakša Cvitanić, California Institute of Technology
Tuesday May 13, 2014 17:02 - 17:45
Moral Hazard in Dynamic Risk Management
Alexander Cox, University of Bath
Tuesday May 13, 2014 17:45 - 18:30
An optimal stopping approach to the n-marginal Root problem, and applications to variance options
Bruno Bouchard, Université Paris Dauphine - PSL
Wednesday May 14, 2014 09:01 - 09:46
Stochastic target games via regularized viscosity solutions: application to super-hedging under coefficients’ uncertainty
Hao Xing, Boston University
Wednesday May 14, 2014 09:47 - 10:33
Existence of close to Pareto optimal incomplete Radner equilibrium
Mathias Beiglböck, University of Vienna
Wednesday May 14, 2014 11:00 - 11:41
An optimality principle from mass transport and applications to model-independence
Marcel Nutz, Columbia
Wednesday May 14, 2014 11:46 - 12:22
Arbitrage and Duality in Discrete-Time Models
Kasper Larsen, Carnegie Mellon University
Thursday May 15, 2014 09:45 - 10:32
Taylor approximation of incomplete Radner equilibrium models
Michail Anthropelos, University of Piraeus
Thursday May 15, 2014 11:01 - 11:45
Equilibrium in risk sharing games
Cuchiero Christa, University of Vienna
Thursday May 15, 2014 15:02 - 15:45
A convergence result for the Émery topology and a variant of the proof of the Fundamental Theorem of Asset Pricing
Sara Biagini, University of Pisa
Thursday May 15, 2014 15:50 - 16:05
Robust superhedging and the FTAP in con- tinuous time for continuous processes
Peter Tankov, ENSAE, Institut Polytechnique de Paris
Thursday May 15, 2014 16:22 - 16:36
Optimal discrete-time hedging with directional views, or how to make some money while hedging your option
Beatrice Acciaio, ETH Zurich
Thursday May 15, 2014 17:00 - 17:29
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Monique Jeanblanc, University d'Evry Val d'Essonne
Thursday May 15, 2014 17:35 - 17:51
Arbitrages in progressive enlargement of filtrations
Peter Bank, Technische Universität Berlin
Friday May 16, 2014 09:01 - 09:43
Optimal investment with price impact
Jan Kallsen, University of Kiel
Friday May 16, 2014 09:47 - 10:24
On portfolio optimization and indifference pricing with small transaction costs: rigorous proofs based on duality
Marco Frittelli, Università degli Studi di Milano
Friday May 16, 2014 11:02 - 11:47
Robust arbitrage under uncertainty
Martin Schweizer, ETH Zurich
Friday May 16, 2014 11:49 - 12:32
Some ideas on bubbly markets
