Conference on Stochastic modeling (in finance and insurance)

10.02.2019 - 15.02.2019 | Będlewo


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Monday, February 11th

  • 9.00-9.10 Opening
  • 9.10-9.55 Monique Jeanblanc, University of Evry,
    • Characteristics of default time
  • 10.10-10.55 Robert Stelzer,  University of Ulm,
    • Geometric Ergodicity of Affine Processes on Cones
    • 10.55-11.30 Coffee break

      • 11.30-12.15 Wolfgang Runggaldier, University of Padova,
                          Classical and Restricted Impulse Control for the Exchange Rate under Incomplete Knowledge of the Model

        • 12.30-13.00 Maciej Wiśniewolski, Warsaw University,
                            Another look at Hartman-Watson distributions

  • 13.00 - Lunch

    15.00-15.45 Peter Imkeller, Humboldt-Universität Berlin,
                        Rough Weierstrass curves as attractors: SBR measure and local time

    • 16.00-16.45 Peter Spreij, University of Amsterdam,
                          Accounting Noise and the Pricing of CoCos

      17.00-17.30 Marcin Pitera, Jagiellonian University Cracow,
                          Backtesting Expected Shortfall - duality approach

      17.40-18.10 Oksana Chernova, University of Kiev,
                          Hypothesis testing in Cox proportional hazards model with measurement errors

  • 18.10 Supper

  • Tuesday, February 12th

    • 9.00-9.45 Nizar Touzi, Ecole Polytechnique, Paris,
                      Nonlinear stochastic representation and application to contract theory

    • 10.00-10.45 Claudio Fontana, Paris Diderot University,
                          The Value of Informational Arbitrage

    • 11.00-11.30 Coffee break

      11.30-12.15 Jacek Jakubowski, University of Warsaw,
                          Generalized  Hawkes Processes

    • 12.30-13.00 Mariusz Nieweglowski, Warsaw University of Technology,
                          BSDE on random horizon: applications to quadratic hedging

    • 13.00 - Lunch

      15.00-15.45 Yuliya Mishura, Univeristy of Kiev,
                          Fractional models in finance and statistics

    • 16.00-16.45 Miklos Rasonyi, Renyi Institute HAS,
                          Trading with processes of long memory

      • 17.00-17.30 Anton Yurchenko-Tytarenko, University of Kiev,
                            Fractional modification of stochastic volatility process in Heston model: rough case

        17.40-18.10, Wieslaw Grygierzec, University of Agriculture Kraków,
                             Maximum Principle for Optimal Control of Infinite Dimensional Diffusion Equation

        18.10 Supper


      Wednesday, February 13th

      9.00-9.45 Paolo Guasoni, University of Dublin,
                      Asset Prices in Segmented and Integrated Markets

      10.00-10.45 Teemu Pennanen, Kings College,
                          Duality and optimality conditions in convex stochastic optimization

    • 10.45-11.15 Coffee break

      11.15-12.00 Ralf Wunderlich, Brandenburg University of Technology Cottbus – Senftenberg,
                          Power Utility Maximization in a Continuous-Time Black Litterman Model

    • 12.15-12.45 Dariusz Zawisza, Jagiellonian University,
                          On the parabolic Cauchy equation related to portfolio optimization problems

      12.45 Lunch

  • 13.30 Excursion

    19.00 Supper


    Thursday, February 14th

    • 9.00-9.45 Jörn Sass, University of Kaiserslauten,
                      Utility Maximization under Model Uncertainty in a Multivariate Black Scholes Type Market

      10.00-10.45 Pavel Gapeev London School of Economics
                          On the perpetual American options on a traded account

      11.00-11.30 Coffee break

      11.30-12.15 Laurence Carassus   De Vinci Pôle Universitairé and Universite de Reims, France
                          Pricing without martingale measure

      12.30-13.00 Piotr Jaworski, University of Warsaw,
                          On Copulas and Stochastic Differential Equations

      13.00 Lunch

      15.00-15.45 Christoph Belak, Univ. of Trier,
                          Optimal Investment for Private Investors 

      16.00-16.45 Marzia de Donno, Universita di Parma,
                          Double continuation regions for american and swing options with negative discount rate in Levy models

      17.00-17.30 Agnieszka Rygiel, Cracow University of Economics,
                          Super-replication under model uncertainty  

      17.45-18.15 Zofia Michalik, University of Warsaw,
                          Inhomogeneous change of time for Markov chains

      19.00 Conference dinner

      Friday, February 15th

    • 9.00-9.45 Adam Ostaszewski, London School of Economics,
                      The sound of silence: equilibrium filtering and optimal censoring in financial markets

      10.00-10.45 Rafal Łochowski, Szkoła Główna Handlowa w Warszawie (Warsaw School of Economics), 
                          Pathwise quadratic variation and local times of deterministic cadlag paths - linking several approaches

    • 10.45-11.15   Coffee break

    • 11.15-12.00 Daniel Hernandez, CIMAT,
                          Periodic strategies in optimal execution with multiplicative impact

      13.00 Lunch



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