Portfolio theory and derivative pricing

27.03.2019 - 29.03.2019 | Warsaw


Mini-conference on Portfolio theory and derivative pricing

Warsaw, March 27-29, 2019


15:00 – 15:30  Seminar opening

15:30 – 17:00  Position statements: Current trends in financial modelling; works in progress

Moderator: Dariusz Gątarek

First voice: Elisa Alos, Ralph Steuer, Łukasz Stettner,

Ignacy Kaliszewski

Next round: General discussion


10:00-10:40  Elisa Alos

On smile properties of volatility derivatives and exotic products: understanding the VIX skew

10:40-11:20 Martin Schweizer

Dynamic mean-variance optimisation problems without information

11:20-11:50  Coffee break

11:50 – 12:20  Ralph E. Steuer, Sebastian Utz

Domain of Expertise that Needs to Be Passed for Transiting from Conventional Bi-Criterion to Theme Tri-Criterion Investing

12:20-12:50 Maximilian Wimmer

Sustainable Tracking of Different Indices

13:13:15  Group photo

13:15-15:15  Lunch

15:15:15:55  Łukasz Stettner, Tomasz Rogala

Discrete time Shadow price - inductive direct approach

15:55-16:25  Agnieszka Rygiel

Semi-static hedging with frictions

16:25-16:55  Andrzej M.J. Skulimowski

Applying real options in the strategic planning of a knowledge repository exploitation

18:00  Conference dinner


10:00-10:30  Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, Dmitry Podkopaev

Deriving a new dataset for the Markowitz portfolio model

10:30-11:00  Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, Dmitry Podkopaev

Mean return - standard deviation Pareto front with low-cardinality portfolios in the presence of the risk-free asset

11:00-11:30  Coffee break

11:30-11:50  Conference closing


Rewrite code from the image

Reload image

Reload image