26-27 August 2011
Faculty of Mathematics and Physics of University of Ljubljana
Europe/Ljubljana timezone
Program and list of abstracts

A workshop program can be downloaded here (version August 26, 2011). Minor changes in the program are still possible.

The Summer School and Workshop Book of Abstracts is available now. You can download it here, but every participant will get one at the registration desk.

Plenary talks

Denis Belomestny: Solving optimal stopping problems by empirical dual optimization and penalization: fast rates of convergence

N. H. Bingham: Multivariate elliptic processes

Alexander Lipton: Three sources and three component parts of the universal volatility model

Dilip B. Madan: On pricing contingent capital notes

Martijn R. Pistorius: On the drawdown of completely asymmetric Lévy processes

Albert N. Shiryaev: Stochastic calculus approach to the problems of duality of pricing and hedging of options

Mikhail Urusov: On the martingale property of exponential local martingales: criteria and applications to finance

Contributed talks

Vlad Ardelean: Detecting outliers and structural breaks in time series

Karl F. Bannör: Capturing parameter uncertainty by convex risk measures

Anna Battauz: Real options and American derivatives: the double continuation region

Daniel Ciuiu: Homogeneity tests for Lévy processes and applications

Tiziano De Angelis: Galerkin-type approximation of the HJM forward interest rates dynamics and applications to the analytical pricing of American bond options

Giorgio Ferrari: Generalized Kuhn-Tucker conditions for stochastic irreversible investments with limited resources

Alessandro Gnoatto: A multifactor Libor market model

Zorana Grbac: A defaultable multiple-curve HJM term structure model

Lucas Jódar: Numerical analysis and computing for option pricing Heston stochastic volatility model

Norbert Kovács: The application of Markov chain models in indirect measurement of market mower

Anna Krasnosielska: From multi-stopping time problem based on Elfving problem to Nash equilibrium in multi-person game with priorities

Maria Krivko: Numerical integration of Heath-Jarrow-Morton model of interest rates

A. V. Kulikov: Capital allocation and risk contribution problems and their solution via one-dimensional and multidimensional coherent risk measures

Pankaj Kumar: Optimal execution size in algorithmic trading

Bing Lu: Optimal selling of an asset under incomplete information

Yaroslav Lyulko: On the distribution properties of skew Brownian motion's local time

Mariusz Niewęgłowski: Modeling of dependence between components of multivariate Markov chains and applications in credit risk

Balázs Nyul: Estimation of volatility in discrete time forward interest rate models

Sidi-Mohamed Ould Aly: Monotonicity with respect to the volatility parameters under Heston model

Duy Pham: On the approximation of the SABR model, a probabilistic approach

Lars Rösler: The impact of contagion effects on the credit value adjustment

Fabian Tinkl: Asymptotic theory for M estimators for martingale differences with application to GARCH models

Tiziano Vargiolu: Optimal portfolio and utility-indifference pricing and hedging in a regime-switching model

Dejan Velušček: Extrapolation methods for weak approximation schemes and spaces of controlled growth


Tadeusz Czernik: Technique of modified stochastic evolution - some applications

Jiajie Li: Large population stochastic dynamic games: mean field games

Juan Miguel Montes: Computable pricing in continuous-time Markov chain term structure models: a combined analytic and simulations - based approach

Rok Okorn: Valuation of guaranteed minimum withdrawal benefits with Lévy processes

Nina Otopal: Restricted kernel canonical correlation analysis