Programme

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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