Programme
Mini-conference on Portfolio theory and derivative pricing
Warsaw, March 27-29, 2019
WEDNESDAY
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
THURSDAY
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
FRIDAY
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