Beyond the Boundaries
The programme
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Morning
09:30-10:00 Arrival on the Virtual platform
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10:00-10:45 Rama Cont
10:45-11:00 Questions & Answers
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11:00:11:15 Break
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11:15-12:00 Alexander Cox
12:00: 12:15 Questions & Answers
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Afternoon
14:00-14:45 Alexander Mc Neil
14:45-15:00 Questions & Answers
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15:00-15:15 Break
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15:15-16:00 Katia Colaneri
16:00-16:15 Questions & Answers
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16:15:17:00 Free time/informal discussions (via the Virtual platform)
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Tuesday
the 4th of May
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Morning
10:00-10:45 Giulia Di Nunno
Questions and Answers
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Mini-break
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11:15-12:00 Frank Riedel
12:00:12:15 Questions and Answers
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Afternoon
14:00-14:45 Nizar Touzi
14:45-15:00 Questions and Answers
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15:00-16:15 Poster session (via the Virtual Platform)
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16:15-16:30 Mini-Break
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16:30-17:15 Josef Teichmann
17:15:17:30 Questions and Answers
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17:30-18:00 Free time Virtual Platform
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Thursday
the 6th of May
Morning
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10:00-10:45 Lukas Szpruch
10:45-11:00 Questions & Answers
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11:00:11:15 Break
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11:15-12:00 Alexander Veretennikov
12:00: 12:15 Questions & Answers
Afternoon
13:00-13:45 Damiano Brigo
Questions and Answers
Mini-break
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14:00-14:45 Stéphane Crépey
14:45-15:00 Questions & Answers
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15:00-15:30 Free time/informal discussions (via the Virtual platform)
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Wednesday
the 5th of May
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Morning
Free time
No planned activities
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Afternoon
14:00-14:45 Christa Cuchiero
14:45-15:00 Questions and Answers
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15:00- 15:45 H. Mete Soner
15:45-16:00 Questions and Answers
16:00-16:30 Break
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16:30-17:30 Nicolas Perkowski
Concluding Remarks
Free time via the Virtual Platform
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Friday
the 7th of May
Modeling price excursions
Rama Cont
Controlled measure-valued martingales: a viscosity solution approach
Alexander Cox
Modelling volatile time series with v-transforms and copula processes
Alexander McNeil
Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds
Katia Colaneri
Gradient Flows for Regularized Stochastic Control Problems
Lukas Szpruch
On averaged expected cost control for 1D ergodic diffusions with switching
Alexander Veretennikov
Static vs adaptive optimal trading and good execution
Damiano Brigo
Hierarchical Simulation for Learning With Defaults
Stéphane Crépey
Maximum principles for stochastic time-changed Volterra games
Giulia di Nunno
Frank Knight's Legacy: the Economics of Uncertainty and Risk
Frank Riedel
Mean Field Game of Mutual Holding
Nizar Touzi
Approximation of path space functionals with applications to Finance
Josef Teichmann
Signature based models in finance: relation to affine and polynomial processes, calibration and inclusion of jumps
Christa Cuchiero
Numerical methods for high-dimensional optimal control
H. Mete Soner
Infinite regularization by noise
Nicolas Perkowski