Programme

Below you can find a provisional programme.

Download here the book of abstracts
Download here the programme

DAY 1 (4 September 2017)

8.45 – 9.30 – Registration + coffee

_____[Games & Information]_____
9.30 – 10.15 – Said Hamadene (University of Le Mans):
On the existence of a value of a Zero-sum switching games with general switching costs

10.15 – 11.00 – Catherine Rainer (University of Brest):
A two player zerosum game where only one player observes a Brownian motion

11.00 – 11.30 – coffee break

_____[Stochastic Control in Economics and Finance]_____
11.30 – 12.15 – H. Mete Soner (ETH Zurich):
Singular Control in Economics

12.15 – 12.45 – Eyal Neuman (Imperial College):
Incorporating Signals into Optimal Trading

12.45 – 14.00 – Lunch

_____[Robust Finance]_____
14.00 – 14.45 – Alex M.G. Cox (University of Bath):
Robust Hedging of Options on a Leveraged Exchange Traded Fund

14.45 – 15.30 – Ania Aksamit (University of Oxford):
Robust pricing–hedging duality for American options in discrete time financial markets

15.30 – 16.00 – Daniel Bartl (University of Konstanz):
Pointwise superhedging duality in continuous time

16.00 – 17.00 – Coffee break with Poster Session

_____[Stochastic Optimisation]_____
17.00 – 17.30 – Katia Colaneri (University of Perugia):
Portfolio optimization for a large investor controlling market sentiment under partial information

17.30 – 18.00 – Leonid Bogachev (University of Leeds):
Liouville-type theorems for the archetypal equation with rescaling

18.00 – Wine reception and buffet dinner

DAY 2 (5 September 2017)

_____[Randomised Strategies]_____
9.30 – 10.15 – David Hobson (University of Warwick):
Randomized Strategies and Prospect Theory in a Dynamic Context

10.15 – 11.00 – Erik Ekstrom (University of Uppsala):
Dynkin games with asymmetric information

11.00 – 11.30 – Coffee break

_____[Nonzero-sum Dynkin Games]_____
11.30 – 12.15 – Natalie Caruana (University of Malta):
Nash Equilibrium in Nonzero-Sum Optimal Stopping Games for Brownian Motion

12.15 – 12.45 – Randall Martyr (Queen Mary University of London):
Nonzero-sum optimal stopping games and generalised Nash equilibrium problems

12.45 – 13.45 – Lunch

_____[Stochastic Analysis & Control]_____
14.00 – 14.45 – Yavor Stoev (University of Michigan):
Martingale optimal transport with stopping

14.45 – 15.15 – Alessandro Balata (University of Leeds):
Regress Later Monte Carlo for Optimal Control of Markov Chains

15.15 – 15.45 – coffee break

_____[Time-Inconsistent Optimality]_____
15.45 – 16.30 – Goran Peskir (University of Manchester):
Nonlinear Optimal Stopping and Nonlinear Optimal Control

16.30 – 17.00 – Concluding remarks

17.00 – Opening of the research week
_____[Non-linear performance criteria and time consistency]_____
Session’s chair: Goran Peskir