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