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Program

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Program

The scientific programme runs from Wednesday, March 18, 8:45, to Friday, March 20, 16:00.

On Thursday afternoon/evening a short hike and a joint dinner are planned.

Preliminary Schedule

Wednesday 18.03.

08:45-09:00 - Opening

09:00-09:45 - Mark Davis: Risk-sensitive asset management in a finite-factor model

09:45-10:10 - Anton Popp: Risk-sensitive stopping problems for CTMC

10:10-10:35 - Tina Engler: On worst-case portfolio optimization under stochastic interest rate risk

10:35-11:00 - Imke Höfers: Portfolio optimization under dynamic risk constraints

11:00-11:30 - Coffee Break

11:30-12:15 - Łukas Stettner: Ergodic stopping and impulse control problems

12:15-13:00 - Richard Stockbridge: A measure approach for continuous inventory models: Discounted cost criterion

13:00:14:15 - Lunch Break

14:15-15:00 - Krzysztof Szajowski: Sequential decision making based on distributed observation

15:00-15:25 - Ralf Wunderlich: Partially observable stochastic optimal control problems for an energy storage

15:25-15:50 - Michaela Szölgyenyi: Solving SDEs associated with certain stochastic optimization problems

15:50-16:15 - Frank Wusterhausen: Transformation formula for mild solutions of stochastic evolution equation with Lévy noise and applications to stochastic delay equations

16:15-16:45 - Coffee Break

16:45-17:10 - Rafael Serrano: Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics

17:10-17:35 - Markus Höchstötter: Systemic financial turmoil: Inside the subprime and the Eurozone crises quantitative architecture and empirics

17:35-18:00 - Vilimir Yordanov: Multicurrency risky sovereign bonds arbitrage

 

Thursday 19.03.

09:00-09:45 - Johannes Muhle-Karbe: Who should sell stocks?

09:45-10:10 - Eberhard Mayerhofer: The limits of leverage

10:10-10:35 - Yaroslav Melnyk: Small-cost asymptotics for long-term growth rates

10:35-11:00 - Pavel Gapeev: Risk sensitive utility indifference pricing of perpetual American options under fixed transaction costs

11:00-11:30 - Coffee Break

11:30-12:15 - Georg Pflug: Huge dimensional copula models: Estimation of a Europe-wide loss distribution for flood losses

12:15-13:00 - Hansjörg Albrecher: On optimal stochastic control for two-dimensional insurance problems

13:00:14:15 - Lunch Break

14:15-15:00 - Mogens Steffensen: Aspects of controlling life event risks

15:00-15:25 - Stefan Thonhauser: Maximizing the expected discounted surplus

15:25-15:50 - Olaf Menkens: Some solvable large investor problems using separation

15:50-16:15 - Sascha Desmettre: Optimal investment with illiquid assets

16:15-16:45 - Coffee Break

16:45-17:30 - Chris Rogers: Optimal investment: Bounds and heuristics

 

Thursday 19.03. 18:30 - Conference Dinner

 

Friday 20.03.

09:00-09:45 - Claus Munk: Housing and Portfolio Decisions

09:45-10:10 - William Ntambara: Portfolio optimization with stochastic interest rates

10:10-10:35 - Thomas Seiferling: Backward nonlinear expectation equations

10:35-11:00 - Nicole Bäuerle: Applications of stochastic ordering to control problems in insurance and finance

11:00-11:30 - Coffee Break

11:30-12:15 - Andrzej Nowak: Nash equilibria in discounted stochastic games

12:15-13:00 - Anna Jaskiewicz: On stationary Markov perfect equilibrium in a dynamic stochastic decision model

13:00:14:15 - Lunch Break

14:15-15:00 - Mete Soner: Facelifting in utility maximization

15:00-15:45 - Xunyu Zhou: Optimal exit time from a casino: Why lucky coins and good memory are important?