Workshop
"Stochastics and Finance"
July 18-19, 2017
Invited Speakers
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Michael Anthropelos (University of Piraeus)
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Pricing and hedging in (in)complete financial markets (an overview).
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The pricing of contingent claims and optimal positions in asymptotically complete markets.
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Carole Bernard (Grenoble École de Management)
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Cost efficient strategies under model ambiguity.
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Two and three fund separation theorem under general assumptions.
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Sotirios Sabanis (University of Edinburgh)
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A new generation of explicit algorithms for SDEs with
superlinear coefficients and their applications in Finance.
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Stavros Vakeroudis (University of Cyprus)
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Windings and Asian Options, Part I: Windings and Exponential Functionals.
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Windings and Asian Options, Part II: Asian Options.
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Steven Vanduffel (Vrije Universiteit Brussel)
- Optimal Strategies Under Omega Ratio.
- Rearrangement Algorithm and Maximum Entropy.