“Finance and Insurance”,

March 16-20, 2009, Jena (Germany)

Given Talks

Assa, Hirbod,
University of Montreal, Canada
Lebesgue Property for Multi Period Risk Measures and Applications in Capital Allocation
Bahlali, Khaled,
Université de Toulon, France
BSDEs and PDEs with Discontinuous Coefficients
Applications to Homogenization
Bahlali, Seid,
University Med Khider, Biskra, Algéria
General Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
Becherer, Dirk,
Humboldt University Berlin, Germany
Backward SDEs with Jumps
Comparision Results and Applications
Buckdahn, Rainer,
Université de Bretagne Occidentale, Brest, France
Mean-Field Backward Stochastic Differential Equations
Czichowsky, Christoph,
ETH Zurich, Switzerland
On the Markowitz Problem under Convex Cone Constraints
Drapeau, Samuel,
Humboldt University Berlin, Germany
Conditional and Dynamic Preferences
Frey, Rüdiger,
University of Leipzig, Germany
Credit Innovation: Pricing and Hedging of Credit Derivatives via the Innovations Approach to Nonlinear Filtering
Gherbal, Boulakhras,
University Med Khider, Biskra, Algéria
Optimality Conditions of Controlled Backward Doubly Stochastic Differential Equations
Goreac, Dan,
Université Paris-Est Marne-la-Valée, France
Viability Property for Controlled Semilinear SDEs and Stochastic Quasi-tangency
Heyne, Gregor,
Technical University Berlin, QP Lab, Germany
Cross Hedging with Stochastic Correlation
Jeanblanc, Monique,
University of Evry, France
Density Models for Credit Risk
Kabanov, Yuri,
Université de Franche-Comté, Besançon, France
Hedging of American Options under Transaction Costs
Kupper, Michael,
Vienna Institute of Finance, Austria
Equilibrium in Incomplete Markets under Translation Invariant Preferences
Mayerhofer, Eberhard,
Vienna Institute of Finance, Austria
Affine Diffusion Processes: Theory and Applications
Mezerdi, Brahim,
University Med Khider, Biskra, Algéria
Existence and Optimality Necessary Conditions in Stochastic Control of FBSDEs
Michelbrink, Daniel,
University of Nottingham, United Kingdom
Optimal Portfolio Selection when Stock Price Returns follow Jump-Diffusions
Miyazaki, Koichi,
University of Electro-Communication, Tokyo, Japan
Valuation Models of Inflation Derivatives using Pricing Kernel
Muhle-Karbe, Johannes,
Technical University Munich, Germany
On Asymptotic Power Utility-Based Pricing and Hedging
Müller, Stefanie,
University of Kaiserslautern, Germany
Getting Multi-Dimensional Trees into a new Shape
Naujokat, Felix,
Humboldt University Berlin, Germany
Illiquidity and Derivative Valuation
Di Nunno, Giulia,
University of Oslo, Norway
Lower and Upper Bounds of Martingale Measure Densities in Continuous Time Markets
Nutz, Marcel,
ETH Zurich, Switzerland
Optimal Consumption and Investment with Power Utility
Obłój, Jan,
University of Oxford, United Kingdom
Robust Pricing and Hedging of Double No-touch Options and the Resulting Notions of Weak Arbitrage
Papapantoleon, Antonis,
Vienna University of Technology, Austria
A new Approach to LIBOR Modeling
Piscopo, Gabriella,
Università degli Studi di Napoli Federico II, Napoli, Italy
A Pricing Model for the Guaranteed Lifelong Withdrawal Benefit Option
Quincampoix, Marc,
Université de Bretagné Occidentale, France
On Limiting Values of Stochastic Differential Equations with Small Noise Intensity Tending to Zero
Rainer, Catherine,
Université de Bretagné Occidentale, Brest, France
Existence of an Optimal Control for Stochastic Control Systems with Nonlinear Cost Functional
Răşcanu, Aurel,
University “Al. I. Cuza”, Iaşi, Romania
Stochastic Variational Inequalities in Non-convex Domains
Runggaldier, Wolfgang J.,
Università di Padova, Padova, Italy
Arbitrage-free Multifactor Term Structure Models: A Theory Based on Stochastic Control
Santacroce, Marina,
Politecnico di Torino, Italy
Exponential Utility Maximization under Partial Information and Sufficiency of Information
Seifried, Frank Thomas,
University of Kaiserslautern, Germany
Optimal Investment with Deferred Capital Gains Taxes
Tappe, Stefan,
Vienna Institute of Finance, Austria
Consistency Problems for Term Structure Models Driven by Wiener Process and Poisson Measures
Teichmann, Josef,
University of Technology, Vienna, Austria
A new Approach to Scenario Generation in Risk Management
Touzi, Nizar,
Ecole Polytechnique, Palaiseau, France
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs; presentation or paper
Tsuchiya, Takahiro,
Vienna University of Technology, Austria
A Heat Kernel Approach to Interest Rate Models; and figure (.png)
Weiß, Gregor,
Ruhr-University Bochum, Germany
Copula Parameter Estimation by Maximum-Likelihood and Minimum Distance Estimators – A Simulation Study
Zhang, Tusheng,
University of Manchester, United Kingdom
Boundary value problems of elliptic operators with singular coefficients