| MAY 19, 2008 Morning | Chaired by: Farid AIT SAHLIA (University of Florida) |
| 9: 00 - 9:45 | Stan URYASEV (University of Florida)
CDO Structuring: an Optimization Approach |
| 9:45 - 10.30 | Amal Moussa (Columbia University) :
A closer look at
CDO ratings. |
| 10.30 - 11.00 | Break / Pause |
| 11.00 - 11.45 | Andreea MINCA ( Ecole Polytechnique ):
Extracting
default intensities implied by CDO quotes |
| 11.45 - 12.30 | Ying JIAO ( ESILV) Modeling of successive default
events |
| MAY 19, 2008 Afternoon | Chaired by: Rama CONT |
| 14:00 - 14:45 | Bruno DUPIRE
(Bloomberg) : Two Financial Applications of the Root Solution of the
Skorohod Embedding Problem |
| 14:45 - 15:30 | Peter TANKOV ( Universite de Paris VII )
Measuring and pricing jump risk: from
CPPI funds to gap options |
| 15:30 - 16:00 | Break / Pause |
| 16:00 - 16:45 | Ekaterina VOLTCHKOVA (Université de Toulouse I )
Asymptotic analysis of hedging errors in models
with jumps |
| 16:45 - 17:30 | Mark BROADIE (Columbia University):
Understanding
index option returns. |
| |
|
| MAY 20, 2008 Morning | Session chaired by : |
| 9: 00 - 9:45 | Marco AVELLANEDA (New York University) Modeling stock price pinning on option expiration dates: the effect of price-impact models |
| 9:45 - 10.30 | Olivier PIRONNEAU (Universite de Paris VI)
Pros and Cons of Finite Element
Methods for Option Pricing |
| 10:30 - 11.00 | Break / Pause |
| 11:00 - 11.45 | Stephane CREPEY ( Universite d'Evry ) Simulation of
default loss distributions using particle methods |
| 11:45 - 12.30 | Emmanuel Gobet (InP Grenoble - ENSIMAG)
Smart Expansions and Fast Calibration methods for Jump Diffusion models |
| 12:30 - 14:00 |
LUNCH / DEJEUNER |
| MAY 20, 2008 Afternoon | Session chaired by : Nicole EL KAROUI |
| 14:00 - 14:45 | Alfred GALICHON (Ecole Polytechnique)
Comonotonic measures of multivariate risks |
| 14:45 - 15:30 | Romain DEGUEST (Columbia & Ecole Polytechnique)
Robustness and sensitivity analysis of risk measurement procedures |
| 15:30 - 16:00 | Break / Pause |
| 16:00 - 16:45 | Jun Ya GOTOH (Chuo University)
Portfolio Learning via VaR/CVaR
Minimization |
| 16.45- 17:30 |
René Aid (Electricité de France)
Financial
risk management in power markets |
| 17:30 - 18:15 | Jean-Michel LASRY (CALYON) Asset manager incentive and
risk mispricing: a MFG approach |
| MAY 21, 2008 Morning | Session chaired by: Nizar TOUZI |
| 9:00 - 9:45 | Luciano Campi (Univ Dauphine)
Multivariate Utility
Maximization with Proportional Transaction Costs |
| 9:45 - 10:30 | Umut Cetin (LSE)
Insider trading in credit markets with dynamic information asymmetry |
| 10:30 - 11.00 | Break / Pause |
| 11.00 - 11:45 | Yann Braouezec ( ESILV )
Corporate liquidity and the
value of the firm |
| 11:45 - 12:30 | Bruno BOUCHARD (Dauphine) Optimal reflection of
diffusions and barrier options pricing under constraints |
| MAY 21, 2008 Afternoon | Session chaired by : Paul GLASSERMAN
(Columbia University) |
| 14:00 - 14:45 | David Fournie (Columbia University)
A market model for forward variance and
VIX futures |
| 14:45 - 15:30 | Pierre Henry-Labordère (Société Générale) A Mathematical
Bestiary for Finance: From Differential Geometry to Hopf Algebra |
| 15:30 - 16:00 | Break / Pause |
| 16:00 - 16:45 | Serguei NOVAK (Middlesex) Measures of financial
risks and market crashes. |
| 16.45 - 17:30 | Romuald ELIE (Dauphine) The stochastic target
approach to quantile hedging |
| 17:30 | Discussion and closing session ( Farid AitSahlia, Rama Cont, Nizar Touzi ) |