Workshop Bad Herrenalb
Talks and Slides of the Workshop 29.3.-1.4.2011
- Hansjörg Albrecher (HEC Lausanne): Optimal dividends in random discrete time.
- Erik Baurdoux (London School of Economics): The McKean stochastic game for spectrally negative Lévy processes. pdf
- Sören Christensen (Christian-Albrechts-Universität zu Kiel): A method for pricing high-dimensional American options using infinite linear programming. pdf
- Lukasz Delong (Warsaw School of Economics): Applications of time-delayed backward stochastic differential equations. pdf
- Jitka Dupacova (Charles University, Prag): On the interplay of M-estimation and stochastic programming. pdf
- Kathrin Glau (University of Vienna): Solving PIDEs for option pricing in Lévy models. pdf
- Kurt Helmes (HU Berlin): Entry-and-exit problems with a finite number of cycles. pdf
- Dominik Joos (Karlsruhe Institute of Technology): Modelling the spread between interest rates in interbank lending.
- Heinz-Uwe Küenle (TU Cottbus) and Feitian Liu-Matzker (TU Cottbus): On the existence of stationary deterministic Nash equilibria in stochastic games. pdf
- Sébastien Lleo (Reims Management School): On the Optimality of Kelly Strategies. pdf
- Olaf Menkens (Dublin City University): Optimising Proportional Reinsurance Using a Worst Case Scenario Approach. pdf
- Roman Muraviev (ETH Zürich): Learning, Diverse Beliefs and Long Run Issues in Heterogeneous Equilibrium.
- Georg Pflug (University of Vienna): Measure-valued derivatives and applications. pdf
- Huyen Pham (Université Paris 6-Paris 7): Optimal investment under multiple defaults risk: a BSDE-decomposition approach. pdf
- Chris Rogers (University of Cambridge): Diverse beliefs and market selection. pdf
- Jörn Sass (University of Kaiserslautern): Maximizing the asymptotic growth rate under fixed and propotional transaction costs in a financial market with jumps. pdf
- Reiner Schlosser (HU Berlin) and Kurt Helmes (HU Berlin): A stochastic dynamic Dorfman-Steiner model. pdf
- Leonie Selinka (University of Ulm): The Vanishing Discount Approach for risk-sensitive Optimal Control.
- Tatiana Sinotina (TU Ilmenau): Concentration Inequality for Regularized Least Squares Regression. pdf
- Halil Mete Soner (ETH Zürich): Risk measures and second order BSDE's. pdf
- Lukasz Stettner (Polish Academy of Sciences, Warsaw): Optimal stopping with discontinuous cost functionals. pdf
- Richard Stockbridge (University of Wisconsin-Milwaukee): On the existence of optimal strict controls. pdf
- Krzysztof Szajowski (Wroclaw University of Technology): On a competitive management of the risk process. pdf
- Stefan Thonhauser (Université de Lausanne): On optimal consumption strategies for a deterministic process on a finite time interval. pdf
- Luitgard Veraart (London School of Economics): The relaxed investor with partial information.
- Silvia Vogel (TU Ilmenau): Universal and Asymptotic Confidence Bounds for Level Sets. pdf
- Martin Weber (HU Berlin): A comparison of the quality of risk sensitive policies and the optimal risk constrained policies for a special insurance model.
- Marc Wittlinger (University of Ulm): Optimal portfolios in illiquid markets under a drawdown constraint.
- Ralf Wunderlich (Zwickau University of Applied Sciences): Dynamic Portfolio Optimization Under Partial Information With Expert Opinions. pdf