Talks to be held in MS.01

All talks will be followed by a 5 minute questions session.

Abstracts

Monday 16th July
10:00 -10:20 Registration in Room B1:37, Coffee in Mathematics Institute Common Room
10:20 - 10:25 Welcome
10:25 - 11:05 Peter Bank (TU Berlin) Optimal Order Placement
11:15 - 12:00 Paavo Salminen (AAbo Akademi) Optimal Stopping of Strong Markov Processes
12:00 - 14:00 Lunch in the Mathematics Institute Common Room
14:00 - 14:45 Stéphane Villeneuve (CRM-IDEI, Toulouse) Optimal Investment Decision for a Cash-Constrained Firm
14:50 - 15:35 Vicky Henderson (Oxford) Executive Stock Options: Portfolio Effects
15:35 - 16:15 Tea in the Mathematics Institute Common Room
16:15 - 17:00 Kasper Larsen (Carnegie Mellon) Unspanned Endowment and Face-Lifting
17:30 Reception, Dinner and posters in the Mathematics Institute Common Room

Tuesday 17th July
09:00 - 09:45 Jesper Lund Pedersen (Copenhagen) Optimal Mean-Variance Stopping Strategies
09:50 - 10:35 Saul Jacka (Warwick) Shuttling a Diffusion - the Dynamic Case
10:35 - 11:15 Coffee in the Undergraduate Common Room
11:15 - 12:00 Nizar Touzi (Ecole Polytechnique) Viscosity Solutions of Fully Nonlinear Path-Dependent PDEs
12:00 - 14:00 Lunch in the Undergraduate Common Room
14:00 - 15:35 Five short talks:

Arkin (Laboratory of Central Economics, Russia),
Beiglböck (Vienna),
Gapeev (LSE),
Glover (University of Technology, Sydney),
Lokka (LSE)

15:35 - 16:15 Tea in the Undergraduate Common Room
16:15 - 17:00 Michael Mania (A. Razmadze Mathematical Institute) Semimartingale Backward Equations and an Optimal Equivalent Change of Measure

Wednesday 18th July
09:00 - 09:45 Mihail Zervos (LSE) Optimal Stopping of One-Dimensional Diffusions with Generalised Drift
09:50 - 10:35 Erik Ekström (Uppsala) Optimal Stopping and Incomplete Information
10:35 - 11:15 Coffee in the Undergraduate Common Room
11:15 - 12:00 Huyên Pham (Paris Diderot) Backward SDEs with Partially Nonpositive Jumps and Hamilton-Jacobi-Bellman IPDEs
12:00 - 14:00 Lunch in the Undergraduate Common Room
Free Afternoon

Thursday 19th July
09:00 - 09:45 Jan Obłój (Oxford) Long-run Investment under Drawdown Constraints: Optimal Portfolios and Numeraire Property
09:50 -10:35 Chris Rogers (Statistical Laboratory, Cambridge) Extremal Martingales
10:35 - 11:15 Coffee in the Undergraduate Common Room
11:15 - 12:00 H. Mete Soner (ETH Zürich) Homogenization and Asymptotics for Small Transaction Costs
12:00 - 14:00 Lunch in the Undergraduate Common Room
14:00 - 15:35 Five short talks:

De Angelis (Manchester) ,
Ferrari (Bielefeld),
Huitema (Zürich),
Klimmek (Warwick),
Matomaki (Turku School of Economics)

15:35 - 16:15 Tea in the Undergraduate Common Room
16:15 - 17:00 Dmitry Kramkov (Carnegie Mellon) Backward Martingale Representation and the Existence of a Complete Equilibrium
18:00 Coach Transport departs from the rear of the Mathematics Institute for
18:30 Conference dinner at Coombe Abbey (Transport returns to campus at end of evening)

Friday 20th July
09:00 - 09:45 Aleksander Mijatović (Imperial) Coupling and Tracking of Regime-switching Martingales
09:50 - 10:35 Damien Lamberton (Paris-Est) On the Exercise Boundary of American Options in Exponential Lévy Models
10:35 - 11:15 Coffee in the Undergraduate Common Room
11:15 - 12:00 Andreas Kyprianou (Bath) Capped American Lookback
12:00 - 14:00 Lunch in the Undergraduate Common Room
14:00 - 14:45 Richard Stockbridge (Wisconsin-Milwaukee) A Measure Approach to Impulse Control Problems
14:50 - 15:35 Martijn Pistorius (Imperial) Optimal Selling of a Defaultable Stock in a Spectrally Negative Lévy Model
15:35 - 16:15 Tea in the Undergraduate Common Room
16:15 Departure