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Andrew Cairns, Heriot-Watt University
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Marco Frittelli, Università degli Studi di Milano
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David Hobson, University of Warwick
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Michael Monoyios, University of Oxford
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Martin Schweizer, ETH Zurich
About:
Much of the research presented fell naturally into broad themes, such as illiquid markets, transaction costs (TC), incomplete information, credit risk, and analysis of risk preferences. Talks on the same theme were often grouped together. Many delegates commented that they liked this format. The common theme was the extension of classical models of financial markets to incorporate one or more realistic and important market imperfections. The practical importance of such research is that it is essential to understanding how market failures can arise, and how to deal with the resulting risks.
The aims of the meeting were to build on the successes of the Developments in Quantitative Finance programme at the Isaac Newton Institute for Mathematical Sciences by inviting some of the participants of that programme to reconvene, to further the advances and achievements of that programme and to describe more recent progress.
Speakers
Stefan Ankirchner, Humboldt Universität Berlin - Smoothness of Indifference Prices and Quadratic BSDEs
Dirk Becherer, Imperial College London - Optimal Asset Liquidation in Illiquid Markets with Finite Resiliency
Tomas Björk, Stockholm School of Economics - Optimal Investments Under Partial Information
Alex Cox, University of Bath - Robust Hedging of Options Based on the Local Time
Hans Föllmer, Humboldt Universität Berlin - On the Dynamics of Convex Risk Measures
Peter Friz, University of Cambridge - On the Black-Scholes Implied Volatility at Extreme Strike
Matheus R Grasselli, McMaster University - Combining Real Options and Games in Incomplete Markets
Xin Guo, University of California - Connecting Singular and Switching Controls with Applications to (Ir)reversible Investment
Vicky Henderson, University of Warwick - Investment Timing, Incomplete Markets & Corporate Control
David Hobson, University of Warwick - Utility Maximisation, Discretionary Stopping and Asset Sales
Tom Hurd, McMaster University - Credit Risk Models Based on Time Changed Brownian Motion
Tim Johnson, Heriot-Watt University - The Optimal Timing of Investment Decisions
Jan Kallsen, Technische Universität München - Mean-Variance Hedging for Jump Processes
Dmitry Kramkov, Carnegie Mellon University - A Model for a Large Investor who Trades at Utility Indifference Prices of Market Makers
Andrew Lim, University of California - Robust Decision Making with Relative Entropy
Arne Lokka, King’s College London - Pricing and Hedging of Credit Derivatives
Jan Obloj, Imperial College London - Using Options to Complete Markets with Stochastic Volatility and Jumps
Mark Owen, Heriot-Watt University - Utility-Based Approaches to Asset Pricing
Huyên Pham, Université Paris 7 Diderot - Impulse Control Problems on Finite Horizon with Execution Delay
Martijn Pistorius, King's College London - On a Simple Model for Ruin of Two Insurance Companies
Miklós Rásonyi, Hungarian Academy of Sciences/Vienna University of Technology - The Fundamental Theorem of Asset Pricing for Continuous Processes Under Small Transaction Costs
Chris Rogers, University of Cambridge - Illiquidity Revisited
Giacomo Scandolo, University of Firenze - Robustness and Sensitivity Analysis of Risk Measurement Procedures
Martin Schweizer, ETH Zurich - Implied Volatilities
Walter Schachermayer, Technische Universität Wien - Consistent Price Systems and Face-Lifting Pricing Under Transaction Costs
Mihai Sîrbu, Columbia University - Asymptotic Analysis of Utility-Based Hedging Strategies for Small Number of Contingent Claims
Michael Tehranchi, University of Cambridge - A Characterisation of Dynamic Forward Utilities
Anke Wiese, Heriot-Watt University - Mean-Variance Hedging in Stochastic Volatility Models Driven by Lévy Processes
Thaleia Zariphopoulou, University of Texas - Forward Performance Processes and their Optimal Allocations
Mihail Zervos, London School of Economics - Itô Semi-Diffusion Processes
Gordan Zitkovic, University of Texas - Market Equilibria and the Stability of Demand
Harry Zheng, Imperial College London - A Counterexample of Subdifferential Valued Optimal Wealth