Contributed Talks
- Andreasson, Johan (University of Technology Sydney)
A Least-Squares Monte Carlo Dynamic Programming approach to Retirement Modelling
- Balata, Alessandro (University of Leeds)
Regress Later Monte Carlo for Controlled Markov Processes
- Bartl, Daniel (Universiät Konstanz)
Pointwise Dual Representation of Dynamic Convex Expectations
- Bilarev, Todor (Humboldt-Universität zu Berlin)
Multiplicative Impact Model with Transient Impact: Modeling Issues and Superhedging of European Options
- Chau, Huy Ngoc (Alfréd Rényi Institute of Mathematics)
Stochastic Algorithm with a Mixing Process and Discontinuity in the Parameters
- Ciccarella, Carlo (Ecole Polytechnique Fédérale de Lausanne)
Sailboat Trajectory Optimization
- Dandapani, Aditi (ETH Zürich)
Strict Local Martingales and Initial Expansions of Filtrations
- De Angelis, Tiziano (University of Leeds)
The Dividend Problem with a Finite Horizon
- Desmettre, Sascha (Karlsruhe Institute of Technology (KIT))
Worst-Case Optimal Investment in Incomplete Markets
- Frentrup, Peter (Humbold-Universität zu Berlin)
Optimal Liquidation under Stochastic Order Book Imbalance
- Gapeev, Pavel (London School of Economics)
On the Perpetual American Options on a Traded Account
- Herdegen, Martin (University of Warwick)
Equilibrium Liquidity Premia
- Hieber, Peter (Universität Ulm)
Funding Life Insurance Contracts with Guarantees: How can we Optimally Respond to the Policyholder’S Needs?
- Kraft, Holger (Goethe University Frankfurt)
Predictors and Portfolios Over the Life Cycle
- Lenga, Matthias (Christian-Albrechts Universiät Kiel)
Representable American options
- Leobacher, Gunther (Karl-Franzens University Graz)
Utility Indifference Pricing of Insurance Catastrophe Derivatives
- Melnyk, Yaroslav (Ecole Polytechnique Fédérale de Lausanne)
Utility Maximization under Small Jump Intensity
- Moreno-Franco, Harold (National Research University Higher School of Economics Moscow)
Singular Stochastic Control Problem for Lévy Diffusions
- Perkkiö, Ari-Pekka (Ludwig-Maximilians-Universität Munich)
Convex Integral Functional of Regular Processes
- Sass, Jörn (University of Kaiserslautern)
Model Reduction and Mutual Funds for Portfolio Optimization in Hidden Markov Models
- Shardin, Anton (Brandenburg University of Technology Cottbus-Senftenberg)
Partially Observable Stochastic Optimal Control Problems for an Energy Storage
- Stelzer, Robert (Ulm University)
Shall you invest more Risky when you are still young?
- Szölgyenyi, Michaela (Vienna University of Economics and Business)
Convergence of Euler-Maruyama for SDEs in Stochastic Control
- Voss, Moritz (Technische Universität Berlin)
Linear Quadratic Stochastic Control Problems with Singular Stochastic Terminal Constraint
- Westphal, Dorothee (University of Kaiserslautern)
Expert Opinions for Multivariate Stock Returns with Gaussian Drift
- Wunderlich, Ralf (Brandenburg University of Technology Cottbus-Senftenberg)
Expert Opinions and Utility Maximization in a Market with Partially Observable Gaussian Drift
- Zalashko, Anastasiia (University of Vienna)
Anticipation of Information via Causal Transport
- Zawisza, Dariusz (Jagiellonian University Kraków)
General Solution to the Stochastic Control on the Half Line with some Optimal Consumption and Dividend Applications