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


ALOP