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