A Conference in Honour of Walter Schachermayer — Vienna University, July 12-16, 2010

Contributed Talks

(scroll down for posters)
--> Abstracts

Acciaio, Beatrice (University of Vienna, AT)
"Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles"
[slides available]

Beiglböck, Mathias (University of Vienna, AT)
"A direct proof of the Bichteler-Dellacherie Theorem and connections to arbitrage"

Cerny, Ales (Cass Business School, London, UK)
"Admissible Strategies in Semimartingale Portfolio Optimization"

Cuchiero, Christa (ETH Zurich, CH)
"Affine processes on non-canonical state spaces"

Czichowsky, Christoph (ETH Zurich, CH)
"Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time"
[slides available]

Dolinsky, Yan (ETH Zurich, CH)
"Error Estimates for Multinomial Approximations of American Options in a Class of Jump Diffusion Models"
[slides available]

Fajardo, José (Getulio Vargas Foundation, Rio de Janeiro, BR)
"Skewness Measures and Implied Volatility Skew"

Feehan, Paul (Rudgers University, New Brunswick, USA)
"American-style options, stochastic volatility, and degenerate parabolic variational inequalities"
[slides available]

Gerhold, Stefan (Vienna University of Technology, AT)
"Refined volatility expansion in the Heston model"
[slides available]

Goldammer, Verena (Vienna University of Technology, AT)
"Modelling of Dependent Credit Rating Transitions"
[slides available]

Kardaras, Constantinos (Boston University, USA)
"Forward-convex convergence in probability of sequences of nonegative random variables"
[link to paper/arXiv as talk on blackboard]

Keller-Ressel, Martin (ETH Zurich, CH)
"Affine Processes are Regular"
[slides available]

Knispel, Thomas (Leibniz Universität Hannover, DE)
"Optimal long term investment under model ambiguity"
[slides available]

Kupper, Michael (Humboldt Universität zu Berlin, DE)
"Risk Preferences and their Robust Representation"

Larsen, Kasper (Carnegie Mellon University, Pittsburgh, USA)
"Horizon dependency for the utility maximization problem"
[link to paper/arXiv as talk on blackboard]

Muhle-Karbe, Johannes (University of Vienna, AT)
"On an Explicit Shadow Price for the Growth-Optimal Portfolio with Transaction Costs"
[slides available]

Nadtochiy, Sergey (Oxford University, UK)
"Tangent Lévy models"
[slides available]

Nutz, Marcel (ETH Zurich, CH)
"Risk Aversion Asymptotics for Power Utility Maximization"
[slides available]

Prokaj, Vilmos (Eötvös Loránd University Budapest, HU)
"Hiding the drift, and the perturbed Tanaka equation"
[slides available]

Rudloff, Birgit (Princeton University, USA)
"Risk measures for multivariate random variables in markets with transaction costs"
[slides available]

Ruf, Johannes (Columbia University, New York, USA)
"Optimal trading strategies under arbitrage"
[slides available]

Schmidt, Thorsten (TU Chemnitz, DE)
"Dynamic Modelling of CDO Markets"
[slides available]

Shmileva, Elena (St.Petersburg University of Electrical Engineering, RU)
"Law of the iterated logarithm for pure jump Lévy processes"
[slides available]

Sturm, Stephan (Princeton University, USA)
"Is the minimum value of an option on variance generated by local volatility?"

Urusov, Mikhail (Ulm University, DE)
On the Martingale Property of Exponential Local Martingales
[slides available]
Originally planned: "Optimal Portfolio Liquidation with Dynamic Risk"
[slides available]

Veraart, Luitgard (Karlsruhe Institute of Technology, DE)
"The effect of estimation in high-dimensional portfolios"
[slides available]

Posters

Larsson, Martin (Cornell University, New York, USA)
"Price Bubbles in Variance and Volatility Swaps"

Lu, Dan (Leipzig University, DE)
"Pricing and hedging of hybrid credit risk products: a filtering approach"

Prokaj, Vilmos (Eötvös Loránd University Budapest, HU)
"Hiding a constant drift"

Cancelled: Rehman, Nasir (AIOU Islamabad, Pakistan)
"Comparison of American Options with Different Strikes, Maturities and Volatilities"