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

Invited Talks

--> Invited Speaker
--> Abstracts

Bank, Peter (TU Berlin, DE)
"Convex Duality and Intertemporal Consumption Choice"
[slides available]

Barndorff-Nielsen, Ole E. (University of Aarhus, DK)
"Ambit Processes: Aspects of Theory and Applications"
[slides available]

Björk, Tomas (Stockholm School of Economics, SE)
"Time inconsistent stochastic control"
[slides available]

Cancelled: Bühlmann, Hans (ETH Zurich, CH)
"On the Prudence of the Actuary and the Courage of the Entrepreneur (Gambler)"

Campi, Luciano (University Paris-Dauphine, FR)
"Efficient trading strategies in financial markets with proportional transaction costs "
[slides available]

Carmona, René (Princeton University, USA)

Cooper, James B. (Johannes Kepler Universität Linz, AT)
"What is a quantum field? or How to do analysis in the space of observables"

Davis, Mark (Imperial College London, UK)
"Arbitrage Bounds for Weighted Variance Swap Prices"
[slides available]

Delbaen, Freddy (ETH Zurich, CH)
"Mod-φ convergence and applications"

El Karoui, Nicole (École Polytechnique, Palaiseau, FR)
"An Exact Representation of Non Linear Utility Stochastic PDEs"
[slides available]

Embrechts, Paul (ETH Zurich, CH)
"From financial mathematics to quantitative risk management"
[slides available]

Émery, Michel (University of Strasbourg, FR)
"Effectivity in proofs that some filtrations are generated by Brownian motions"

Filipović, Damir (Swiss Finance Institute, École Polytechnique Fédéral de Lausanne, CH)
NEW (different talk): "Equivalent Measure Changes for Jump-Diffusions"
[slides available]
Originally planned: "Quadratic Variance Swap Models: Theory and Evidence"

Cancelled: Föllmer, Hans (Humboldt Universität zu Berlin, DE)
"Asymptotic Arbitrage, Large Deviations, and Model Ambiguity"

Friz, Peter (TU and WIAS Berlin, DE)
"Ordinary, partial and backward stochastic differential equations driven by rough signals"
[slides available]

Ghoussoub, Nassif (University of British Columbia and Banff International Research Station, Vancouver, CA)
"Self-dual Variational Calculus"
[slides available]

Guasoni, Paolo (University of Boston, USA)
"Relaxed Utility Maximization"
[slides available]

Jouini, Elyčs (CEREMADE et Institut de Finance Dauphine, FR)
"Financial Markets Equilibrium with Heterogeneous Agents"

Kallsen, Jan (Christian-Albrechts-Universität zu Kiel, DE)
"On shadow prices in portfolio optimization"

Karatzas, Ioannis (Columbia University, New York, USA)
"Probabilistic Aspects of Arbitrage"
[slides available]

Kramkov, Dmitry (Carnegie Mellon University, Pittsburgh, USA)
"On financial models with price impact"
[slides available]

Kusuoka, Shigeo (University of Tokyo, JP)
"Numerical Computation of Expectation of Diffusion Processes"

Kwapień, Stanisław (University of Warsaw, PL)
"On Hoeffding Decomposition in Lp"
[slides available]

Müller, Paul (Johannes Kepler Universität Linz, AT)
"Conditioned Brownian Motion and Uniform square function estimates."
[slides available]

Orihuela, José (Universidad de Murcia, ES)
"Interplay between Functional Analysis, Optimality and Risk"
[slides available]

Preiss, David (University of Warwick, UK)
"Differentiability problems in Banach spaces"
[slides available]

Protter, Philip E. (Cornell University, New York, USA)
"Absolutely Continuous Compensators"
[slides available]

Rásonyi, Miklós (University of Edinburgh, UK)
"Large deviations and asymptotic arbitrage"
[slides available]

Rogers, Chris (University of Cambridge, UK)
"Least-Action Filtering"
[slides available]

Schütt, Carsten (Christian-Albrechts-Universität zu Kiel, DE)
"On the Santalo point"

Sîrbu, Mihai (University of Texas at Austin, USA)
"Optimal investment with high-watermark performance fee"
[slides available]

Soner, Mete (ETH Zurich, CH)
"Liquidity based models and problems"

Tompkins, Robert (Frankfurt School of Finance & Management, DE)
"Potential PCA Interpretation Problems for Volatility Smile Dynamics"
[slides available]

Touzi, Nizar (École Polytechnique, Palaiseau, FR)
"Model independent bound for option pricing: a stochastic control aproach"

Yor, Marc (Université Pierre et Marie Curie Paris VI, FR)
"A new look at and extensions of Bougerol's identity"
[handwritten notes available]

Zariphopoulou, Thaleia (University of Texas at Austin, USA)
"Initial investment choice and optimal future allocations"