Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences

29 May - 02 June 2017

Room : BI A0 448

Organiser

Luc Bauwens, Université catholique de Louvain
Yuri Kabanov, Université de Franche-Comté
Juan-Pablo Ortega, Universität St. Gallen

This conference is the last major event of the program “Stochastic dynamical models in mathematical finance, econometrics, and actuarial sciences”. Some of the top researchers in the fields represented in the semester will present their results. The speakers will cover a wide range of topics including stochastic calculus and processes, continuous and discrete time models for financial data and volatility, and applications to asset pricing, risk management, and actuarial problems. These developments have their root in different branches in mathematics and statistics and this conference aims at fostering a constructive interaction between them that will surely contribute in the appearance of innovative applications.

This conference week includes two Bernoulli Lectures:
Monday 29 May - 17:15
Continuous-time random matching
by Professor Darrell Duffie, Stanford University

Thursday 1 June - 17:15
Systemic Risk with Endogenous Cycles
by Professor Robert Engle, New York University Stern School of Business

Name University Dates of visit
Hansjoerg Albrecher UNIL 29/05/2017 - 02/06/2017
Francesco Audrino Universität St. Gallen 29/05/2017 - 02/06/2017
Alexandru Badescu University of Calgary 21/05/2017 - 02/06/2017
Giovanni Barone Adesi Università della Svizzera italiana 28/05/2017 - 03/06/2017
Luc Bauwens Université catholique de Louvain 18/03/2017 - 17/06/2017
Francesca Biagini Universität München 29/05/2017 - 31/05/2017
Tim Bollerslev Duke University 28/05/2017 - 31/05/2017
Christophe Chorro Université Paris 1 29/05/2017 - 02/06/2017
Stéphane Chrétien National Physical Laboratory 25/05/2017 - 05/06/2017
Christine De Mol Université Libre de Bruxelles 28/05/2017 - 02/06/2017
Ryan Donnelly EPFL 29/05/2017 - 02/06/2017
Darrell Duffie Stanford University 28/05/2017 - 01/06/2017
Robert Engle New York University Stern School of Business 01/06/2017 - 01/06/2017
Hasan Fallahgoul EPFL 29/05/2017 - 02/06/2017
Matthias Fengler Universität St. Gallen 29/05/2017 - 02/06/2017
Christian Francq Unviersité Paris-Saclay 28/05/2017 - 02/06/2017
Rüdiger Frey Wirtschaftsuniversität Wien 28/05/2017 - 01/06/2017
Patrick Gagliardini Università della Svizzera italiana 28/05/2017 - 01/06/2017
Eric Ghysels University of North Carolina 28/05/2017 - 30/05/2017
Christian Gouriéroux Université Paris-Saclay 29/05/2017 - 02/06/2017
Lyudmila Grigoryeva Universität Konstanz 01/04/2017 - 30/06/2017
Christian Hafner Université catholique de Louvain 29/05/2017 - 03/06/2017
Marc Hallin Université Libre de Bruxelles 28/05/2017 - 01/06/2017
Nikolaus Hautsch Universität Wien 31/05/2017 - 02/06/2017
Max-Olivier Hongler EPFL 29/05/2017 - 02/06/2017
Eric Jondeau UNIL 29/05/2017 - 02/06/2017
Yuri Kabanov Université de Franche-Comté 01/05/2017 - 30/06/2017
Claudia Klüppelberg Universität München 29/05/2017 - 02/06/2017
Petro Kolesnyk University of Bern 29/05/2017 - 02/06/2017
Yaroslav Melnyk EPFL 29/05/2017 - 02/06/2017
Juan-Pablo Ortega Universität St. Gallen 01/04/2017 - 30/06/2017
Andrew Patton Duke University 30/05/2017 - 03/06/2017
Elisabeth Pröhl University of Geneva 29/05/2017 - 02/06/2017
Eric Renault Brown University 28/05/2017 - 03/06/2017
Michael Rockinger UNIL 29/05/2017 - 02/06/2017
Jeroen Rombouts ESSEC Business School 31/05/2017 - 02/06/2017
Mathieu Rosenbaum Ecole Polytechnique 31/05/2017 - 02/06/2017
Esther Ruiz Ortega Universitad Carlos III de Madrid 27/05/2017 - 03/06/2017
Olivier Scaillet UNIGE 29/05/2017 - 02/06/2017
Michael Schatz ETH Zurich 29/05/2017 - 02/06/2017
Martin Schweizer ETHZ 29/05/2017 - 02/06/2017
Albert Shiryaev Steklov Institute of Mathematics 01/05/2017 - 30/06/2017
Giuseppe Storti Università di Salerno 25/05/2017 - 01/06/2017
Genaro Sucarrat BI Norwegian Business School 29/05/2017 - 05/06/2017
Peter Tankov Université Paris-Saclay 29/05/2017 - 02/06/2017
Stefan Tappe Leibniz Universität Hannover 03/04/2017 - 30/06/2017
Josef Teichmann ETHZ 28/05/2017 - 30/05/2017
Nizar Touzi Université Paris-Saclay 28/05/2017 - 01/06/2017
Michael Tseng EPFL 29/05/2017 - 02/06/2017
David Veredas Vlerick Business School 29/05/2017 - 02/06/2017
Carlos Vázquez Cendón Universidade de Coruña 28/05/2017 - 30/05/2017
Sander Willems EPFL 29/05/2017 - 02/06/2017
Jean-Michel Zakoïan Université Paris-Saclay 28/05/2017 - 02/06/2017
Thaleia Zariphopoulou University of Texas 30/05/2017 - 02/06/2017
Total Guests : 54
Name University Dates of visit
Hansjoerg Albrecher UNIL 29/05/2017 - 02/06/2017
Giovanni Barone Adesi Università della Svizzera italiana 28/05/2017 - 03/06/2017
Francesca Biagini Universität München 29/05/2017 - 31/05/2017
Tim Bollerslev Duke University 28/05/2017 - 31/05/2017
Christine De Mol Université Libre de Bruxelles 28/05/2017 - 02/06/2017
Christian Francq Unviersité Paris-Saclay 28/05/2017 - 02/06/2017
Rüdiger Frey Wirtschaftsuniversität Wien 28/05/2017 - 01/06/2017
Patrick Gagliardini Università della Svizzera italiana 28/05/2017 - 01/06/2017
Eric Ghysels University of North Carolina 28/05/2017 - 30/05/2017
Christian Gouriéroux Université Paris-Saclay 29/05/2017 - 02/06/2017
Christian Hafner Université catholique de Louvain 29/05/2017 - 03/06/2017
Marc Hallin Université Libre de Bruxelles 28/05/2017 - 01/06/2017
Nikolaus Hautsch Universität Wien 31/05/2017 - 02/06/2017
Eric Jondeau UNIL 29/05/2017 - 02/06/2017
Claudia Klüppelberg Universität München 29/05/2017 - 02/06/2017
Andrew Patton Duke University 30/05/2017 - 03/06/2017
Eric Renault Brown University 28/05/2017 - 03/06/2017
Michael Rockinger UNIL 29/05/2017 - 02/06/2017
Jeroen Rombouts ESSEC Business School 31/05/2017 - 02/06/2017
Mathieu Rosenbaum Ecole Polytechnique 31/05/2017 - 02/06/2017
Esther Ruiz Ortega Universitad Carlos III de Madrid 27/05/2017 - 03/06/2017
Olivier Scaillet UNIGE 29/05/2017 - 02/06/2017
Martin Schweizer ETHZ 29/05/2017 - 02/06/2017
Albert Shiryaev Steklov Institute of Mathematics 01/05/2017 - 30/06/2017
Peter Tankov Université Paris-Saclay 29/05/2017 - 02/06/2017
Josef Teichmann ETHZ 28/05/2017 - 30/05/2017
Nizar Touzi Université Paris-Saclay 28/05/2017 - 01/06/2017
David Veredas Vlerick Business School 29/05/2017 - 02/06/2017
Carlos Vázquez Cendón Universidade de Coruña 28/05/2017 - 30/05/2017
Jean-Michel Zakoïan Université Paris-Saclay 28/05/2017 - 02/06/2017
Thaleia Zariphopoulou University of Texas 30/05/2017 - 02/06/2017
Total Guests : 31
Monday 29 May
08:30-09:40 CIB front desk registration
09:40-10:20 Josef Teichmann Bayesian Finance.
10:20-10:50 Coffee break
10:50-11:30 Olivier Scaillet A diagnostic criterion for approximate factor structure.
11:30-12:10 Giovanni Barone Adesi S&P 500 Index, an Option Implied Risk Analysis.
12:10-13:20 Lunch break
13:20-14:00 Jean-Michel Zakoïan Noncausal heavy-tailed autoregressive process and the modeling of bubbles.
14:00-14:40 Christine De Mol Forecasting Economic Variables with High-dimensional Time Series.
14:40-15:10 Coffee break
15:10-15:50 Carlos Vázquez Cendón Pricing XVA for European and American options with (non)linear PDEs.
15:50-16:30 Eric Ghysels Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression.
17:15 Bernoulli Lecture Continuous-time random matching by Darrell Duffie.
Followed by an apéritif.

Tuesday 30 May
09:00-09:40 Peter Tankov Stochastic models for trading wind energy.
09:40-10:20 Christian Hafner Exponential-type GARCH models with linear-in-variance risk premium.
10:20-10:50 Coffee break
10:50-11:30 Tim Bollerslev Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions.
11:30-12:10 Hansjoerg Albrecher On the Principle of Randomization in Actuarial Risk Models.
12:10-13:20 Lunch break
13:20-14:00 Eric Jondeau Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race.
14:00-14:40 Marc Hallin Quantile Spectral Analysis for Locally Stationary Processes.
14:40-15:10 Coffee break
15:10-15:50 Francesca Biagini Financial Asset Price Bubbles under Model Uncertainty.
15:50-16:30 Rüdiger Frey EM Algorithm for Diffusion and Point Process Information: Theory, Numerical Experiments and Applications to Credit Risk.

Wednesday 31 May
09:00-09:40 Patrick Gagliardini Positional Portfolio Management.
09:40-10:20 Nizar Touzi Continuous-time Principal-Agent problem: a stackelberg stochastic differential game.
10:20-10:50 Coffee break
10:50-11:30 Claudia Klüppelberg First hitting times of a multivariate compound Poisson model with bipartite graph structure.
11:30-12:10 Christian Francq Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models.
12:10-13:20 Lunch break
13:20-14:00 David Veredas Multivariate Hill estimators.
14:00-14:40 Michael Rockinger Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France.
15:00 Social outing

Thursday 1 June
09:40-10:20 Nikolaus Hautsch Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information.
10:20-10:50 Coffee break
10:50-11:30 Jeroen Rombouts Modelling variance risk premia via variance swap payoffs.
11:30-12:10 Mathieu Rosenbaum Rough Heston model: Pricing, hedging and microstructural foundations.
12:10-13:20 Lunch break
13:20-14:00 Andrew Patton Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk).
14:00-14:40 Christian Gouriéroux Pairwise Analysis of High Dimensional Stochastic Volatility with Market Benchmark.
14:40-15:10 Coffee break
15:10-15:50 Thaleia Zariphopoulou Mean field and n-agent games for optimal investment under relative performance criteria.
17:15 Bernoulli Lecture Systemic Risk with Endogenous Cycles by Robert Engle.
This lecture will take place at the Anthropole - Room 1031 (Unil campus - Quartier Dorigny).
Followed by an apéritif.

Friday 2 June
09:00-09:40 Eric Renault Indirect Inference With(Out) Constraints.
09:40-10:20 Martin Schweizer Semi-efficient markets and option prices.
10:20-10:50 Coffee break
10:50-11:30 Esther Ruiz Ortega Asymmetric stochastic volatility modes: properties and ABC estimation.
11:30-12:10 Albert Shiryaev Optimal stopping procedures in financial models with disorder of trends(drift-bubbles).