Winter schools on Mathematical Finance

All minicourses

1 Tomas Björk: An introduction to interest rate theory
David Heath: Risk Measures
2 Rama Cont: Calibration of option pricing models: theory and algorithms
Marek Rutkowski: Credit Risk: Modelling, Valuation and Hedging
3 Hélyette Geman: Stochastic Time Changes, Lévy Processes and Option Pricing
Paul Glasserman: Monte Carlo Methods in Risk Management
4 Nizar Touzi: Hedging under constraints by face lifting and optimal stopping
Hanspeter Schmidli: On the Interplay between Insurance and Finance
5 Paul Embrechts: Quantitative Risk Management: Concepts, Techniques and Tools
Hans Föllmer: Probabilistic Aspects of Financial Uncertainty
6 René Carmona: Monte Carlo Methods for Financial Instruments with American Exercises
Thaleia Zariphopoulou: Portfolio Choice: Theoretical Foundations, Practice and New Directions
7 Ernst Eberlein: Lévy driven financial models
Ragnar Norberg: Managing risk in life insurance and pensions
8 Jérôme Detemple: Dynamic asset allocation
Georg Pflug: Risk functionals for multi-period decision problems
9 Peter Forsyth: Numerical methods for Hamilton-Jacobi-Bellman equations in Finance
Alexander Schied: Market impact models and optimal execution
10 Rüdiger Kiesel: Modelling Energy Markets
Bernt Øksendal: Malliavin calculus for Lévy processes and applications to finance
11 Tom Hurd: Introduction to financial networks and systemic risk
Alexander Lipton: Applications of classical mathematical methods in finance
12 Mike Giles: Adjoint methods for option pricing, Greeks and calibration using PDEs and SDEs
Xunyu Zhou: Mathematical behavioural finance
13 Pierre Henry-Labordère: Martingale optimal transport: a nice ride in Finance
Eckhard Platen: A benchmark approach to investing, pricing and hedging
14 Damiano Brigo: Nonlinear valuation under credit gap risk, collateral initial and variation margins, funding costs and multiple curves
Ludger Rüschendorf: Dependence, risk bounds, optimal allocations and portfolios
15 Dirk Becherer: Model uncertainty and market impact
Fred Espen Benth: Analysis of futures price models in commodity and energy markets
16 Damir Filipović: Polynomial models in finance
Jan Kallsen: Portfolio choice, pricing, and hedging under small frictions
17 Emmanuel Gobet: Nested extreme risks in finance: regression Monte-Carlo, MCMC, stochastic algorithms
Sebastian Jaimungal: Algorithmic and high-frequency trading
18 Jim Gatheral: Rough volatility
Paolo Guasoni: Long term investments
19 Peter Bank: Dealing with market frictions: some challenges for stochastic analysis and optimal control
Bruno Bouchard: Hedging in market models with linear price impact
Winter Seminar
No mini courses

All special invited lectures

1 Stewart Hodges: No Good Deal Bounds
Antoon Pelsser: Mathematical Foundation of Convexity Correction
Chris Rogers: Monte Carlo Valuation of American Options
2 Damiano Brigo: Volatility-Smile Modeling with Density-Mixture Stochastic Differential Equations
Dilip Madan: Purely Discontinuous Processes in Asset Pricing
Jan Kallsen: Risk Management Based on Stochastic Volatility
3 Rüdiger Frey: On Dynamic Models for Portfolio Credit Risk and Credit Contagion
Wolfgang Runggaldier: Estimation via stochastic filtering in financial market models
Uwe Wystup: FX exotics and the relevance of computational methods in their pricing and risk management
4 Damir Filipovic: Risk-based solvency testing for insurers
Marco Frittelli: On utility maximization in incomplete markets
Farshid Jamshidian: Numeraire-invariant option pricing & american, bermudan, and trigger stream rollover
5 Lane Hughston: Information-based approach to credit risk modelling
Monique Jeanblanc: Pricing And Trading Credit Default Swaps
Fabio Mercurio: Pricing Inflation-Indexed Options with Stochastic Volatility
6 Thomas Mikosch: Extremes of financial time series
John Schoenmakers: Policy iteration for American/Bermudan style derivatives
Albert Shiryaev: On the duality principle in option pricing for semimartingale models
7 Andreas Kyprianou: Scale functions and spectrally negative Lévy processes
Uwe Schmock: Risk aggregation, numerical stability and a variation of Panjer's recursion
Michèle Vanmaele: Comonotonicity applied in finance
8 Piotr Karasinski: Mindless fitting?
Damien Lamberton: Some option pricing problems in exponential Lévy models
Martin Schweizer: New insights into exponential utility indifference valuation
9 Pauline Barrieu: Robust asset allocation under model uncertainty
Mark Davis: Risk-sensitive asset management with jump-diffusion price processes
Peter Tankov: Discrete hedging in exponential Lévy models
10 Hansjoerg Albrecher: Solvency modelling with dependent risks
Gilles Pagès: Dual quantization methods and application to Finance
Johan Tysk: Boundary behaviour of densities for non-negative diffusions
11 Elyès Jouini: Financial markets equilibrium with heterogeneous agents (cancelled)
Yuri Kabanov: On local martingale deflators and market portfolios
Josef Teichmann: Finite dimensional realizations for the CNKK-volatility surface model
12 Pierre Collin-Dufresne: Insider trading, stochastic liquidity and equilibrium prices
Karel in 't Hout: Alternating direction implicit schemes for multi-dimensional PDEs in finance
Ronnie Sircar: Portfolio optimization & stochastic volatility asymptotics
13 Jesper Andreasen: Model independent Greeks
David Hobson: Gambling in contests
Agnès Sulem: Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
14 Christian Bender: Primal-dual Monte-Carlo methods for nonlinear pricing problems
Freddy Delbaen: Monetary utility functions with the CxLS (convex level sets) property
Matheus Grasselli: A stock-flow consistent macroeconomic model for asset price bubbles
15 Nicole Bäuerle: Markov decision processes with applications to finance
Sara Biagini: Robust portfolio selection
Thorsten Schmidt: Dynamic term structure theory (cancelled)
16 Erhan Bayraktar: No-arbitrage and hedging with liquid American options
Thorsten Schmidt: A new perspective on multiple curve models
Wim Schoutens: Applied conic finance
17 Beatrice Acciaio: Non-anticipative optimal transport: a powerful tool in stochastic optimization
Giulia Di Nunno: Fully dynamic risk-indifference pricing and no-good-deal bounds
Martino Grasselli: Quantization meets fourier: a new technology for pricing options
18 Jean-Philippe Bouchaud: Market impact: a review
Stéphane Crépey: When capital is a funding source: the XVA anticipated BSDEs
Roger Lord: Optimal contours and controls in semi-analytical option pricing revisited
19 René Aïd: Optimal electricity demand response contracting with responsiveness incentives
Martin Keller-Ressel: Total positivity and the shape of the yield curve
Vladimir Piterbarg: The classical optimal investment problem: modern models and deep learning
online Christa Cuchiero: Signature SDEs as affine and polynomial processes
Blanka Horvath: Data-driven market simulators and some simple applications of signature kernel methods in mathematical finance
Jan Obłój: Sensitivity analysis for Wasserstein Distributionally Robust Optimization and its applications
Gilles Pagès: Functional convex ordering of stochastic processes : a constructive approach
Mitja Stadje: Hedging and optimal portfolio choice under endogenous permanent market impacts

All short contributions

1 Joost Driessen: The Cross-Firm Behaviour of Credit Spread Term Structures
Jiri Hoogland: Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk
Jeroen Kerkhof: A Quantitative Assessment of Model Risk
Pieter Klaassen: Loan maturity, economic cycles and bank insolvency risk
Martijn Pistorius: Option pricing under a phase type model
Michel Vellekoop: Pricing Methods for Defaultable Assets
2 Steffan Berridge: An irregular grid method for pricing high-dimensional American options
Dominique Dupont: Hedging barrier options: current methods and alternatives
André Lucas: Extreme tails for linear portfolio credit risk models
Berend Roorda: Dynamic aspects of coherent acceptability measures
3 Remco Peters: Structural Breaks in the Time Change of the S&P 500 index
Antoine van der Ploeg: A State Space Approach to the Estimation of Multi-Factor Affine Stochastic Volatility Option Pricing Models
Raoul Pietersz: Projection Iteration Calibration of the Libor BGM Model
Alessandro Sbuelz: Equilibrium Asset Pricing with Time-Varying Pessimism
4 Bart Oldenkamp: The practice of financial theory
Sophie Ladoucette: Reinsurance of large claims
David Schrager: Affine Stochastic Mortality
Alex Zilber: FX barriers with smile dynamics
5 Otto van Hemert: Dynamic portfolio and mortgage choice for homeowners
Ralph Koijen: Labor Income and the Demand for Long-Term Bonds
Roger Laeven: On the tail probability for discounted sums of heavy-tailed losses
Roger Lord: Pricing baskets, Asians and swaptions within general models
6 Jasper Anderluh: Double Sided Parisian Options
Vera Minina: The Cost of Risk in Option Hedging
Budhi Arta Surya: On Endogeneous Default Under Lévy Processes
Martijn van der Voort: An Implied Loss Model
7 Svetlana Borovkova: Modeling commodity forward curves
An Chen: Approximation solutions for indifference pricing under general utility functions
Marcel Visser: Measuring volatility
Andreas Würth: Equivalence of the minimax martingale measure
8 Jiajia Cui: Longevity risk pricing
Xinzheng Huang: Generalized beta regression models for random loss-given-default
Coen Leentvaar: Multi-asset option pricing using a parallel Fourier-based technique
Denitsa Stefanova: Dynamic correlation hedging in copula models for portfolio selection
9 Dion Bongaerts: Corporate bond liquidity and the credit spread puzzle
Alexander van Haastrecht: Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Vincent Leijdekker: Sample-path large deviations in credit risk
Mitja Stadje: Extending time-consistent risk measures from discrete time to continuous time: a convergence approach
10 Ove Göttsche: Option pricing and the cost of risk
Michiel Janssen: Portfolio optimisation with a value at risk constraint in the presence of unhedgeable risks
Roel Mehlkopf: Intergenerational risk sharing and long-run labor income risk
Enno Veerman: The affine transform formula for affine jump-diffusions with a general closed convex state space
11 Paul Gruntjes: Modeling dynamic default correlation in a Lévy world with applications to CDO pricing
Verena Hagspiel: Optimal investment strategies for product-flexible and dedicated production systems under demand uncertainty
Kolja Loebnitz: Liquidity risk meets economic capital and RAROC
Bowen Zhang: An efficient pricing method for Asian options based on Fourier cosine expansions
12 Lech Grzelak: An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Alexander de Roode: Determinants of expected inflation in affine term structure models
Marjon Ruijter: 2D-COS Method for Pricing Financial Options
Kim Volders: Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition
13 Servaas van Bilsen: Optimal consumption and investment during retirement
Zhenzhen Fan: Contagion asymmetry and the equity foreign and home biases
Jan de Kort: Optimal investment under uncertain lifetime with stochastic mortality and stochastic interest rates
Yanbin Shen: Algorithmic counterparty credit exposure for multi-asset bermudan options
14 Kees de Graaf: Efficient computation of CVA sensitivities in the finite difference Monte-Carlo method for portfolios of FX-options
Shashi Jain: The Stochastic Grid Bundling Method: Application to exposure calculations
Andrei Lalu: Asset returns with self-exciting jumps: option pricing and time-varying jump risk premia
Daniël Linders: Basket option pricing and implied correlation in a Lévy copula model
15 Hailong Bao: Multi-period risk sharing under financial fairness
Tim Boonen: Pareto optima and competitive equilibria in markets with expected and dual utility
Fei Cong: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
Asma Khedher: Model risk and robustness of quadratic hedging strategies
16 Anne Balter: Sets of indistinguishable models for robust optimisation
Qian Feng: Efficient computation of exposure profiles under real-world and risk-neutral scenarios for Bermudan swaptions
Rutger-Jan Lange: A new approach to filtering for non-linear state space models
Anton van der Stoep: A novel Monte Carlo approach to hybrid local volatility models
17 Ki Wai Chau: Stochastic grid bundling method for backward stochastic differential equations
Andrea Fontanari: Urn modelling of joint mortality and its impact on annuity contracts
Jitze Hooijsma: Long or short: how to optimally invest in variance swaps?
Rob Sperna Weiland: Feedback between credit and liquidity risk in the US corporate bond market
18 Misha van Beek: Conditional scenario generation
Anastasia Borovykh: Pricing Bermudan options under local Lévy models with default
Shuaiqiang Liu: Pricing options and computing implied volatilities using artificial neural networks
Rogier Quaedvlieg: Realized semicovariances: looking for signs of direction inside the covariance matrix
19 Arnoud den Boer: Dynamic pricing and learning
Guusje Delsing: Capital reserve management for a multi-dimensional risk model
Lingwei Kong: Hansen-Jagannathan distance in the presence of weak (proxy) factors
Sofie Reyners: Machine learning for derivative pricing: Gaussian processes vs. gradient boosting
online Ioannis Anagnostou: Financial market community detection and an application to portfolio risk modelling
Thijs Kamma: Dual formulation of the optimal consumption problem with ratio habit formation
Sven Karbach: An affine stochastic volatility model in Hilbert spaces with state-dependent jumps
Ioana Neamțu: Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?
Anna Sulima: Completeness, arbitrage and optimal portfolio strategy in an Itô-Markov additive market

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