
PROGRAM
WITH ABSTRACTS





June
22  Tuesday

15:0016:30 
Congress
Registration at the Toronto Hilton 
Opening
Plenary Session (Toronto
I/II) 
16:3016:45 
Welcome
& Introductions 
16:4518:00

Plenary
Lecture  Dilip
Madan
Conic Finance
and Accounting: The Static Case 
18:0020:00 
Welcome
Reception Congress lobby


June
23 Wednesday

Toronto
I/II

8:30

Plenary
Speaker Rene Carmona
TBA
Chair: Nizar Touzi

Toronto
I/II

9:30


10:30
 11:00 COFFEE Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley

Portfolio
Optimization
Chair:
Martin Schweizer

Stochastic
Volatility
Chair:Knut
Solna

Risk
Measures
Chair:Freddy
Delbaen

Computational
Finance
Chair:
Dilip
Madan

Options
and Futures
Chair:JeanPierre
Fouque

BSDEs
Chair:Traian
Pirvu

11:00

Theme
Speaker
Bank, P.
Market indifference prices






11:25

Theme
Speaker
Choulli,Tahir
@ 11:37
Exponential Hedging under Variable Horizons






11:50







12:15







12:40
 14:10 LUNCH Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley

Portfolio
Optimization
Chair:Traian
Pirvu

Stochastic
Volatility
Chair:JeanPierre
Fouque

Risk
Measures
Chair:Patrick
Cheridito

Computational
Finance
Chair:Alexander
Mijatovic

Options
and Futures
Chair:Peter
Carr

Stochastic
Control
Chair:Matheus
Grasselli

14:10

244
Seifried, F
Optimal Investment for WorstCase Crash Scenarios: A Martingale
Approach






14:35







15:00







15:25







15:5016:20
COFFEE BREAK Toronto III &
Johnston


Portfolio
Optimization
Chair:Martin
Schweizer

Stochastic
Volatility
Chair:Bruno
Dupire

Risk
Measures
Chair:Marco
Frittelli

Computational
Finance
Chair:Alexey
Kuznetsov

Options
and Futures
Chair:Peter
Carr

Stochastic
Control
Chair:Erhan
Bayraktar

16:20

52
He, X.
Hope, Fear and Aspiration






16:45







17:10







17:35







18:00





443
Amini, H
Contagious Defaults in Financial Networks: an Asymptotic
Analysis



June
24 Thursday

Toronto
I/II

8:30

Plenary
Speaker  Bruno
Dupire,
Functional Itô Calculus and Applications

Toronto
I/II

9:30


10:30
 11:00 COFFEE Toronto III & Johnston 

Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.


Credit
Risk

Portfolio
Optimization

Risk
Measures

Computational
Finance

Options
and Futures

BSDEs

11:00 






11:25 






11:50 






12:15 






12:40
 14:10 LUNCH Toronto III & Johnston

Bachelier
Finance Society Council Meeting
12:40  14:10 (Fitzgerald Room )


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.


Credit
Risk

Portfolio
Optimization

High
Frequency Trading

Computational
Finance

Options
and Futures

Stochastic
Control

14:10 
96
Crépey, S
Deltahedging Correlation Risk






14:35 






15:00 






15:25 






15:5016:20
COFFEE BREAK Toronto III &
Johnston 

Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Computational
Finance

Options
and Futures

Stochastic
Control

16:20 
77
Nakagawa, H
Modeling of Contagious Downgrades and Its Application
to MultiDowngrade
Protection






16:45 






17:10 




331
Baurdoux, E
(cancelled)


17:35 






Congress
Banquet at the Toronto Board of Trade
(tickets required) Reception 19:0020:00, Dinner 20:00 

June
25 Friday

Toronto
I/II

8:30

Plenary
Speaker
JeanPhilippe Bouchaud

Toronto
I/II

9:30


10:30
 11:00 COFFEE Toronto III & Johnston


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley


Credit
Risk

Portfolio
Optimization

Stochastic
Volatility

Computational
Finance

Options
and Futures

Real
Options

11:00

Theme
Speaker Speaker Frey, R.
Optimal Securitization of Credit Portfolios via Impulse
Control






11:25







11:50







12:15







12:40
 14:10 LUNCH Toronto III & Johnston
13:10 14:10 Bachelier Finance Society General Assembly
Toronto
I/II


Toronto I/II

Carmichael/
Jackson

T.
Thompson

Osgoode
3 fl.

GG
Suite
2nd fl.

Varley


Credit
Risk

Portfolio
Optimization

Econometrics

Interest
rates

Options
and Futures

Real
Options

14:10

178
Peng, X
Default Clustering and Valuation of Collateralized Debt
Obligations






14:35







15:00





247
Pistorius, M.
(cancelled)


15:25







15:5016:20
COFFEE BREAK Toronto III &
Johnston


Credit
Risk

Portfolio
Optimization

Insurance

Interest
rates

Options
and Futures

Real
Options

16:20







16:45







17:10







17:35







18:00 









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