BACHELIER FINANCE SOCIETY











 PROGRAM WIH PRESENTATIONS
June 22 - Tuesday
Opening Plenary Session (Toronto I/II)
16:30-16:45 Welcome & Introductions
16:45-18:00 Plenary Lecture - Dilip Madan
Conic Finance and Accounting: The Static Case
(presentation not available)
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:Jean-Pierre Fouque
BSDEs
Chair:Traian Pirvu
11:00

Theme Speaker
Bank, P.

Market indifference prices

11:25

170
Kou, S.
What Is a Good External Risk Measure..
(no presentation available)

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:Jean-Pierre 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 Worst-Case Crash Scenarios: A Martingale Approach

14:35
15:00
Theme Speaker Schachermayer,W
(presentation not available)
 
15:25
379
Werner, R.
(unable to attend)
   
15:50-16:20 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
Theme Speaker
Linetsky.V
@ 16:57
.
(cancelled)
17:10
 
17:35
18:00

288
Tashman, A
Portfolio Optimization Under a Stressed-Beta Model
(unable to attend)

 

410
Surkov, V
Efficient Construction of Robust Hedging Strategies under Jump Models
(presentation not available)
 

 

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.

Varley

Credit Risk
Portfolio Optimization
Risk Measures
Computational Finance
Options and Futures
BSDEs
11:00

Theme Speaker
Li, H. ( moved to Sat. Jun 26-Thompson)

11:25

 

470
Yildirim, Y.
Subprime Default Contagion
(presentation not available)
11:50  
12:15
Theme Speaker
Matoussi, Anis

Quadratic BSDE's with jumps and exponential utility maximization problem for portfolio with defaults
(presentation not available)

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.

Varley

Credit Risk
Portfolio Optimization
High Frequency Trading
Computational Finance
Options and Futures
Stochastic Control
14:10

96
Crépey, S
Delta-hedging Correlation Risk
(presentation not available)

14:35
350
Li, L
Commodity Derivative Models with Mean-Reverting Jumps and ...
(presentation not available)
15:00
15:25
15:50-16:20 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 Multi-Downgrade
Protection

36
Dai, M
Trend Following Trading under a Regime Switching Model
(presentation not available)
16:45
17:10
103
Vellekoop, M
Sahara Utility and Optimal Investment
(presentation not available)
 
331
Baurdoux, E
The Shepp–Shiryaev stochastic game driven by a spectrally negative Lévy
process (presentation not available)
17:35
June 25 Friday
Toronto I/II
8:30

Plenary Speaker
Jean-Philippe 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 Frey, R.
Optimal Securitization of Credit Portfolios via Impulse Control

11:25
11:50
 
294
Sircar, R
Games with Exhaustible Resources
(presentation not available)
12:15
Theme Speaker Glasserman, Paul
Pricing Contingent Capital with Continuous Conversion
(presentation not available)
Theme Speaker
Grenadier,
S.
(presentation not available)

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
316
Schmidt, T
Market Models for CDOs driven by time-inhomogeneous Levy processes
(presentation not available)
263
Zhou, X.
Greed, Leverage, and Potential Losses: A Prospect Theory Perspective
(presentation not available)
465
Chun, A. L.
A Forward-Looking Model Of The Term Structure Of Interest Rates
(presentation not available)
247
Pistorius, M.
(talk cancelled)

41
Nishide, K.
Optimal Investment Timing With Linearly Additive Geometric Brownian
Motions: The General Case
(presentation not available)

15:25
15:50-16:20 COFFEE BREAK Toronto III & Johnston
 
Credit Risk
Portfolio Optimization
Insurance
Interest rates
Options and Futures
Real Options
16:20
16:45
17:10
390
Golbeck, S.
Asset Financing With Default Risk
(presentation not available)
17:35
18:00
 
 
 
June 26 Saturday
Toronto I/II
8:30

Plenary Speaker - Damir Filipovic
Quadratic Variance Swap Models: Theory and Evidence

 
Toronto I/II
Carmichael/
Jackson
T. Thompson
Osgoode
3 fl.
GG Suite
2nd fl.

Varley

Credit Risk
Portfolio Optimization
Stochastic Volatility
Computational Finance
Interest Rates
Commodities
9:35
10:00
10:30 - 11:00 COFFEE Toronto III & Johnston
 
Credit Risk
Portfolio Optimization
Stochastic Volatility
Stochastic Analsysis
Options and Futures
Real Options
11:00
11:25

Theme Speaker
Berndt,
A.
@ 11:37
On Correlation and Default Clustering in Credit Markets

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
(50)

 
Credit Risk
Portfolio Optimization
Stochastic Volatility
Stochastic Analysis
Systemic Risk/Liquidity
Commodities
14:10
14:35

203
Boudreault, Mathieu,
On the non-linear relationship between default intensity and leverage

456
Muthuraman, K.
Commodity Storage Valuation
(prsentation not available)
15:00
   
15:25
358
Wong, H. Y.
Mean-Variance Portfolio Selection Of Co-Integrated Assets
(presentation not available)
Theme Speaker
Li, H

No Arbitrage Taylor Rules
with Switching Regimes
(presentation not available)
15:50-16:20 COFFEE BREAK Toronto III & Johnston
 
Credit Risk
Interest Rates
Stochastic Volatility
Stochastic Analysis
Systemic / Liquidity

Commodities
16:20

408
Grbac, Z.
Rating Based Lévy Libor Model

466
Maalaoui Chun, O.
Detecting Regime Shifts in Corporate Credit Spreads
(presentation not available)
16:45
116
Papapantoleon, A.
A New Approach To LIBOR Modeling
(presentation not available)
17:20
18:20
Closing Remarks
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