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    Conference on Current Topics in Mathematical Finance


    Thursday, April 18
    09:10-10:00Tomas Björk (Stockholm School of Economics) (Abstract / Slides): Time Inconsistent Control
    10:00-10:45Martin Larsson (EPFL Lausanne) (Abstract / Slides): Polynomial Term Structure Models
    10:45-11:15Coffee Break
    11:15-12:00Stéphane Crépey (Université d'Evry) (Abstract / Slides): A multiple-curve CVA interest rate model
    12:00-12:45Eva Lütkebohmert (Universität Freiburg) (Abstract): An Integrated Structural Model for Market, Credit and Liquidity Risk
    14:15-15:00Thorsten Schmidt (TU Chemnitz) (Abstract / Slides): Filtering in Finance: Theory and Numerics
    15:00-15:45Michal Barski (Universität Leipzig) (Abstract / Slides): Arbitrage Free Modelling of the Bond Market
    15:45-16:25Coffee Break (with Poster Session)
    16:25-17:10Agatha Murgoci (Copenhagen Business School) (Abstract / Slides): Convexity Adjustments for ATS models
    17:10-18:00Rama Cont (Imperial College, London) (Abstract / Slides): Dynamics of Limit order markets: a Journey across time scales
    19:00 Dinner
    Heuriger Schübel-Auer

    Friday, April 19

    09:00-09:45Dirk Becherer (Humboldt Universität Berlin) (Abstract): Portfolio Optimization under Model Uncertainty with Incomplete Preferences
    09:45-10:30Andrea Macrina (University College London) (Abstract / Slides): Heat Kernel Framework for Asset Pricing in Finite Time
    10:30-11:10Coffee Break (with Poster Session)
    11:10-11:55Michael Monoyios (University of Oxford) (Abstract / Slides): Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
    11:55-12:45Walter Schachermayer (Universität Wien) (Abstract / Slides): Portfolio Optimisation under Transaction Costs
    12:45Sandwich Lunch