PRIN Conference Stochastic Methods in Finance

PRIN Conference
Stochastic Methods in Finance
Turin, 3-5 July 2008
Preliminary Program
Program Overview
9.00
9.25
9.50
10.15
10.40
11.10
11.35
12.00
12.25
12.50
14.30
14.55
15.20
15.45
16.10
16.40
17.05
17.30
17.55
18.30
20.30
Pratelli
Costantini
Rosazza
De Marco
Coffee break
Fischer
Caramellino
Scotti
Baccarin
Sempi
Durante
Foschi
Prosdocimi
Coffee break
Vargiolu
Callegaro
Fontana
Scandolo
Lunch
Marinacci
Torrisi
Millossovich
Macci
Coffee break
Giuliano
Abundo
Önalan
Semeraro
Meeting
Social Dinner
Guasoni
Guasoni
Mania
Mania
Coffee break
Becherer
Becherer
Henderson
Henderson
Detailed Program
Thursday, 3rd July
Lecture Room 1
Session 1: 14.30-16.10
Chair: Wolfgang Runggaldier (Università di Padova)
14.30-14.55
Speaker: Maurizio Pratelli (Università di Pisa)
Title: TBA
14.55-15.20
Speaker: Cristina Costantini (University di Chieti-Pescara)
Title: Existence, uniqueness and regularity of viscosity solutions for some degenerate valuation
equations
15.20-15.45
Speaker: Emanuela Rosazza Gianin (Università di Napoli Federico II)
Titolo: Representation of the penalty term of dynamic concave utilities
15.45-16.10
Speaker: Stefano De Marco (Scuola Normale Superiore, Pisa)
Titolo: Smoothness of laws of diffusions with singular coefficients and applications to financial
models
16.10-16.40 Coffee Break
Session 2: 16.40-18.20
Chair: Carlo Sempi (Università di Lecce)
16.40-17.05
Speaker: Markus Fischer (Humboldt University Berlin & University of Heidelberg)
Title: On the numerical solution of high-dimensional optimal control problems: approximate
dynamic programming and Smolyak's algorithm
17.05-17.30
Speaker: Lucia Caramellino (Università di Roma Tor Vergata)
Title: Large deviation estimates of the crossing probability for pinned Gaussian processes
17.30-17.55
Speaker: Simone Scotti (CERMICS-Ecole Nationale des Ponts et Chaussées & Università di
Torino)
Title: Non-Liquid Assets and Error Theory
17.55-18.20
Speaker: Stefano Baccarin (Università di Torino)
Title: Optimal impulse control to maximize lifetime utility from consumption of a geometric
Brownian motion
Friday, 4th July
Lecture Room 1
Session 3: 9.00-10.40
Chair: Franco Pellerey (Politecnico di Torino)
9.00-9.25
Speaker: Carlo Sempi (Università di Lecce)
Title: Measures of non–exchangeability for bivariate random vectors
9.25-9.50
Speaker: Fabrizio Durante (Johannes Kepler University, Linz)
Title: Evolution of the dependence structure for tail events
9.50-10.15
Speaker: Rachele Foschi (Università di Rome La Sapienza)
Title: Evolution of survival copulas under longitudinal observation of dependent default times
10.15-10.40
Speaker: Cecilia Prosdocimi (Università di Padova)
Title: Partially Exchangeable Hidden Markov Models
10.40-11.10: Coffee Break
Session 4: 11.10-12.50
Chair: Cristina Costantini (Università di Chieti-Pescara)
11.10-11.35
Speaker: Tiziano Vargiolu (Università di Padova)
Title: Optimal prepayment rule for mortgage-backed securities
11.35-12.00
Speaker: Giorgia Callegaro (Scuola Normale Superiore, Pisa & Université d'Evry Val d'Essonne)
Title: Computing VaR and CVaR for energy derivatives
12.00-12.25
Speaker: Claudio Fontana (Università di Padova)
Title: Credit risk and incomplete information: linear filtering and EM parameter estimation
12.25-12.50
Speaker: Giacomo Scandolo (Università di Firenze)
Title: A new approach for valuing a portfolio of illiquid assets
12.50-14.30: Lunch
Session 5: 14.30-16.10
Chair: Paolo Baldi (Università di Roma Tor Vergata)
14.30-14.55
Speaker: Massimo Marinacci (Università di Torino & Collegio Carlo Alberto)
Title: On the computation of optimal monotone mean-variance portfolios via truncated quadratic
utility
14.55-15.20
Speaker: Giovanni Luca Torrisi (Istituto per le Applicazioni del Calcolo CNR, Roma)
Title: A class of risk processes with delayed claims: ruin probabilities estimates under heavy-tail
conditions
15.20-15.45
Speaker: Pietro Millossovich (Università di Trieste)
Title: Regression-based algorithms for life insurance contracts with surrender guarantees
15.45-16.10
Speaker: Claudio Macci (Università di Roma Tor Vergata)
Title: On the large deviations of a class of modulated additive processes
16.10-16.40: Coffee Break
Session 6: 16.40-18.20
Chair: Michael Mania (A. Razmadze Mathematical Institute Tbilisi, Georgia)
16.40-17.05
Speaker: Rita Giuliano (Università di Pisa)
Title: A Strong “Local” Law of Large Numbers and an Almost Sure “Local” Limit Theorem
17.05-17.30
Speaker: Mario Abundo (Università di Roma Tor Vergata)
Title: First passage problems for asymmetric diffusions
17.30-17.55
Speaker: Ömer Önalan (Marmara University, Turkey)
Title: Pure Jump Lévy Processes and Self-decomposability in Financial Modelling
17.55-18.20
Speaker: Patrizia Semeraro (Università di Torino)
Title: Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
18.30-19.30: Organizational Meeting of the PRIN Project
20.30: Social Dinner
Saturday, 5th July
Sala d’onore
Session 7: 9.00-10.40
Chair: Maurizio Pratelli (Università di Pisa)
9.00-9.50
Speaker: Paolo Guasoni (Boston University)
Title: Portfolios and Risk Premia for the Long Run
9.50-10.40
Speaker: Michael Mania (A. Razmadze Mathematical Institute Tbilisi, Georgia)
Title: L2-approximating pricing under restricted information
10.40-11.10: Coffee Break
Session 8: 11.10-12.50
Chair: Marco Frittelli (Università di Milano)
11.10-12.00
Speaker: Dirk Becherer (Humboldt University Berlin)
Title: Optimal portfolio liquidation in illiquid markets with finite resiliency
11.50-12.50
Speaker: Vicky Henderson (University of Warwick)
Title: Liquidation of Option Portfolios