Mathematical Finance: Arbitrage and Portfolio Optimization

Videos from BIRS Workshop 14w5116

, Humboldt Universität zu Berlin
- 09:41
Spatial risk measures: local specification and phase transition
Watch video | Download video: 201405120901-Follmer.mp4 (113M)
, University of Alberta
- 10:28
Finding local equilbria by splitting multidimensional BSDEs
Watch video | Download video: 201405120947-Frei.mp4 (112M)
, London School of Economics
- 15:36
Utility indifference pricing for non-smooth payoffs in a model with non-tradable assets
Watch video | Download video: 201405121501-Campi.mp4 (93M)
, Carnegie Mellon University
- 16:28
Trading with small price impact
Watch video | Download video: 201405121547-Muhle-Karbe.mp4 (103M)
, UCL
- 17:20
Convergence of Local Supermartingales
Watch video | Download video: 201405121701-Jeanblanc.mp4 (56M)
, UCL
- 17:20
Convergence of Local Supermartingales
Watch video | Download video: 201405121701-Ruf.mp4 (63M)
, ETH Zurich
- 17:44
Novikov-type conditions for processes with jumps
Watch video | Download video: 201405121720-Jeanblanc.mp4 (69M)
, ETH Zurich
- 17:44
Novikov-type conditions for processes with jumps
Watch video | Download video: 201405121720-Larsson.mp4 (87M)
, University of California Santa Barbara
- 17:58
Some Aspects of Universal Portfolios
Watch video | Download video: 201405121745-Ichiba.mp4 (31M)
, Boston University and Dublin City University
- 10:30
The Limits of Leverage
Watch video | Download video: 201405130947-Guasoni.mp4 (144M)
, The University Of Texas at Austin
- 11:45
A new look at zero-sum stochastic differential games
Watch video | Download video: 201405131105-Sirbu.mp4 (187M)
, Carnegie Mellon University
- 12:27
Continuous Time Perpetuities and the Time Reversal of Diffusions
Watch video | Download video: 201405131153-Robertson.mp4 (165M)
, Swiss Finance Institute @ EPFL
- 15:45
Existence and uniqueness results for multi-dimensional quadratic BSDEs arising from a price impact model with exponential utility
Watch video | Download video: 201405131502-PulidoNino.mp4 (176M)
, University of Oxford
- 16:05
Robust hedging of barrier options with beliefs on implied Volatility
Watch video | Download video: 201405131550-Obloj.mp4 (69M)
, London School of Economics
- 16:21
Strong supermartingales and portfolio optimisation under transaction costs
Watch video | Download video: 201405131605-Czichowsky.mp4 (65M)
, London School of Economics
- 16:40
Equilibrium with risk averse market makers and related inverse problems
Watch video | Download video: 201405131622-Cetin.mp4 (97M)
, California Institute of Technology
- 17:45
Moral Hazard in Dynamic Risk Management
Watch video | Download video: 201405131702-Cvitanic.mp4 (105M)
, University of Bath
- 18:30
An optimal stopping approach to the n-marginal Root problem, and applications to variance options
Watch video | Download video: 201405131745-Cox.mp4 (184M)
, University Paris-Dauphine
- 09:46
Stochastic target games via regularized viscosity solutions: application to super-hedging under coefficients’ uncertainty
Watch video | Download video: 201405140901-Bouchard.mp4 (132M)
, London School of Economics
- 10:33
Existence of close to Pareto optimal incomplete Radner equilibrium
Watch video | Download video: 201405140947-Xing.mp4 (193M)
, University of Vienna
- 11:41
An optimality principle from mass transport and applications to model-independence
Watch video | Download video: 201405141100-Beiglboeck.mp4 (169M)
, Columbia University
- 12:22
Arbitrage and Duality in Discrete-Time Models
Watch video | Download video: 201405141146-Nutz.mp4 (160M)
, Carnegie Mellon University
- 10:32
Taylor approximation of incomplete Radner equilibrium models
Watch video | Download video: 201405150945-Larsen.mp4 (199M)
, University of Piraeus
- 11:45
Equilibrium in risk sharing games
Watch video | Download video: 201405151101-Anthropelos.mp4 (139M)
, University of Vienna
- 15:45
A convergence result for the Émery topology and a variant of the proof of the Fundamental Theorem of Asset Pricing
Watch video | Download video: 201405151502-Cuchiero.mp4 (121M)
, University of Pisa
- 16:05
Robust superhedging and the FTAP in con- tinuous time for continuous processes
Watch video | Download video: 201405151550-Biagini.mp4 (36M)
, Université Paris Diderot - Paris 7
- 16:36
Optimal discrete-time hedging with directional views, or how to make some money while hedging your option
Watch video | Download video: 201405151622-Tankov.mp4 (40M)
, London School of Economics
- 17:29
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Watch video | Download video: 201405151700-Acciaio.mp4 (92M)
, University d'Evry Val d'Essonne
- 17:51
Arbitrages in progressive enlargement of filtrations
Watch video | Download video: 201405151735-Jeanblanc.mp4 (47M)
, Technische Universität Berlin
- 09:43
Optimal investment with price impact
Watch video | Download video: 201405160901-Bank.mp4 (122M)
, University of Kiel
- 10:24
On portfolio optimization and indifference pricing with small transaction costs: rigorous proofs based on duality
Watch video | Download video: 201405160947-Kallsen.mp4 (133M)
, Università degli Studi di Milano
- 11:47
Robust arbitrage under uncertainty
Watch video | Download video: 201405161102-Frittelli.mp4 (128M)
, ETH Zurich
- 12:32
Some ideas on bubbly markets
Watch video | Download video: 201405161149-Schweizer.mp4 (136M)