Talks schedule

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Thursday, September 9

Room E, National Pedagogical University
Afternoon session, chairman: V. Steblovskaya
1430-1500A. Langnau A dynamic model for correlation
1500-1530A. Swischuk Stochastic volatility and change of time: overview
1530-1550G. Shevchenko Arbitrage in a model with an expenditure on the portfolio value
1550-1620Y. Dolinsky Applications of weak convergence for partial hedging of American options
1620-1640Yu. Mishura Long-range dependence and financial market models
1640-1700J. Gáll Model selection, statistical questions in some financial models

Friday, September 10

Room E, National Pedagogical University
Afternoon session, chairman: Y. Dolinsky
1430-1500V. Steblovskaya Pricing and hedging of equity-linked life insurance products in discrete incomplete market
1500-1520M. Romadanova, Ya. Belopolskaya American option pricing in various financial market models
1520-1540I. Morozov On an extension of the class of admissible trading strategies in the robust utility maximization problem
1540-1600S. Petherick Fractal activity time risky asset models with dependence
1600-1620M. Bratyk On convergence of maximal success probability in the quantile hedging problem for price process model involving Brownian and fractional Brownian motions