Talks schedule
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Thursday, September 9
Room E, National Pedagogical University| Afternoon session, chairman: V. Steblovskaya | ||
| 1430-1500 | A. Langnau A dynamic model for correlation | |
| 1500-1530 | A. Swischuk Stochastic volatility and change of time: overview | |
| 1530-1550 | G. Shevchenko Arbitrage in a model with an expenditure on the portfolio value | |
| 1550-1620 | Y. Dolinsky Applications of weak convergence for partial hedging of American options | |
| 1620-1640 | Yu. Mishura Long-range dependence and financial market models | |
| 1640-1700 | J. Gáll Model selection, statistical questions in some financial models | |
Friday, September 10
Room E, National Pedagogical University| Afternoon session, chairman: Y. Dolinsky | ||
| 1430-1500 | V. Steblovskaya Pricing and hedging of equity-linked life insurance products in discrete incomplete market | |
| 1500-1520 | M. Romadanova, Ya. Belopolskaya American option pricing in various financial market models | |
| 1520-1540 | I. Morozov On an extension of the class of admissible trading strategies in the robust utility maximization problem | |
| 1540-1600 | S. Petherick Fractal activity time risky asset models with dependence | |
| 1600-1620 | M. Bratyk On convergence of maximal success probability in the quantile hedging problem for price process model involving Brownian and fractional Brownian motions | |