MS-Th-BC-53
Modeling in Finance beyond classical paradigms

Date: August 13
Time: 10:00--12:00
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Ludkovski, Mike (UC Santa Barbara)
Teichmann, Josef (ETH Zurich)
Cuchiero, Christa (Univ. of Vienna)

Abstract: Moving beyond the classical frameworks, like purely semimartingale based models, or no arbitrage theory with fixed probability spaces and a small number of assets, this minisymposium presents new directions to robust financial
modeling: novel empirically sound approaches to model volatility, robust pricing to quantify model uncertainty and (no) arbitrage considerations in large financial markets.


MS-Th-BC-53-1
10:00--10:30
Volatility is rough
Rosenbaum, Mathieu (Univ. Paris 6)


MS-Th-BC-53-2
10:30--11:00
Robust pricing by informed investors
Acciaio, Beatrice (LSE)


MS-Th-BC-53-3
11:00--11:30
A new perspective on the fundamental theorem of asset pricing for large financial markets
Cuchiero, Christa (Univ. of Vienna)


MS-Th-BC-53-4
11:30--12:00
Model-Independent Finance, Optimal Transport and Skorokhod Embedding
Stebegg, Florian (Universität Wien)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA