Selected topics in mathematics of finance

Date: August 12
Time: 13:30--15:30
Room: 1-2

(Note: Click title to show the abstract.)

Stettner, Lukasz (Inst. of Mathematics Polish Acad. of Sci.)

Abstract: The aim of this symposium is to present various important aspects in mathematics of finance. The session shall consists of four lectures devoted
market with transaction costs (so called shadow price), pricing of various types of contracts: electricity American call options, multipersons contracts based on multiperiod multi-player stopping games (so called redistribution games), dividend paying securities using dynamic acceptability indices. Mathematics of finance, in particular risk theory is one of challenges of modern apllied mathematics. The minisymposium will be devoted to study pricing on various markets under uncertainty and friction. In the case of markets with proportional transaction costs we are interested to find a price (which is either a function of our current position or a random variable depending on our initial position), under which the optimal value and strategy are the same as in the case of transaction costs. Call options on electricity due to specific properties of product require special treatment. Games are used to design and evaluate financial contracts involving multiple parties. These games are shown to be weakly unilaterally competitive, and sufficient conditions are given for the existence of optimal equilibria, individual values and coalition values. Another aspect is an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices.

American contracts for power system balancing
Palczewski, Jan (Univ. of Leeds)

Construction of shadow price
Stettner, Lukasz (Inst. of Mathematics Polish Acad. of Sci.)

Arbitrage Pricing of Multi-Person Game Contingent Claims
Rutkowski, Marek (Univ. of Sydney)

Dynamic Conic Finance via Backward Stochastic Difference Equations
Bielecki, Tomasz (Illinois Inst. of Tech.)


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