Session 2: Financial Theory and Practice (Chair, Jan Obłój). | ||
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Time | Subject | |
08:30 – 09:10 | Invited Lecture: Carole Bernard (together with G. Junike, T. Lux and S. Vanduffel) | |
09:10 – 09:30 | B. Dong, W. Xu Joint Implied Willow Tree: an approach for joint S and P 500/VIX Calibration | |
09:30 – 09:50 | M. Bladt | |
09:50 – 10:10 | S. Desmettre, S. Hochgerner A Mean-Field Extension of the LIBOR Market Model for the Valuation of Long-Term Guarantees | |
10:10 – 11:00 | Break | |
11:00 – 11:20 | M. Augustyaniak, Alexandru Badescu, J. F. Begin, S. K. Jayaraman On the relation between discrete and continuous-time affine option pricing models | |
11:20 – 11:40 | M. Augustyniak, A. Badescu, J. F. Begin A Discrete-Time Hedging Framework for Econometric Option Pricing Models | |
11:40 – 12:00 | M. Kelner, Z. Landsman, E. Makov | |
12:00 – 12:20 | D. G, Konstantinides, C. D. Passalidis Closure properties and heavy tails: random vectors in the presence of dependence | |
12:20 – 12:40 | M. V. Boutsikas, D. J. Economides Perpetual American Options in a jump-diffusion model with random inspection | |
12:40 – 13:00 | P. Gapeev, G Peskir Perpetual American Options in Two-Dimensional Diffusion Model | |
13:10 – 13:40 | Meeting of the Organizing Committee | |
12th Conference in Actuarial Science & Finance on Samos
The Department of Statistics and Actuarial – Financial Mathematics of the University of the Aegean is pleased to host the 12th Conference in Actuarial Science & Finance on Samos