| Session 2: Financial Theory and Practice (Chair, Łukasz Delong). | ||
Time | Subject | |
| 08:30 – 09:10 | Invited Lecture: Julien Guyon Fi Reconciling P- and Q-Calibration: The Discrete-Time 4-Factor Path-Dependent Volatility Model | |
| 09:10 – 09:30 | S. Asmussen, M. Bladt, P. F. H. Olsen Fitting financial phase-type jump diffusions | |
| 09:30 – 09:50 | F. Aichinger, S. Desmettre Pricing of geometric Asian options in the Volterra-Heston model | |
| 09:50 – 10:10 | G. Ferrari, T. N. Schuetz Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model | |
| 10:10 – 11:00 | Break | |
| 11:00 – 11:20 | P. Gapeev Perpetual commodity equities in extended Kalman-Bucy linear filtering models for convenience yields | |
| 11:20 – 11:40 | A. Riis – Due Equilibrium Reinsurance and Investment Under the Mean Variance Skewness Criteria | |
| 11:40 – 12:00 | J. Ma, C. Wang, W. Xu Local Risk Minimization for Americal Options under Stochastic Early Exercise and Transaction Costs | |
| 12:10 – 13:00 | Meeting of the Organizing Committee | |
13th 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