{"id":1538,"date":"2024-03-27T13:41:47","date_gmt":"2024-03-27T13:41:47","guid":{"rendered":"https:\/\/actuarweb.aegean.gr\/samos2024\/?page_id=1538"},"modified":"2026-05-06T09:14:42","modified_gmt":"2026-05-06T09:14:42","slug":"tuesday-12th","status":"publish","type":"page","link":"https:\/\/actuarweb.aegean.gr\/samos2026\/tuesday-12th\/","title":{"rendered":"Tuesday 12th"},"content":{"rendered":"\t\t
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Session 2: <\/strong>Financial Theory and Practice<\/em> (Chair<\/em>, \u0141ukasz Delong)<\/a>.<\/td>\u00a0<\/td><\/tr>
\u00a0<\/td>\u00a0<\/td>\u00a0<\/strong><\/td><\/tr>

\u00a0Time<\/h4><\/td>

Subject<\/h4><\/td><\/tr>

08:30 \u2013 09:10<\/td>

Invited Lecture:<\/em><\/strong> Julien Guyon <\/strong><\/a><\/p>

Fi Reconciling P- and Q-Calibration: The Discrete-Time 4-Factor Path-Dependent Volatility Model<\/a><\/p><\/td><\/tr>

09:10 \u2013 09:30<\/td>S. Asmussen<\/strong>,<\/span> M. Bladt, P. F. H. Olsen<\/span>
Fitting financial phase-type jump diffusions<\/a><\/td><\/tr>
09:30 \u2013 09:50<\/td>

F. Aichinger, S. Desmettre<\/strong><\/p>

Pricing of geometric Asian options in the Volterra-Heston model<\/a><\/p><\/td><\/tr>

09:50 \u2013 10:10<\/td>

G. Ferrari<\/strong>, T. N. Schuetz<\/p>

Optimal consumption and portfolio choice with no-borrowing constraint\u00a0 in the Kim-Omberg model<\/a><\/p><\/td><\/tr>

10:10 \u2013 11:00<\/td>Break<\/em><\/td><\/tr>
11:00 \u2013 11:20<\/td>

P. Gapeev<\/strong><\/p>

Perpetual commodity equities in extended Kalman-Bucy linear filtering models for convenience yields<\/a><\/p><\/td><\/tr>

11:20 \u2013 11:40<\/td>

A. Riis – Due<\/strong><\/p>

Equilibrium Reinsurance and Investment Under the Mean Variance Skewness Criteria<\/a><\/p><\/td><\/tr>

11:40 \u2013 12:00<\/td>

J. Ma, C. Wang, W. Xu<\/strong><\/p>

Local Risk Minimization for Americal Options under Stochastic Early Exercise and Transaction Costs<\/a><\/p><\/td><\/tr>

12:10 \u2013 13:00<\/td>Meeting of the Organizing Committee<\/span><\/td><\/tr><\/tbody><\/table>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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\n\t\t\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t<\/i>\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\tMonday 11th<\/span>\n\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t
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\n\t\t\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t<\/i>\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\tWednesday 13th<\/span>\n\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

Session 2: Financial Theory and Practice (Chair, \u0141ukasz Delong). \u00a0 \u00a0 \u00a0 \u00a0 \u00a0Time Subject 08:30 \u2013 09:10 Invited Lecture: Julien Guyon Fi Reconciling P- and Q-Calibration: The Discrete-Time 4-Factor Path-Dependent Volatility Model 09:10 \u2013 09:30 S. Asmussen, M. Bladt, P. F. H. OlsenFitting financial phase-type jump diffusions 09:30 \u2013 09:50 F. Aichinger, S. Desmettre … <\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_eb_attr":"","footnotes":""},"class_list":["post-1538","page","type-page","status-publish","hentry"],"yoast_head":"\nTuesday 12th - 13th Conference in Actuarial Science & Finance on Samos<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/actuarweb.aegean.gr\/samos2026\/tuesday-12th\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Tuesday 12th - 13th Conference in Actuarial Science & Finance on Samos\" \/>\n<meta property=\"og:description\" content=\"Session 2: Financial Theory and Practice (Chair, \u0141ukasz Delong). \u00a0 \u00a0 \u00a0 \u00a0 \u00a0Time Subject 08:30 \u2013 09:10 Invited Lecture: Julien Guyon Fi Reconciling P- and Q-Calibration: The Discrete-Time 4-Factor Path-Dependent Volatility Model 09:10 \u2013 09:30 S. 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