Fields-CFI Conference on Optimal Stopping and Its Applications in Finance and Insurance
Description
Problems of optimal stopping are a fundamental tool in both the theory and application of mathematics to finance and insurance. Researchers in the field address these problems through techniques from probability, partial differential equations, analysis, numerical methods and machine learning. The aim of this conference is to bring together leading researchers from across the world on this important topic to discuss recent results, open problems, and directions in the field.
Schedule
| 09:15 to 09:30 |
Introduction and Opening Remarks
|
| 09:30 to 10:00 |
F. Thomas Bruss, Université Libre de Bruxelles |
| 10:00 to 10:30 |
Xunyu Zhou, Columbia University |
| 10:30 to 11:00 |
Coffee Break
|
| 11:00 to 11:30 |
Alessandro Milazzo, University of Torino |
| 11:30 to 12:00 |
Anne MacKay, University of Sherbrooke |
| 12:00 to 13:30 |
Lunch (On Your Own)
|
| 13:30 to 14:00 |
Goran Peskir, University of Manchester |
| 14:00 to 14:30 |
Peter Bank, Technical University of Berlin |
| 14:30 to 15:00 |
Coffee Break
|
| 15:00 to 15:30 |
Optimal Stopping of Diffusion Spiders
Paavo Salminen, Åbo Akademi University |
| 15:30 to 16:00 |
Optimal stopping of Gauss-Markov processes with random terminal value
Abel Guada Azze, Cunef Universidad |
| 16:00 to 16:30 |
Optimal Prediction of the End of Long-Term Financial Distress of Brownian Motion Models
Jose M. Pedraza Ramirez, University of Manchester |
| 16:30 to 18:00 |
Reception
|
| 09:30 to 10:00 |
Yuqiong Wang, University of Michigan, Ann Arbor |
| 10:00 to 10:30 |
Alexander Cox, University of Bath |
| 10:30 to 11:00 |
Coffee Break
|
| 11:00 to 11:30 |
Ernesto Mordecki, Universidad de la República |
| 11:30 to 12:00 |
Sören Christensen, University of Kiel |
| 12:00 to 13:30 |
Lunch (On Your Own)
|
| 13:30 to 14:00 |
Title TBA
David Hobson, University of Warwick |
| 14:00 to 14:30 |
Title TBA
Mathias Beiglböck, University of Vienna |
| 14:30 to 15:00 |
Coffee Break
|
| 15:00 to 15:30 |
Title TBA
|
| 15:30 to 16:00 |
Impulse Control Under Poisson Timing Constraints
Luis Álvarez Esteban, University of Turku |
| 18:00 to 20:00 |
Conference Dinner at Prenup Pub (191 College St, Toronto, ON M5T 1P9)
|
| 09:30 to 10:00 |
Title TBA
Philip Ernst, Imperial College London |
| 10:00 to 10:30 |
Tiziano De Angelis, University of Turin & Collegio Carlo Alberto |
| 10:30 to 11:00 |
Coffee Break
|
| 11:00 to 11:30 |
Mihail Zervos, London School of Economics |
| 11:30 to 12:00 |
Pavel Gapeev, London School of Economics |
| 12:00 to 13:30 |
Lunch (On Your Own)
|
| 13:30 to 14:00 |
Multi-dimensional Optimal Stopping Problems in Credit Risk Modelling
Kristoffer Glover, University of Technology Sydney |
| 14:00 to 14:30 |
Title TBA
Alexander Gnedin, Queen Mary University |
| 14:30 to 15:00 |
Coffee Break
|
| 15:00 to 15:30 |
Title TBA
Yerkin Kitapbayev, Khalifa University |
| 15:30 to 16:00 |
Title TBA
Miryana Grigorova, University of Warwick |
