ETH :: D-MATH :: Courses, Talks and Seminars

Group 1 (HG D3.3)	Group 2:
	9:00 - 12:30: HG G43 (Hermann-Weyl-Zimmer)
	12:30 - 17:00: ML H34.3
9:00 Antonis Papapantoleon	9:00 Martin Riesner
Symmetries and Levy term structure models	Hedging life insurance contracts in a Lévy process financial market
9:30 Wolfgang Kluge	9:30 Stefan Kassberger
Pricing of credit derivatives in the Lévy Libor model	Fair Valuation and Risk Measurement for Insurance Contracts under Levy Process Specifications
10:00 Matthias Scherer	10:00 Clemens Prestele
A structural credit risk model based on a jump diffusion	Large Portfolio Approximation and its Implications in an Elliptical Distributions Framework
10:30 Break	10:30 Break
11:00 Anne Gundel	11:00 Markus Holtz
Utility Maximization Under Model Uncertainty: An Existence Result	Valuation of Performance-Dependent Options
	11:30 Romy Krämer
	Some approaches for parameter estimation in a generalized bivariate Ornstein-Uhlenbeck model
11.50 Lunch break	12:00 Lunch break
14:00 Eric Beutner	14:00 Luitgard Veraart
On the Mean-Variance Hedging Problem under Transaction Costs and the "No-free-lunch in L^2 condition"	FX Trading
14:30 Birgit Rudloff	14:30 Johanna Neslehova
Convex Hedging in Incomplete Markets	Modeling dependence in Operational Risk
15:00 Christian Küchler	15:00 Klaus Th. Hess
Dynamic Allocation Problems in Continuous Time	Random Decomposition of Samples
15:30 Break	15:30 Break
15:55 Imen Ben Tahar	15:55 Abdelalih Gabih
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs	Portfolio Optimization under Risk Constraints in an HMM for the Stock Returns
16:25 Christina Niethammer	16:25 Arnd Pauwels
On the convergence to the exponential utility problem and its optimal portfolio	Variance-optimal hedging in affine stochastic volatility models
16:55 Break	16:55 Break

17:15 Seminar Talk Prof. Touzi (HG G43)
18:15 End of Talk
19:30 Dinner at Restaurant Ostia, Zähringerstr. 28, close to Central

Friday

Group 1: (HG D16.2)

9:00 Julian Lorenz

Risk-Averse Adaptive Execution of Portfolio Transactions

9:30 Wiebke Wittmüss

Optimal consumption under aversion against risk and ambiguity

10:00 Matthias Zocher

Multivariate Counting Processes and their Stability

10:30 Break

10:45 Olaf Menkens

Crash Hedging Strategies and Worst Case Scenario Portfolio Optimization

11:30 Adrian Gfeller

Dynamic Sensitivity Analysis in Levy Process driven models

Group 2: (HG G43 (Hermann-Weyl-Zimmer))

9:00 Sarp Kaya Acar

Optimal Capital Structure with a Jump-Diffusion Process

9:30 Taras Beletski

Inflation-Linked Products

10:00 Philippe Ehlers

The Influence of FX Risk on Credit Spreads

10:30 Break

10:45 Stefan Tappe

Finite dimensional realizations for term structure models driven by semimartingales

11:30 Johannes Wissel

Market Models for the Term Structure of Implied
Volatilities

12:00 Lunch break
13:00 Coffee and Cake (HG G32.6)

Here you find the list of titles:

Acar	Sarp Kaya	TU Kaiserslautern	Optimal Capital Structure with a Jump-Diffusion Process
Dr. Ankirchner	Stefan	Imperial College	Utility duality under additional information: conditional measures versus filtration enlargements
Beletski	Taras	TU Kaiserslautern	Inflation-Linked Products
Ben Tahar	Imen	TU Berlin	Explicit characterization of the super-replication strategy in nancial markets with partial transaction costs
Dr. Beutner	Eric	RWTH Aachen	On the Mean-Variance Hedging Problem under Transaction Costs and the "No-free-lunch in L^2 condition"
Ehlers	Philippe	ETHZ	The Influence of FX Risk on Credit Spreads
Gabhi	Abdelali	Uni Halle	Portfolio Optimization under Risk Constraints in an HMM for the Stock Returns
Gfeller	Adrian	London School of Economics	Dynamic Sensitivity Analysis in Levy Process driven models
Gundel	Anne	HU Berlin	Utility Maximization Under Model Uncertainty An Existence Result
Dr. Hess	Klaus Th.	TU Dresden	Random Decomposition of Samples
Holtz	Markus	Uni Bonn	Valuation of Performance-Dependent Options
Dr. Kassberger	Stefan	Uni Ulm	Fair Valuation and Risk Measurement for Insurance Contracts under Levy Process Specifications
Kluge	Wolfgang	Uni Freiburg	Pricing of credit derivatives in the Lévy Libor model
Kraemer	Romy	TU Chemnitz	Some approaches for parameter estimation in a generalized bivariate Ornstein-Uhlenbeck model
Kuechler	Christian	HU Berlin	Dynamic Allocation Problems in Continuous Time
Lorenz	Julian	ETHZ	Portfolio optimization and optimal execution
Dr. Maass	Sebastian	ETHZ	Contribution Values for Allocation of Risk Capital and for Premium Calculation
Marquardt	Tina	TU Muenchen	Fractional Levy processes with an application to long memory moving average processes
Dr. Menkens	Olaf		Crash Hedging Strategies and Worst Case Scenario Portfolio Optimization
Dr. Neslehova	Johanna	ETHZ	Modeling dependence in Operational Risk
Niethammer	Christina	Giessen	On The Convergence to the exponential utility problem and its optimal portfolio
Papapantoleon	Antonis	Uni Freiburg	Symmetries and Levy term structure models
Pauwels	Arnd	TU Muenchen	Variance-optimal hedging in affine stochastic volatility models
Prestele	Clemens	Uni Ulm	Large Portfolio Approximation and its Implications in an Elliptical Distributions Framework
Riesner	Martin	Uni Ulm	Hedging life insurance contracts in a Lévy process financial market
Rudloff	Birgit	Uni Halle	Convex Hedging in Incomplete Markets
Scherer	Matthias	Uni Ulm	A structural credit risk model based on a jump diffusion
Tappe	Stefan	HU Berlin	Finite dimensional realizations for term structure models driven by semimartingales
Toivola	Anni	Jyvaeskylae University (Finnland)	On Besov spaces and weak convergence of error processes in approximation of certain stochastic integrals
Veraart	Almut	Oxford University	On leverage in pure jump Levy-driven stochastic volatility models
Veraart	Luitgard	Cambridge University	FX Trading
Wendin	Jonathan	ETHZ	Bayesian Inference for Models of Portfolio Credit Risk
Wissel	Johannes	ETHZ	Market Models for the Term Structure of Implied Volatilities
Wittmuess	Wiebke	TU Berlin	Optimal consumption under aversion against risk and ambiguity
Zocher	Matthias	TU Dresden	Multivariate Counting Processes and their Stability

A few organizational remarks:

For dinner, we meet at 7.30pm at Central (between main station and ETH) next to the Starbuck's coffee. From there, it is a 2 minutes walk to the restaurant Ostia, Zähringerstr. 28, Tel. 043 243 79 79.

The workshop will take place at ETH main building. A description of how to get there from the main station can be found here: http://www.ethz.ch/about/location/ethzentrum/index_EN
Here you can find more information of how to get around at ETH: http://www.ethz.ch/about/location/index_EN
If you type HG or ML in the box, you get a map of the buildings.

Group 2 will be in the building ML on Thursday afternoon. This is next to the main building and only about 2 minutes away. During the breaks, you should have plenty of time to change the groups.

For lunch and dinner, you have plenty of options in the mensas of ETH (http://www.mensa.ethz.ch/dispatch.asp?fct=Starttable) and University (http://www.zfv-catering.ch/mensen).

The main restaurants are: Polyterrasse Mensa and Mensa A/B (Uni-Zentrum)

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