On the behalf of the Scientific Committee we are glad to invite you to a one day Workshop which will be held in Milan on Wednesday the 21st of January 2015, at the Department of Mathematics, Sala di Rappresentanza, via C. Saldini 50.
Final program:
09:50-10:00 Welcome Remarks
10:00-10:45 Emanuela Rosazza Gianin, Università Milano Bicocca.
*Dual Representation of Minimal Supersolutions of Convex BSDEs*
*Coffee break*
11.15-12.00 Sergio Pulido, EPFL, Lausanne.
*Polynomial preserving diffusions on the unit ball*
12.00-12.45 Stefano De Marco, Ecole Polytechnique, Paris.
*On robust bounds for options on VIX given marginals*
*Lunch*
14:45-15:30 Beatrice Acciaio, LSE, London.
*Arbitrage of the first kind and filtration **enlargements*
15:30-16:15 Jacopo Mancin, LMU, Munich.
*Robust Quadratic Hedging via G-expectations*
*Coffee break*
16.45-17:30 Simone Cerreia-Vioglio, Bocconi University.
*Hilbert A-modules*
The workshop will end up with the usual *De Finetti Risk Seminar*
18:00-19:00 Bruno Bouchard, Universitè Paris-Dauphine.
*Hedging under market impact*
We kindly ask to send an email to marco.maggis@unimi.it if you are willing to partecipate.
Kind regards.
Marco Frittelli Marco Maggis Matteo Burzoni