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