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