Summer School in Risk Finance and Stochastics

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School Programme

Monday 6th September

17.30-18.00   Opening

18.00-20.00   M. Marinacci (Universita Bocconi, Milano)  Models and Decisions

20.00-21.00   A. N. Yannacopoulos (AUEB) Decision Theory and Optimal Transport (tentative)

Tuesday 7th September

15.00-18.00   G. Pawlina (Lancaster) Continuous-time corporate finance and expected equity returns

18.00-20.00   J. Teichmann (ETH) Universal approximation on path spaces and machine learning in finance

20.00-20.30   F. Kottas (Maynooth University) Performance and factor structure in Green, Gray and Red securities

Wednesday 8th September

15.00-16.30   I. Baltas (Univ. of the Aegean) Robust control and applications in finance and insurance

16.30-17.00   K. Kaloudis (Univ. of the Aegean) Random dynamical systems: a Bayesian approach

17.00-17.30   C. Merkatas (Aalto University) Bayesian nonparametric estimation of random dynamical systems

17.30-19.00   G-W. Weber (Poznan University of Technology) Maximum principle for stochastic optimal control of a Markov regime switching jump diffusion model with delay and an extension to games

19.00-20.00  B. Chevalier-Roignant (Emlyon) A model for wind farm management with option interactions

20.00-20.30   Conclusions

 

Last Updated September 12, 2021 12:59