Paris - Southeast Asia Conference in Mathematical Finance, February 7-11, Siem Reap 08:00 - 08:30 08:30 - 08:45 08:45 - 10:15 Saturday 7 Feb Registration Opening S. Kou Monday 9 Feb 08:30 - 10:00 A partitioning algorithm for markov decision processes and its application to limit order books with stochastic market depth Chairman: H. Pham M. Rosenbaum Volatility is rough M. Dai Tuesday 10 Feb 08:30 - 10:00 Portfolio Selection with Capital Gain Taxes Chairman: S. Crepey C. Labuschagne Calculating the Piterbarg price of a derivative using historic return distribution methods M. Rutkowski Fair and profitable bilateral prices N. Privault Wednesday 11 Feb 08:30 - 10:00 Classical and restricted impulse stochastic control For the exchange rate Analytic bond pricing for short rate dynamics evolving on matrix Lie groups Chairman: M. Dai Y. Zhang R. Elie Risk management and BSDE with mean reflection Chairman: M. Jeanblanc J-F. Chassagneux A backward dual representation For the quantile hedging of Bermudan options Liquidity adjusted futures pricing model W. Runggaldier B. Bouchard Hedging under market impact S. Sheu Some studies of HJB equations for optimal consumption problems 10:15 - 10:45 Coffee Break 10:00 - 10:45 Coffee Break 10:00 - 10:45 Coffee Break 10:00 - 10:45 Coffee Break 10:45 - 11:15 J. Keppo 10:45 - 11:15 E. Bayraktar 10:45 - 11:15 R. Douc 10:45 - 11:15 P. Li Bonus Caps, Deferrals and Banks' RiskTaking 11:15 - 12:15 Chairman: T. Lim 12:30 - 14:30 C. Fontana Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models Stochastic Perron’s method for Stochastic control problems 11:15 - 12:15 D. Possamai 11:15 - 12:15 A. Thierry Contingent Convertible Bond Pricing Based on Copulas and Bivariate Simulation 11:15 - 12:15 C. Hillairet No-arbitrage and non-equivalent beliefs Moral hazard in dynamic risk management Adaptive sequential Monte Carlo methods Successive enlargement of filtrations and application to insider information Z. Xu G. Calegaro T. Sim N. Kazi-Tani An optimal consumption-investment Chairman: R. model with constraint on Elie consumption Utility indifference pricing and hedging for structured contracts in energy markets Chairman: A. Gloter The maximizing set of the asymptotic normalized log-likelihood for partially observed Markov chains Chairman: N. Some problems taken from reinsurance practice Brunel Z. Grbac C. Sgarra T. Kruse S. Pulido Affine Libor models with multiple curves: theory, examples and calibration American option valuation in a stochastic volatility model with transaction costs Approximating irregular SDEs via iterative Skorokhod embeddings Quadratic BSDEs arising from a price impact model with exponential utility Lunch Break 12:30 - 14:30 Lunch Break 12:30 - 14:30 Lunch Break 12:30 - 14:30 Lunch and Closing Paris - Southeast Asia Conference in Mathematical Finance, February 7-11, Siem Reap Saturday 7 Feb 14:30 - 15:30 L. Campi Monday 9 Feb 14:30 - 15:30 On the extremal martingale measures with pre-specified marginals Chairman: E. Chevalier T. Z. Nguyen Chairman: S. Scotti A physics-like model for the dynamics of financial assets prices Q. Song Convergence of Monte-Carlo computation on various exotic options C. Han Tuesday 10 Feb 14:30 - 15:30 M. Jeanblanc Enlargement of filtration in discrete time Chairman: C. Zhou Importance Sampling by HighDimensional Embedding S. Song Reduction technique in credit risk modeling 15:30 - 16:15 Coffee Break 15:30 - 16:15 Coffee Break 15:30 - 16:15 Coffee Break 16:15 - 17:15 S. Li 16:15 - 17:15 A. Cosso 16:15 - 17:15 A. Aksamit Chairman: N. Seam Modeling sovereign default risk Robust feedback switching control Pseudo-stopping times and hypothesis (H) M. Nguyen M. Gaigi E. Bandini Perturbative expansion technique with randomization for counterparty risk computations Liquidity risk and optimal dividend and investment strategies Optimal control of pure jump markov processes and constrained backward stochastic differential equations Kien Trung External Finance decision of production firms Toward macroeconomic stability during financial crisis Chairman: D. Possamai C. Yang Optimal Tax-Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax Chairman: C. Hillairet T. Quoc Tran General Financial Market Model Defined by a Liquidation Value Process N. H. Chau M. Ngo T. Nguyen Market models with optimal arbitrage Optimal switching for pair trading rule: a viscosity solutions approach Approximate option replication with liquidity costs: from Leland’s point of view 19:00 - 22:00 Conference dinner Wednesday 11 Feb

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