Program

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