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Advanced Methods in Mathematical Finance Advanced Methods in Mathematical Finance Angers 28th to 31st August 2018 Organizing Committee Loïc Chaumont (Université d'Angers) Laurent Denis (Université du Maine) Rodolphe Garbit (Université d'Angers) Piotr Graczyk (Université d'Angers) Ying Hu (Université de Rennes 1) Fabien Panloup (Université d'Angers) Frédéric Proïa (Université d'Angers) Jérôme Spielmann (Université d'Angers) Lioudmila Vostrikova (Université d'Angers) Scientic Committee Monique Jeanblanc (Université d'Evry) Yuri Kabanov (Université de Franche-Comté and Moscow State University) Marek Musiela (Oxford-Man Institute) Martin Schweizer (ETH Zurich) Thaleia Zariphopoulou (University of Texas at Austin) Foreword The organizing committee is delighted to welcome you to Angers for the conference Advanced Methods in Mathematical Finance, which is organized by the University of Angers, the University of Rennes and the University of Le Mans. Its aim is to bring together experts in Financial Mathematics, fostering interactions and enabling them to share their knowledge with young researchers. During the conference, invited lectures and talks will highlight recent advances in Mathematical Finance and its practical applications, to make the link between these two elds. We also hope that this conference will be an opportunity for you to visit Angers and its area : the cultural and historical heritage of the Anjou region is very rich and we encourage you to make the most of it during your stay. The organizers wish to acknowledge the nancial support of : the Mayor of Angers, the University of Angers, the CNRS Laboratory LAREMA, the Bachelier Society, the LABEX of the University of Rennes, Angers Loire Métropole, the Panorisk project of the region Pays de la Loire and the Démath project of the Research Federation of "Mathématiques des Pays de la Loire". Thanks are also due to the members of the scientic committee for their help to guarantee the scientic quality of the conference. The members of the organizing committee are also thankful to Alexandra Le Petitcorps, Jacquelin Charbonnel, Rodolphe Garbit and Frédéric Proïa for their hard work in order to prepare the conference. Finally, we are very grateful to all of you for attending and making the conference wor- thwhile by your contributions. Tuesday, 28th August L. Chaumont, F. Panloup, Y. Kabanov and P. Spreij as chairmen h h 8 30 9 00 8 Welcome (by L. Chaumont) 9 h00 9 h40 L Albert Shiryaev (Steklov Mathematical Institute and Moscow State University) 9 h40 10 h20 L Hans Föllmer (Humboldt University of Berlin) 1 Coee break 10 h50 11 h20 Ò Masaaki Fukasawa (Osaka University) 11 h20 11 h50 Ò Marvin Mueller (ETH Zurich) 11 h50 12 h20 Ò Marina Kleptsyna (Université du Maine) ɣ Lunch & break 14 h00 14 h30 Ò Nicole El Karoui (Université Sorbonne-Université) 14 h30 15 h00 Ò Ljudmila Bordag (University of Applied Sciences Zittau/Gorlitz) 15 h00 15 h30 Ò Monique Jeanblanc (Université d'Evry) 1 Coee break 16 h00 16 h30 Ò Anna Aksamit (University of Sydney) 16 h30 17 h00 Ò Yuchao Dong (Université d'Angers) ɣ Break 17 h10 17 h40 Ò Alexander Gushchin (Steklov Mathematical Institute) 17 h40 18 h10 Ò Yuri Kabanov (Université de Franche-Comté and Moscow State University) h 19 00 ::: ɣ Visit of the Galerie David d'Angers L 40 minutes Ò 30 minutes Wednesday, 29th August L. Bordag, M. Jeanblanc, Y. Hu and R. Buckdahn as chairmen 9 h00 9 h40 L Masaaki Kijima (Tokyo Metropolitan University) 9 h40 10 h20 L Tahir Choulli (University of Alberta) 1 Coee break 10 h50 11 h20 Ò Caroline Hillairet (ENSAE Paris Tech) 11 h20 11 h50 Ò Elena Boguslavskaya (Brunel University London) 11 h50 12 h20 Ò Christa Cuchiero (University of Vienna) ɣ Lunch & break 14 h00 14 h40 L Shige Peng (Shandong University) 14 h40 15 h20 L Shanjian Tang (Fudan University) 1 Coee break 15 h50 16 h20 Ò Stéphane Loisel (Université de Lyon 1) 16 h20 16 h50 Ò Wolfgang Runggaldier (University of Padova) 16 h50 17 h20 Ò Michael Tehranchi (University of Cambridge) ɣ Break 17 h30 18 h00 Ò Xun Li (Hong-Kong Polytechnic University) 18 h00 18 h30 Ò James Huang (Hong-Kong Polytechnic University) 18 h30 19 h15 Õ Posters session (Tyler Abbot, Doha Belimam, Florian Lemonnier, Hisseine Saad Mahamat) L 40 minutes Ò 30 minutes Thursday, 30th August A. Shiryaev and A. Gushchin as chairmen 8 h30 9 h10 L Marco Frittelli (Milano University) 9 h10 9 h50 L Peter Imkeller (Humboldt University of Berlin) 9 h50 10 h20 Ò Qi Zhang (Fudan University) 1 Coee break 10 h50 11 h20 Ò Michael Schmutz (University of Berne) 11 h20 11 h50 Ò Albina Danilova (London School of Economics) ɣ Break 12 h00 12 h30 Ò Peter Spreij (University of Amsterdam) 12 h30 13 h00 Ò Takashi Shibata (Tokyo Metropolitan University) ɣ Lunch & break h 15 00 ::: ɣ Visit of the Château de Serrant h 20 00 ::: ɣ Conference dinner L 40 minutes Ò 30 minutes Friday, 31st August H. Föllmer, P. Chigansky, S. Peng and S. Tang as chairmen 9 h00 9 h40 L Josef Teichmann (ETH Zurich) 9 h40 10 h20 L Zbigniew Palmowski (Wrocªaw University) 1 Coee break 10 h50 11 h20 Ò Kazutoshi Yamazaki (Kansai University) 11 h20 11 h50 Ò Hans-Jürgen Engelbert (Friedrich Schiller University Jena) 11 h50 12 h20 Ò Jérôme Spielmann (Université d'Angers) ɣ Lunch & break 14 h00 14 h30 Ò Ying Hu (Université de Rennes 1) 14 h30 15 h00 Ò Adrien Richou (Université de Bordeaux) 15 h00 15 h30 Ò Stefan Ankirchner (Friedrich Schiller University Jena) 1 Coee break 16 h00 16 h30 Ò Rainer Buckdahn (Universite de Bretagne Occidentale) 16 h30 17 h00 Ò Juan Li (Shandong University) ɣ Break 17 h10 17 h40 Ò Zuoquan Xu (Hong-Kong Polytechnic University) 17 h40 18 h10 Ò Jing Zhang (Fudan University) h 18 10 ::: 8 Closing (by L. Vostrikova) L 40 minutes Ò 30 minutes Tyler Abbot (Sciences Po Paris) Q [email protected] General equilibrium under convex portfolio constraints and heterogeneous risk preferences This paper characterizes the equilibrium in a continuous time nancial mar- ket populated by heterogeneous agents who dier in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an appli- cation to margin constraints and found to match real world observations about nancial variables and leverage cycles. It is shown how margin constraints in- crease the market price of risk and decrease the interest rate by forcing more risk averse agents to hold more risky assets, producing a higher equity risk pre- mium. In addition, heterogeneity and margin constraints are shown to produce both pro- and counter-cyclical leverage cycles. Beyond two types, it is shown how constraints can cascade and how leverage can exhibit highly non-linear dy- namics. Finally, empirical results are given, documenting a novel stylized fact which is predicted by the model, namely that the leverage cycle is both pro- and counter-cyclical. 1 Anna Aksamit (University of Sydney) Q [email protected] Entropy and additional utility of a discrete information disclosed progressively in time The additional information carried by enlarged ltration and its measure- ment was studied by several authors. Already Meyer (Sur un theoreme de J. Jacod, 1978) and Yor (Entropie d'une partition, et grossissement initial d'une ltration, 1985), investigated stability of martingale spaces with respect to ini- tial enlargement with atomic sigma-eld. We extend these considerations to the case where information is disclosed progressively in time. We dene the entropy of such information and we prove that its niteness is enough for stability of some martingale spaces in progressive setting. Finally we calculate additional logarithmic utility of a discrete information disclosed progressively in time. 2 Stefan Ankirchner (Friedrich Schiller University Jena) Q [email protected] Optimal (nancial) position targeting via decoupling elds In the talk we consider a variant of the basic problem of the calculus of variations, where the Lagrangian is convex and subject to randomness adapted to a Brownian ltration. We solve the problem by reducing it, via a limiting argument, to an unconstrained control problem that consists in nding an abso- lutely continuous process minimizing the expected sum of the Lagrangian and the deviation of the terminal state from a given target position. Using the Pon- tryagin maximum principle one can characterize a solution of the unconstrained control problem in terms of a fully coupled forward-backward stochastic die- rential equation (FBSDE). We use the method of decoupling elds for proving that the FBSDE has a unique solution. The talk is based on joint work with Alexander Fromm, Thomas Kruse and Alexandre Popier. 3 Doha Belimam (ENSA Kénitra) Q [email protected] Protability and investment factors in the Chinese stock returns This paper evaluates the performance of the ve-factor model and inves- tigates the explanatory power of rm size, book-to-market, protability and investment ratios in the Shanghai A-share exchange market over the January 2011 December 2016 period. Our results do not support the ndings of Fama and French (2015, 2017) and show that the ve-factor model is outperformed by the three-factor model. 4 Elena Boguslavskaya (Brunel University London) Q [email protected] On multisided optimal stopping problems for Lévy processes In the last decades solving multisided optimal stopping problems was of interest. We will show how to approach the above problems for Lévy processes if the payo function is an exponential polynomial (possibly multidimensional), and present several examples. The method we use is based on Appell integral transform. 5 Ljudmila Bordag (University of Applied Sciences Zittau/Gorlitz) Q [email protected] Lie group analysis of an optimization problem for a portfolio with an illiquid asset Working in the Merton's optimal consumption framework with continuous time we consi- der an optimization problem for a portfolio with an illiquid, a risky and a risk-free asset.
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