Program
Day 2
Session 5 Risk Modelling and Machine Learning |
|
| 08:20 - 09:00 | Risk revealed: cautionary tales, understanding and communication |
| Paul Embrechts, ETH Zürich | |
| Presentation | |
| 09:00 - 09:40 | Modelling general default times under risk neutral probability |
| Monique Jeanblanc, University of Évry Val d'Essonne | |
| Presentation | |
| 09:40 - 10:20 | q-learning in continuous time |
| Xunyu Zhou, Columbia University | |
| Presentation | |
| 10:20 - 10:40 | Coffee break |
Session 6 Financial Modelling |
|
| 10:40 - 11:20 | Fractional stochastic calculus in finance |
| Bernt Øksendal, University of Oslo | |
| Presentation | |
| 11:20 - 12:00 | The optimal spending rate versus the expected real return of a sovereign wealth fund |
| Knut Aase, Norwegian School of Economics | |
| Presentation | |
| 12:00 - 12:40 | Some novelties on the laws of large numbers |
| Walter Schachermayer, University of Vienna | |
| Presentation | |
| 12:40 - 13:00 |
Tomas Björk Prize and Closing Session |
| 13:00 | Lunch |