9th General AMaMeF Conference

Asset Pricing, Heterogenous Beliefs, and Liquidity

Amphithéâtre Farabeuf

Johannes MUHLE-KARBE

https://9amamef.sciencesconf.org/data/program/Muhle_Karbe.pdf

Coffee break

Salle Marie Curie

Optimal transport and convex order for Finance

Amphithéâtre Farabeuf

Gilles PAGES

› Entropic approximation of Martingale Optimal Transport and application to building arbitrage-free implied volatility - Hadrien De March, QuantEv 10:15-10:45 (30min)

› The inverse transform martingale coupling - Benjamin Jourdain, Ecole Nationale de Ponts et Chaussées 10:45-11:15 (30min)

› Structure of martingale transports in Banach spaces - Pietro Siorpaes, Imperial College London 11:15-11:45 (30min)

Stochastic control in finance

Salle des thèses

› Maximum Principles for Volterra Time Change processes - Michele Giordano, University of Oslo 10:15-10:45 (30min)

› Risk sensitive dyadic impulse control for unbounded processes - Marcin Pitera, Faculty of Mathematics and Computer Science of the Jagiellonian University 10:45-11:15 (30min)

Arbitrage and statistical arbitrage

Salle Déjerine

› Expected shortfall is ineffective against tail-risk seekers - John Armstrong, King‘s College London 10:15-10:45 (30min)

› A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall - Nazem Khan, Department of Statistics [Warwick] 10:45-11:15 (30min)

Renegotiation-proofness in a principal agent model

Amphithéâtre Farabeuf

Mihalis ZERVOS

https://9amamef.sciencesconf.org/data/program/Zervos.pdf