6th Workshop Nonlinear PDEs and Financial Mathematics, March 2015

Welcome!

6th Workshop Nonlinear PDEs and Financial Mathematics, 23-27 March, 2015

This is an international conference organized in the framework of FP 7 Marie Curie Initial training Network STRIKE by University of Applied Sciences Zittau/Görlitz, Germany. During the event experienced researches and young PhD students can share their knowledge and expertise in analytical, stochastic and numeric approaches to financial markets.

A special session on statistics and dataanalysis is organized in collaboration with

the industrial partner, internet searchengine Yandex.

Abstracts of the talks can be submitted to L. Bordag

The following topics are of a particular interest:

portfolio optimization

fair pricing of derivatives

illiquidity and market frictions

When: 23-27 March, 2015

Where: UAS Zittau/Goerlitz, Zittau, Germany

Website: http://finmath.info.host1374669.serv23.hostland.pro/index.html

 

This conference is supported:

By the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE - Novel Methods in Computational Finance)
http://www.itn-strike.eu/
By DAAD via the German-Russian Interdisciplinary Science Center

(project No. W-2015a-1 )

 

Registration

6th Workshop Nonlinear PDEs and Financial Mathematics, 23-27 March, 2015

The registration fee is 200 euro for the regular participants. It will be used for conference map, daily coffee breaks supply, lunch, social event  and travel activities.

 

Please transfer the fee to the bank using the following credentials


Account Holder

Hauptkasse des Freistaates Sachsen bei der Ostsächsischen Sparkasse Dresden

to the account:

IBAN:     DE09 8505 0300 3155 8250 05

BIC:       OSDD DE 81

 

In the row “purpose of use” (in German “Verwendungszwecks”) you write

1. 07040/00603-0

2. 72446001 + your Family name

 

Please, do not forget to write your name by the payment.

Please, do not forget to send an e-mail to LBordag@hszg.de with you name, affiliation, title of your talk and a short abstract of the talk (plain text).


Remark: We  hope to get financial support for our participants. In the case you want to take part but need some financial support, please, send an E-mail to  LBordag@hszg.de with you name, affiliation, title of your talk and a short abstract of the talk (plain text) and the type of financial support which you need (for instance: registration fee, travel or accommodation cost  support).

Program

6th Workshop Nonlinear PDEs and Financial Mathematics, 23-27 March, 2015

Confirmed key lecturers:

I. Gavrilyuk (Eisenach), HomepagePublikationen,

S. Pickenhain (Cottbus),

A. Shiryaev (Moscow),Books

Industrial Partner:

Schedule

6th Workshop Nonlinear PDEs and Financial Mathematics, 23-27 March, 2015

Intended schedule of the event:

We divide 5 days of conference in special thematic sections: analytic, numeric, stochastic, optimization and industry day, devoted to big data analysis.

Day 1. Arrival/Analytics.

23.03.2015,

Building ZIV,

Room 0.02

(Theodor-Körner-Allee 8, 02763 Zittau)

Day 2. Stochastic.

24.03.2015,

Building ZII,

Room 209

(Schliebenstraße 21. 02763 Zittau)

Day 3. Numerical methods.

25.03.2015,

Building ZII,

Room 209

(Schliebenstraße 21. 02763 Zittau)

Day 4. Optimization.

26.03.2015,

Building ZII,

Room 209

 (Schliebenstraße 21. 02763 Zittau)

Day 5. Industry day.

27.03.2015,

Building ZIV,

Room 0.01

(Theodor-Körner-Allee 8, 02763 Zittau)

9.00 – Steam-train trip to Oybin castle. 2 hour hike. For the participants arriving on the 22nd of March.

11:30 – registration.

12:30 – Lunch (Mensa, Hochwaldstr. 12, 02763 Zittau)

 

13:30 – Opening of the conference.

13:30 – L. A. Bordag. Optimization problem for a portfolio with an illiquid asset: Lie group analysis

14:15 –M. V. Babich. Lie algebras of the complex classical groups and birationalDarboux coordinates on their coadjoint orbits.

15:00 – I. Kossaczky. Hamilton-Jacobi-Bellman equation         

15:30 – Coffee.

16:00 – D.  Puzyrev. Delay-differential equations and large delay approximation

16:30 – T. A. Vasileva  Valuation of Asia options by implicit difference method

16.50  –J. E. Podschipkova. Model of optimal flood hydrograph social natural management of system "Volga Hydroelectric Power Station - Volga-Akhtuba floodplain".

17:10 – N. Antonyan. Mechanisms of hydrological risk control at the Volga-Akhtuba floodplain

17:30 – End on the first day.

9:30 –Maria do R. Grossinho. Existence results for Nonlinear PDEs arising in Financial Modelling

10.00-  O. Kydryavtsev. Efficient pricing options under Levy processes: a numerical Wiener-Hopf factorization method.

10:30 –J. Lueddeckens. Parameter estimation for an electricity price model

11:00 – Coffee.

 

11:30 – Y. Belopolskaya. Probabilistic representations for classical and generalized solutions of the Cauchy problem for quasilinear and fully nonlinear systems of parabolic equations

12:10 –M. F. Agoitia. Modelling electricity prices with polynomial processes

12:30 – Lunch (Mensa, Hochwaldstr. 12, 02763 Zittau)

 

13:30 – A. N. Shiryaev.Bayesian disorder problems on the filtered probability spaces.

14:30 – D. B. Rokhlin.Verification problem for viscosity solutions and stochastic Perron’s method.

15:30 – Coffee.

 

16:00 – Y. Läßig. Estimating Seasonalities in Energy Markets.

16:20 – Wergieluk.Structural models of spot electricity markets

16:40 – S. Bachmann.Theorem of Yamada, Watanabe and Coupling by Reflection for Stochastic Delay Differential Equations

17:00 – End of the second day.

9:30 – V. N. Egorova.New fixing-domain transformations for non-linear option pricing models.

10:00 – Z. Bučková.ADE Methods - Numerical analysis and application to linear and nonlinear Black-Scholes models.

10:30 – G.I. Belyavsky, N. V. Danilova. The fair price calculation of the European option in the case on (B,S)-market model based on the random walk with missing elements.

11:00 – Coffee.

 

11:30 –T. A. Vasilyeva.L - stability of  thrice implicit difference  schemes of eighth order of approximation for ODEs stiff systems

12:00 - M. Ehrhardt. Modeling stochastic correlation.

12:30 – Lunch (Mensa, Hochwaldstr. 12, 02763 Zittau)

 

13:30 – I. P. Gavrilyuk.Efficient algorithms for abstract differential equations with applications to PDEs.

14:30 – L. G. Vulkov.Compact Difference Schemes for Option Pricing Liquidity Shocks Models.

15:00 – L. Trussardi. A kinetic equation for modelling irrationality and herding effects

15:30 – Coffee.

 

16:00 – T. Gylov. On a Nonlocal Problem for a Parabolic Integro-Differential Equation in Option Pricing with Switching Liquidity.

16:30 – E. Nemchenko. Numerical probabilistic approaches to solution of the Cauchy problem for semilinear parabolic equations.

16:50 – A. Grigorieva. A numerical algorithm to construct a generalized solution of a quasilinear system of parabolic equations.

17:10 – End of the third day.

16:40 – SB meeting of STRIKE (Building ZIII, Room 413)

19:00 –Reception of lord mayor of Zittau and rector of the University of Applied Sciences Zittau/Goerlitz in the town hall Zittau (Markt 1, 02763 Zittau).

9:30 – A. Ellanskaya. Utility Maximization and Utility Indifference Price for Exponential Semi-martingale Models and HARA Utilities

10:00 – R. Serrano. Martingale approach to utility maximization in jump models with differential rates and marked point processes

10:30 – I. P. Yamshchikov.Portfolio optimization with an exogenous random liquidation time.

11:00 – Coffee.

 

11:30 – M. Keller-Ressel.Implied Volatilities from Strict Local Martingales

12:30 – Lunch (Mensa, Hochwaldstr. 12, 02763 Zittau)

 

13:30 – J. Merker. On optimal control of systems of elliptic partial differential inequalities

14:00 - S. Pickenhain. Infinite Horizon Optimal Control Problems and Pseudospectral Methods for the Solution.

14:30 – N. Tauchnitz.Pontryagins Maximum Principle for Infinite Horizon Optimal Control Problems with State Constraints

15:00 – G. Mironenko. A diffusion stochastic control problem with resource constraints.

15:30 – Coffee.

 

16:00 – I. Höfers.Portfolio optimization under dynamic risk constraint.

16:20 – M. A. Kharitonov. The Operating Core of an Organization: A Constrained Optimization Model.

16:40 – A. Krakhotkin. On minimizing the expected time of beating a benchmark in a factor diffusion model.

17:00 - Posters’ session. A. Shardin. Partly observable stochastic optimal control problems for an energy storage.

17:20 – End of the fourth day.

9:30 – A.Tihonov (Head of Search Analytics in Yandex). Cluster analysis. Ticks and tips.

11:00 – Coffee.

 

11:30 – Oberbichler (Analyst, Sachsen Asset Management).A practical guide to the analysis of derivatives

12:30 – Lunch (Mensa, Hochwaldstr. 12, 02763 Zittau)

 

13:30 – E. Vasin(Quant at Quantstellation, London) Risk modelling in equities: theory vs practice.

14:30 – M. Levin, (Chief Data Scientist – Yandex Data Factory) Advanced Machine Learning in Business

15:30 – Coffee.End of the fifth day.

Contact & Travel

6th Workshop Nonlinear PDEs and Financial Mathematics, 23-27 March, 2015

Contact

Prof. Dr. rer. nat. habil. Ljudmila A. Bordag

undefinedLBordag@hszg.de

Organizing Committee:

Ljudmila A. Bordag,

undefinedLBordag@hszg.de

Thorsten Schmidt

undefinedthorsten.schmidt@mathematik.tuchemnitz.de

Ivan Yamshchikov


Travel

Zittau is a city in the south east of the Free State of Saxony, Germany, close to the border tri-point of Germany, Poland, and the Czech Republic. undefinedZittau Travel Guide
Zittau is served by the regional Ostdeutsche Eisenbahn GmbH (ODEG) which links Zittau to Görlitz and Cottbus where connections can be made to Dresden and the rest of Germany.

Map Zittau(PDF)


How to find us

By car

You reach Zittau via the E 40 (European speedway). Coming on the A 4 motorway from Dresden take the Bautzen-West exit onto the B 6 heading for Löbau. Continue on the B 178 in the direction of Zittau.

By train

Trains run frequently from/to Dresden, (Cottbus-) Görlitz and the Czech city Liberec. The Sachsen Ticket is good for this train trip from Dresden. Coming from Görlitz you would buy a ticket of the regional transportation network ZVON. Please note that for the same price you can also buy the EURO-Neisse-Ticket which is valid in the neighboring regions of Poland and the Czech Republic (e.g. beyond Liberec into the Jizera mountains). Any ZVON ticket is valid on the buses, too.

undefinedTrain connections - Zittau - Germany

undefinedDeutsche Bahn

By plane

The international airport is located in Dresden-Klotsche, about 120 km from Zittau.

undefinedwww.dresden-aiport.de

The next airports are in undefinedLiberec

and in undefinedPrague in Czech Republic


Internet

You get usually a free access to internet in your hotels, in the University rooms you have free Wi-Fi  access to  eduroam net because of theUniversity of Applied Sciences Zittau/Goerlitz is a member of the European Confederation (a confederation of autonomous roaming services)like the most European Universities. Please, ask in your own University how to install this access on your laptops and smartphones.

undefinedDetails

Accomodation

6th Workshop Nonlinear PDEs and Financial Mathematics, 23-27 March, 2015

Hotels

undefinedHotel DreiLändereck

undefinedHotel Zittauer Hof

undefinedHotel Dresdner Hof

undefinedHotel Riedel

undefinedSchwarzer Bär 


Studentische Wohnheime

undefinedStudentenwerk Dresden


Zittau

undefinedWohnbaugesellschaft Zittau

The biggest local renting company with special offers for students.

undefinedDas freundliche Wohnheim

Private housing in the best student location.

undefinedStudentenvilla

A community which is located in a gorgeous art nouveau style villa is an alternative to the current housing offer in Zittau.


Sharred Appartments (WG)

 

Letzte Änderung:13. Januar 2016

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