logo

You are here

Warning message

  • Attention! This event has already passed.
  • Submissions for this form are closed.

Workshop on “Decision Theory in Mathematical Finance" in honour of Professor Freddy Delbaen

Friday, 9 October, 2015 - 08:30
Campus: Brussels Humanities, Sciences & Engineering campus
D
2.01
Workshop

The finance research group and the department of mathematics of Vrije Universiteit Brussel (VUB) and the actuarial research group of Université libre de Bruxelles (ULB) are pleased to announce a workshop on decision theory in mathematical finance in honour of Professor Freddy Delbaen. 

The organizers want to honour and recognize Freddy Delbaen's longstanding influence in several areas of Mathematics. In particular, he profoundly contributed to the mathematical theory of arbitrage and the study of risk measures. Together with P. Artzner, J.M. Eber and D. Heath he introduced the concept of coherent risk measures and made the link to mathematical finance.  

The event will take place on October 9 at the VUB campus in Etterbeek. Academic researchers and practitioners in the field of financial mathematics are most welcome.

Participation by IA|BE members is accredited with 5 CPD-points

Program

08h30-09h00

09h00-09h20

Welcome with coffee

Laudatio

Session 1 

Chair: Eva Colebunders

09h20-10h10

Walter Schachermayer, University of Vienna, Austria
The Fundamental Theorem of Asset Pricing Revisited

10h10-11h00

Philippe Artzner, University of Strassbourg, France
Topics in Insurance Supervision

11h00-11h30

Coffee break

Session 2

Chair: Michèle Vanmaele

11h30-12h20

Ying Hu, University of Rennes 1, France
Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators

12h20-13h50 Lunch break

 

Session 3

 

Chair: Thomas Bruss 

13h50-14h40

Ludger Rüschendorf, University of Freiburg, Germany
Worst Case Portfolios and Portfolio Diversification

14h40-15h30

Michael Küpper, University of Konstanz, Germany
Robust Hedging Dualities

15h30-16h00

Coffee break

Session 4

Chair: Uwe Einmahl

16h00-16h50

Youri Kabanov, University of Franche-Comté, Francel
Local Martingale Deflators and Asymptotic Arbitrage

16h50-17h00

Closing

Venue

Promotion hall (D.2.01) 
Pleinlaan 2 / Avenue de la Plaine 2 Brussels (Etterbeek)

Information for participants

U-Residence: website    location on campus     From Etterbeek station to U-Residence   

Trains: Schedules (From: Brussels airport, To: Etterbeek),     

  

Program committee
  • Griselda Deelstra (ULB)
  • Steven Vanduffel (VUB)
  • Jing Yao (VUB)
Invited speakers
  • Philippe Artzner, University of Strasbourg, France
  • Ying Hu, Université de Rennes 1, France
  • Youri Kabanov, University of Franche-Comté, Besançon, France
  • Michael Kupper, Universität Konstanz, Germany
  • Ludger Rüschendorf, University of Freiburg, Germany
  • Walter Schachermayer, University of Vienna, Austria 
Sponsors

VUBDependence modeling