Conference Agenda

Should I invest in the market portfolio? - A parametric approach

Jan Kallsen

Pathwise stability of log-optimal portfolios

Andrew L. Allan, Anna P. Kwossek, Chong Liu, David J. Prömel

Sufficient Conditions for Utility Functions in Robust Utility Optimization

Philip Biegel, Jörn Saß

Robust Utility Maximization in Continuous Time: Convergence and Updating the Uncertainty Sets

Jörn Sass

XVA analysis in incomplete markets

Francesca Biagini, Alessandro Gnoatto, Katharina Oberpriller

Estimation of dynamically recalibrated affine and polynomial models in finance

Ivo Richert, Jan Kallsen

Weak Error Rates for Local Stochastic Volatility Models

Thomas Wagenhofer, Peter K. Friz, Benjamin Jourdain, Alexandre Zhou

Discrete approximation of risk-based pricing under volatility uncertainty

Michael Kupper

Risk measures based on target risk profiles

Jascha Alexander, Christian Laudagé, Jörn Saß

Multi-asset return risk measures

Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass

Some remarks on the effect of risk sharing and diversification for infinite mean risks

Alfred Müller

Perpetual American Options in a Two-Dimensional Black-Merton-Scholes Model

Pavel V. Gapeev, Goran Peskir

The fundamental theorem of asset pricing with and without transaction costs

Christoph Kühn

On the absence of arbitrage in diffusion markets with reflection and skewness

Alexis Anagnostakis, David Criens, Mikhail Urusov

Equilibrium Asset Pricing with Epstein-Zin Stochastic Differential Utility

Andreea Popescu, Martin Herdegen

Mean-variance equilibria in continuous time

Nikolaos Constantinou, Christoph Czichowsky, Martin Herdegen, David Martins

A Pareto tail plot and the principle of a single huge jump

Bernhard Klar

Shrink-Swell Soils: Modelling and Pricing with Mean-Reverting Regime-Switching Lévy Processes

Aleksandr Pak, Olivier Le Courtois, Lorenz Schneider

On the Range Process of a L\'{e}vy Risk Process with Fair Valuation of Insurance Contract

Mohamed Amine Lkabous, Zijia Wang, Mengni Yang

Competitive portfolio optimization via a value-at-risk based constraint

Tamara Göll, Nicole Bäuerle

Multi-Agent and Mean Field Games for Optimal Investment under Relative Performance Concerns with Jump Signals

Gemma Lucia Sedrakjan, Peter Bank

Multi-asset optimal trade execution in an Obizhaeva-Wang-type model

Julia Ackermann, Thomas Kruse, Mikhail Urusov

Representation theorems for convex expectations on path space

David Criens, Michael Kupper

Global approximation theorem on the Wiener space via signatures

Mihriban Ceylan, David J. Prömel

Representation property for 1d general diffusion semimartingales

David Criens, Mikhail Urusov

The fundamental theorem of weak optimal transport

Stefan Schrott

Control of Drawdowns with Random Inspection

Kira Dudziak, Hanspeter Schmidli

On the Bailout Dividend Problem with Periodic Dividend Payments and Fixed Transaction Costs

Harold A. Moreno Franco, Jose-Luis Pérez

Framework for asset-liability management with liquid and fixed-term assets

Yevhen Havrylenko

The first 20 years of Brownian Motion (1905 - 1925)

René Schilling

The "Bernstein-von-Mises Theorem": historical aspects

Hans Fischer

Early Visualizations of Electron Probability Densities

Tilman Sauer, Kristin Sellmann