Slides presented at Workshop on Mathematical Finance for Young Researchers 2012

Anthony Reveillac: Utility maximization under dynamic risk constraints

Christa Cuchiero: Fourier transform methods for pathwise covariance estimation in the presence of jumps

Christoph Czichowsky: Sufficient Conditions, Counter-Examples, Explicit Construction

Freddy Delbaen: Dynamic Monetary Utility Functions and BSDE

Gechun Liang: A Continuous Time Structural Model for Insolvency, Recovery and Rollover Risks

Giuseppe Benedetti: A Principal-Agent Problem for Emissions’ reduction

Hao Xing: Existence and convergence of Glosten-Milgrom equilibra

Johannes Ruf: On the Hedging of Options On Exploding Exchange Rates

Lakshithe Wagalath: Fire Sales Forensics: Measuring Endogenous RIsk

Marco Maggis: Risk Measures on P(R) and Value At Risk with Probability/Loss function

Martin Herdegen:  No-arbitrage in a numéraire independent modelling framework

Matthias Riedel: Price-setting of market makers: A filtering problem with an endogenous filtration

Paul Gassiat: Optimal Investment and Consumption in a Mixed Liquid/Illiquid Market

Philipp Doersek: Efficient simulation and calibration of general HJM models by splitting

schemes

Ren Liu: Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

Ruediger Frey: Dynamics of Corporate Security Prices in Firm Value Models with Incomplete Information

Steven Shreve: A diffusion limit of a limit-order book model with Simulation

Thomas Kruse: Hedging forward positions: basis risk versus liquidity coss

Yusong Li: Weak Maximum Principle for Stochastic Control