Conference on Liquidity and Credit Risk

March 15, 2012
Time	Speaker	Titel
09:00-09:45	Michael Gordy	Stochastic time-change of default intensity models: pricing and estimation
09:50-10:35	Stephane Villeneuve	Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
10:40-11:00	Coffee Break
11:00-11:45	Rüdiger Frey	Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
11:50-12:20	Gechun Liang	A continuous time bank run model for liquidity risk
12:25-14:00	Lunch Break
14:00-14:45	Dilip Madan	Tenor specific pricing
14:50-15:20	Zorana Grbac	Interest rate derivative valuation in a multiple-curve HJM framework
15:25-15:45	Coffee Break
15:45-16:30	Thorsten Schmidt	Dynamic Term Structure Models with Ratings
16:35-17:05	Kathrin Glau	PIDE and Fourier methods for pricing European options in Lévy models
17:15-17:45	José Infante Acevedo	Optimal execution and price manipulation in time dependent limit order books
19:30	Conference Dinner: Restaurant Greiffenegg Schlössle, Schlossbergring 3, 79098 Freiburg

March 16, 2012
Time	Speaker	Titel
09:00-09:45	Peter Bank	Optimal order placement
09:50-10:35	Tony He	Asset pricing under keeping up with the Joneses and heterogeneous beliefs
10:40-11:00	Coffee Break
11:00-11:45	Damir Filipovic	The term structure of interbank risk
11:50-12:20	Antonis Papapantoleon	Affine LIBOR models with stochastic basis
12:25-14:00	Lunch Break
14:00-14:45	Alexander Schied	Stochastic solutions of some optimization problems arising in finance
14:50-15:20	Florian Klöck	Existence and absence of price manipulation in a market impact model with dark pool
15:25-15:45	Coffee Break
15:45-16:30	Umut Cetin	Liquidity and risk aversion of market makers in Kyle's model
16:35-17:20	Thomas Gehrig	Scattered trust - did the 2007-08 financial crisis change risk perceptions?


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