• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • А
  • А
  • А
  • А
  • А
Обычная версия сайта

Доклады, сделанные сотрудниками лаборатории в 2014 году

 

Международные конференции

Gushchin A. A characterization of minimax tests with application to efficient partial hedging. «The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus», Métabief, France, January 12-18, 2014. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/

Gushchin A. On embedding of processes. International conference «Stochastic calculus, Martingales and Financial Modeling», Pushkin, June 30- July 7, 2014. http://ilqf.hse.ru/confPushkin

Kabanov Yu. Arbitrage theory under transaction costs (minicourse). «The First Bachelier Winter School in Mathematical Finance», Métabief, France, January 19-26, 2014.

Kabanov Yu. No Asymptotic Arbitrage of the 1st Kind and Market Portfolios. «Winter Workshop on Finance». Hokkaido University, Sapporo, Japan, February 16-17, 2014.

Kabanov Yu. Local Martingale and Supermartingale Numeraire Portfolios. «International Conference on Portfolio Selection and Asset Pricing in Financial Markets». Kyoto University, Japan. March 28-29, 2014.

Kabanov Yu. Mathematical Theories of Option Pricing. «XV April International Academic Conference on Economic and Social Development». Higher School of Economics, Moscow. April 1-4, 2014.

Kabanov Yu. On Traded Local Martingale Deflators. Workshop «Stochastic Analysis in Finance and Insurance». Mathematisches Forschungsinstitut Oberwolfach, May 5-9, 2014. https://www.mfo.de/occasion/1419/www_view

Kabanov Yu. In the Life Insurance Business Risky Investments are Dangerous. Workshop «Contemporary Topics in Actuarial Sciences». Besançon, June 4-6, 2014. http://trimestres-lmb.univ-fcomte.fr/CoTAcS-Contemporary-Topics-in.html

Kabanov Yu. Arbitrage theory under transaction costs (minicourse). «Summer School on Financial Mathematics». Pushkin, July 3-7, 2014.

Kabanov Yu. Actuarial problems in financial environment. Workshop «Stochastic Analysis for Risk Modelling»; CIRM, Marseille, September 8-12, 2014. http://www.cirm-math.fr/spip.php?rubrique2&EX=info_rencontre&id_renc=1009&annee=2014

Kabanov Yu. Stochastic deflators and market portfolios. International conference «Science of the Future». St. Petersburg, September 17-20, 2014. http://p220conf.ru/program

Lyulko Y. Maximal inequalities for skew Brownian motion and related optimal stopping problems. «The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus». Métabief, France, January 12-18, 2014. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/

Muravey D. Laplace transform and hypergeometric functions methods: a unified approach for some interest rate models. «SIAM Conference on Financial Mathematics & Engineering» Chicago, USA, November 13-15, 2014. http://www.siam.org/meetings/fm14/

Muravlev A. Quickest disorder detection problem with sequential hypothesis testing. «The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus». Métabief, France, January 12-18, 2014. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/

Palamarchuk E. Long-term impacts of average optimal policies in linear control systems under general time preference. «The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus». Métabief, France, January 12-18, 2014. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/

Palamarchuk E. On the strong law of large numbers for some self-normalized stochastic processes. International conference «Stochastic calculus, Martingales and Financial Modeling», Pushkin, June 30- July 7, 2014. http://ilqf.hse.ru/confPushkin

Palamarchuk E. Time preference and disturbance impact on long-run optimality in linear stochastic control systems. International conference «Science of the Future», St. Petersburg, September 17-20, 2014. http://p220conf.ru/program

Peresetsky A. (with I. Korhonen) Extracting global stochastic trend from non-synchronous data. «The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus». Métabief, France, January 12-18, 2014. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/

Peresetsky A. (with R. Durdyev) Autocorrelation in the global stochastic trend. «12th INFINITI Conference on International Finance», Prato, Italy, June 9–11, 2014. http://infiniticonference.com/previous-conferences/infiniti2014/

Tankov P. Hedging under multiple risk constraints. International conference «Stochastic calculus, Martingales and Financial Modeling», Pushkin, June 30- July 7, 2014. http://ilqf.hse.ru/confPushkin

Tankov P. Jump processes in risk management (minicourse). «Summer School on Financial Mathematics», Pushkin, July 3-7, 2014.

Tankov P. Approximate indifference pricing in exponential Lévy models. International conference «Science of the Future», St. Petersburg, September 17-20, 2014. http://p220conf.ru/program

Zhitlukhin M. Testing hypotheses about the sign of the drift of a Brownian motion. «The 8th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus», Métabief, France, January 12-18, 2014. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/

Zhitlukhin M. On general equations for optimal stopping boundaries. «Winter Workshop on Finance», Hokkaido University, Sapporo, Japan. February 16-17, 2014.

Zhitlukhin M. A coherent performance measure based on the Sharpe ratio. International conference «Stochastic calculus, Martingales and Financial Modeling», Pushkin, June 30- July 7, 2014. http://ilqf.hse.ru/confPushkin

Zhitlukhin M. Comparison of random variables and financial measures of performance. International conference «Science of the Future», St. Petersburg, September 17-20, 2014. http://p220conf.ru/program

Гущин А. А. О верхней цене хеджирования неотрицательных платежных обязательств. XV международная конференция по проблемам развития экономики и общества,НИУ ВШЭ, Москва, April 1–4, 2014.

Житлухин М. В. Динамические системы фон Неймана – Гейла и хеджирование финансовых контрактов. XV международная конференция по проблемам развития экономики и общества, НИУ ВШЭ, Москва, April 1–4, 2014.

Паламарчук Е. С. A comparison theorem for a class of Riccati differential equations and its application to a pollution control problem. Международная научная конференция студентов, аспирантов и молодых ученых «Ломоносов», МГУ, Москва, 7-11 апреля 2014. http://new.math.msu.su/department/opu/node/236?language=en

Паламарчук Е. С. Временные предпочтения в социально-экономическом аспекте управления. Международная научная конференция «Актуальные проблемы управления». РГГУ, Москва, 24 апреля 2014.

Порошина А. М., Карминский А. М. Оценка кредитного риска при ипотечном жилищном кредитовании. XV международная конференция по проблемам развития экономики и общества, НИУ ВШЭ, Москва, April 1–4, 2014.

Ipatova I., Peresetsky A. Technical efficiency of Russian plastic and rubber production firms. 2014 Asia Pacific Productivity Conference, 7–11 July, 2014, Brisbane, Australia.


Российские конференции

Паламарчук Е. С. Вероятностные критерия оптимальности в линейных управляемых системах. XII Всероссийское совещание по проблемам управления. ИПУ РАН, Москва, 16-19 июня 2014.

Дурдыев Р.И., Пересецкий А. А. Автокорреляция в глобальном стохастическом тренде. 10-я конференция «Применение многомерного статистического анализа в экономике и оценке качества». Москва, НИУ ВШЭ, 26–28 августа 2014.

 

Научные семинары

Peresetsky A. (with R. Durdyev) Autocorrelation in the global stochastic trend. Bank of Finland’s Institute for Economies in Transition. October 22, 2014. http://www.suomenpankki.fi/bofit_en/bofit/ajankohtaista/tapahtumat/Pages/seminar22102014.aspx

 

Участие в организации конференций

Kabanov Yu. Organizer of the international conference "Stochastics. Statistics. Financial mathematics", Moscow, October, 13-15, 2014.  http://ilqf.hse.ru/autumn-conference
Kabanov Yu.
 Member of The Program Committee of the first international conference "Science of the Future", St. Petersburg, September 17-20, 2014. http://p220conf.ru/ru/
Kabanov Yu. Organizer of the Summer School on Financial Mathematics, Pushkin, July, 3-7, 2014.
Kabanov Yu. Organizer of the International conference "Stochastic calculus, martingales and finance", Pushkin, June, 29 - July, 6, 2014. http://ilqf.hse.ru/confPushkin
Kabanov Yu. Organizer of The 8th Bachelier Colloquium in Stochastic Calculus and Mathematical Finance, Métabief, France, January 12–18, 2014. Co-organizers:  J. Grépat, L.Grigorieva, J.-P. Ortega. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/
Kabanov Yu. Organizer of The First Bachelier Winter School in Mathematical Finance, Metabief, January 19–26, 2014. Co-organizers: J. Grépat, L. Grigorieva, J.-P. Ortega. http://ykabanov.perso.math.cnrs.fr/Bachelier2014/Shcool%20programmes%20angl/index_B3_Sang.html
Muravlev A. Member of The Organizing Comittee of the international conference "Stochastic calculus, martingales and finance", Pushkin, June, 29 - July, 6, 2014. http://ilqf.hse.ru/confPushkin
Muravlev A. Member of The Organizing Comittee of the international conference "Stochastics. Statistics. Financial mathematics", Moscow, October, 13-15, 2014. http://ilqf.hse.ru/autumn-conference
Palamarchuk K. Member of The Organizing Comittee of the Summer School on Financial Mathematics, Pushkin, July, 3-7, 2014.
Zhitlukhin M. Member of The Organizing Comittee of the international conference "Stochastic calculus, martingales and finance", Pushkin, June, 29 - July, 6, 2014. http://ilqf.hse.ru/confPushkin
Zhitlukhin M. Member of The Organizing Comittee of the international conference "Stochastics. Statistics. Financial mathematics", Moscow, October, 13-15, 2014. http://ilqf.hse.ru/autumn-conference
 

 

Нашли опечатку?
Выделите её, нажмите Ctrl+Enter и отправьте нам уведомление. Спасибо за участие!