Bachelier Finance Society 5th World Congress - 15-19 July 2008

Overview

The Fifth World Congress of the Bachelier Finance Society will take place in London in 2008, at the Royal Geographical Society (RGS) and nearby Imperial College.
The Congress Organizers and Scientific Committee are listed on the Organization page.

The conference will begin on the afternoon of Tuesday 15 July with registration and a pair of plenary talks held at RGS, followed by a reception. On the following days, further distinguished speakers will present plenary talks at RGS. Contributed talks will be given in parallel sessions at Imperial College. The conference will conclude with a banquet on the evening of Saturday 19 July.

Programme

This is a preliminary outline of the programme for the Congress. Please check back for updates.

Plenary sessions will take place at RGS and parallel sessions will take place at Imperial College.

Tuesday at RGS

15.00-16.30		Registration
16.30-17.30		Presidential address (Steven E. Shreve)
17.30-18.30		Plenary lecture
18.30-20.00		Reception

Wednesday, Thursday and Friday

09.00-10.00		Plenary lecture
10.00-11.00		Plenary lecture
11.00-11.30		Coffee
11.30-13.00		Parallel sessions
13.00-14.00		Lunch
14.00-15.30		Parallel sessions
15.30-16.00		Tea
16.00-17.30		Parallel sessions

Saturday

08.30-09.30		Plenary lecture
09.30-10.30		Plenary lecture
10.30-11.00		Coffee
11.00-12.30		Parallel sessions
12.30-14.00		Lunch
14.00-15.30		Parallel sessions
15.30-16.00		Tea
16.00-17.00		Plenary lecture
17.00-18.00		Special Guest Lecture (S.R.S. Varadhan)
19.45		Banquet at Vinopolis

Plenary Talks

Tuesday 16.30-17.30	Steven Shreve	Where did we come from and where are we going?
Tuesday 17.30-18.30	Tomas Bjork	An overview of some non-standard optimal contrl problems
Wednesday 09.00-10.00	Jaksa Cvitanic	Contract theory in continuous time
Wednesday 10.00-11.00	Dmitry Kramkov	Risk-tolerance wealth processes and corrections to the Black and Scholes formula adue to market imperfections
Thursday 09.00-10.00	Marco Frittelli	Conditional Risk Premium
Thursday 10.00-11.00	Philip Dybvig	TBA
Friday 09.00-10.00	Lars Peter Hansen	Modeling the Long Run: Valuation in Dynamic Stochastic Economies
Friday 10.00-11.00	Jim Gatheral	Constitent modeling of VIX and SPX options
Saturday 08.30-09.30	Alexander Lipton	A comparative analysis of synthetic and asset-backed CDOs
Saturday 09.30-10.30	Nizar Touzi	The super-hedging approach to quantile hedging
Saturday 16.00-17.00	Philip Protter	Modeling Financial Bubbles
Saturday 17.00-18.00	SRS Varadhan	TBA

Registration

Please register online at http://www.bfs2008.com/registration/

More information about Bachelier Finance Society 5th World Congress in London...