MAY 19, 2008 Morning

Chaired by: Farid AIT SAHLIA (University of Florida)

Stan URYASEV (University of Florida) CDO Structuring: an Optimization Approach

Amal Moussa (Columbia University) : A closer look at CDO ratings.

Andreea MINCA ( Ecole Polytechnique ): Extracting default intensities implied by CDO quotes

Ying JIAO ( ESILV) Modeling of successive default events

MAY 19, 2008 Afternoon

Chaired by: Rama CONT

Bruno DUPIRE (Bloomberg) : Two Financial Applications of the Root Solution of the Skorohod Embedding Problem

Peter TANKOV ( Universite de Paris VII ) Measuring and pricing jump risk: from CPPI funds to gap options

Ekaterina VOLTCHKOVA (Universite de Toulouse I ) Asymptotic analysis of hedging errors in models with jumps

Mark BROADIE (Columbia University): Understanding index option returns.

MAY 20, 2008 Morning

Chaired by: TBC

Marco AVELLANEDA (New York University) Modeling stock price pinning on option expiration dates: the effect of price-impact models

Olivier PIRONNEAU (Universite de Paris VI) Pros and Cons of Finite Element Methods for Option Pricing

Stephane CREPEY ( Universite d'Evry ) Simulation of default loss distributions using particle methods

Emmanuel Gobet (InP Grenoble - ENSIMAG) Smart Expansions and Fast Calibration methods for Jump Diffusion models

MAY 20, 2008 Afternoon

Chaired by : Nicole EL KAROUI

Alfred GALICHON (Ecole Polytechnique) Comonotonic measures of multivariate risks

Romain DEGUEST (Columbia & Ecole Polytechnique) Robustness and sensitivity analysis of risk measurement procedures

Jun Ya GOTOH (Chuo University) Portfolio Learning via VaR/CVaR Minimization

Rene Aid (Electricite de France) Financial risk management in power markets

Jean-Michel LASRY (CALYON) Asset manager incentive and risk mispricing: a MFG approach

MAY 21, 2008 Morning

Chaired by: Nizar TOUZI

Luciano Campi (Univ Dauphine) Multivariate Utility Maximization with Proportional Transaction Costs

Umut Cetin (LSE) Insider trading in credit markets with dynamic information asymmetry

Yann Braouezec ( ESILV ) Corporate liquidity and the value of the firm

Bruno BOUCHARD (Dauphine) Optimal reflection of diffusions and barrier options pricing under constraints

MAY 21, 2008 Afternoon

Chaired by : Paul GLASSERMAN (Columbia University)

David Fournie (Columbia University) A market model for forward variance and VIX futures

Pierre Henry-Labordère (Societe Generale) A Mathematical Bestiary for Finance: From Differential Geometry to Hopf Algebra

Serguei NOVAK (Middlesex) Measures of financial risks and market crashes.

Romuald ELIE (Dauphine) The stochastic target approach to quantile hedging

Discussion and closing session ( Farid AitSahlia, Rama Cont, Nizar Touzi )