Mathematical Methods in Economy and Industry, 9-12.9.2014, Smolenice

  
  

and Summer School on Computational Finance,  8-12.9.2014

  
      

Program structure

               
                          
  

09:00

09:50

10:20

10:45

11:10

11:35

12:00

14:00

14:25

14:50

15:15

15:40

16:05

16:25

16:50

17:15

17:40

18:05

18:30

19:00

20:00

  
                          
 

Monday 2014/9/8

Guerra  (lecture)

coffee break

Ehrhardt (lecture)

lunch

Guerra (lecture)

coffee break

Ehrhardt (lecture)

Guerra (lecture)

Dinner

   
                          
 

Tuesday 2014/9/9

Manlove

coffee break

    

lunch

     

coffee break

Presentations of Summer School participants

Dinner

   
          
                          
 

Wednesday 2014/9/10

Heidergott

coffee break

Trnovská

Richtárik

lunch

Excursion

Conference dinner, Social programm, Live music

  
                          
 

Thursday 2014/9/11

Vogel

coffee break

    

lunch

 Černý (lecture)

coffee break

Černý (lecture and tutorial)

Dinner

Wine tasting

  
              
                          
 

Friday 2014/9/12

  

coffee break

Gfrerer

Asada

lunch

Departure

             
                          
                          
  

Legend:

  

Invited lectures, 50 minutes including discussion

             
     

Contributed talks, 25 minutes including discussion

             
     

Summer School on Computational Finance,  8.-12.9.2014

             
                          
                          
                          
                          
                          
                          
                          

Mathematical Methods in Economy and Industry

  

9-12.9.2014, Smolenice

  
        
   

Tuesday, September 9, 2014

  
        

8:50

9:00

 

Opening ceremony

   
        
   

Chairperson:

Katarína Cechlárová

   
        

9:00

9:50

 

David F.

Manlove

Junior Doctor Allocation and Kidney Exchange in the UK: Theory and Practice

  
        

9:50

10:20

 

Coffee break

    
        
   

Chairperson:

Miloš Kopa

   
        
   

Section:

Stochastic Programming, Probability Theory

  

10:20

10:45

 

Jitka

Dupačová 

Stress testing for risk-averse stochastic programs

  

10:45

11:10

 

Vlasta

Kaňková 

Empirical Estimates in Stochastic Programs with Probability and Second Order Stochastic Dominance Constrained

  

11:10

11:35

 

Petr

Lachout 

Description of families of quasi-concave functions

  

11:35

12:00

 

Martin

Branda 

Exact penalization in stochastic programming under calmness and constraint qualification conditions

  
        

12:00

14:00

 

Lunch

    
        
   

Chairperson:

David Manlove

   
        
   

Section:

Mathematical Economy, Game theory, Portfolio Optimization

  

14:00

14:25

 

Katarína

Cechlárová 

Modelling placement of teachers to schools

  

14:25

14:50

 

Pavlos

Eirinakis 

Pareto optimal matchings

  

14:50

15:15

 

Miloš

Kopa 

Representative utility functions in portfolio efficiency testing with respect to various stochastic dominance criteria

  

15:15

15:40

 

Agnieszka

Wiszniewska  - Matyszkiel

Dynamic oligopoly with sticky prices --- off-steady-state analysis

  

15:40

16:05

 

Rudolf

Zimka 

On the converse of Hartwick´s result in a multi-dimensional model of an economy with exhaustible resources

  
        

16:05

16:25

 

Coffee break

    
        
   

Chairperson:

Pavol Brunovský

   
        
   

Section:

Mathematical Economy,  Portfolio Optimization (Paralell session – Main lecture room)

  

16:25

16:50

 

Eva

Kvasničková

Impact of Luck on Performance Classification of Socially Responsible and Conventional Mutual Funds

  

16:50

17:15

 

Július

Krempaský 

A quantitative approach to the theory of evolution of economic systems

  

17:15

17:40

 

Vladimír

Špitalský 

Multinomial likelihood the recession cone view

  

17:40

18:05

 

Martin

Šmíd 

A model of rational behaviour at limit order markets

  
        
   

Chairperson:

Ljudmila Bordag

   
        
   

Section:

    
   

Financial Mathematics, I. Part  (Paralell session for Summer School participants – Hunting salon)

  

16:25

16:50

 

Zuzana

Bučková 

Numerical Analysis of the Alternating Direction Explicit Method and its Application in Finance

  

16:50

17:15

 

Vera

Egorova

Constructing Positive Reliable Numerical Solution for American Options: A New Front-Fixing Approach

  

17:15

17:40

 

Walter

Mudzimbabwe 

Numerical solution of a stochastic control problem of option pricing for a liquidity switching Market

  

17:40

18:05

 

Filipe

Santos

Convexity adjustments for the pricing of futures and forwards

  

18:05

18:30

 

Christian

Hendricks 

High order Combination Technique for the efficient Pricing of Basket Options

  

18:30

18:55

 

Long

Teng

Option Price with dynamically correlated Stochastic Interest Rate

  
        

19:00

20:00

 

Dinner

    
        
        

Mathematical Methods in Economy and Industry

  

9-12.9.2014, Smolenice

  
        
   

Wednesday, September 10, 2014

  
        
   

Chairperson:

Silvia Vogel

   
        

9:00

9:50

 

Bernd

Heidergott

Towards a Statistical System Analysis

  
        

9:50

10:20

 

Coffee break

    
        
   

Chairperson:

Daniel Ševčovič

   
        

10:20

11:10

 

Mária

Trnovská

Conic relaxations and strong duality in quadratic programs

  

11:10

12:00

 

Peter

Richtárik

A Unified Theory of Randomized Block Coordinate Descent Methods for Big Data Optimisation

  
        

12:00

13:30

 

Lunch

    
        

13:30

18:00

 

Excursion

    
        

19:00

23:00

 

Conference dinner, Social programme, Live music

  
        
        

Mathematical Methods in Economy and Industry

  

9-12.9.2014, Smolenice

  
        
   

Thursday, September 11, 2014

  
        
   

Chairperson:

Petr Lachout

   
        

9:00

9:50

 

Silvia

Vogel 

Random Approximations and Confidence Sets in Multiobjective Optimization

  
        

9:50

10:20

 

Coffee break

    
        
   

Chairperson:

Pavol Brunovský

   
        
   

Section:

Differential equations and Optimization

  

10:20

10:45

 

Mariana

Remešíková 

Truss structure design using a length-oriented surface remeshing technique

  

10:45

11:10

 

Daniel

Ševčovič 

Solution to the inverse Wulff problem by means of the enhanced semidefinite relaxation method

  

11:10

11:35

 

Zuzana

Chladná

Incentive to vaccinate: a synthesis of the two approaches

  

11:35

12:00

 

Michal

Zákopčan 

Equilibria and stable paths in infinite horizon nonlinear control problems with discrete time the linear-quadratic approximation

  
        

12:00

14:00

 

Lunch

    
        
   

Chairperson:

Peter Richtárik

   
        
   

Section:

Optimization, Topological design, Mathematical Programming

  

14:00

14:25

 

Jakub

Konečný 

Semi-Stochastic Gradient Descent Methods

  

14:25

14:50

 

Michal

Houda

On the use of Archimedean copulas in chance-constrained programming

  

14:50

15:15

 

David

Bartl 

A discrete version of Farkas' Lemma, homogeneous systems of linear inequalities, and a Duality Theorem for homogeneous linear programming

  

15:15

15:40

 

Matus

Benko 

Active set method for mathematical programs with complementarity constraints

  

15:40

16:05

 

Roman

Kukumberg

Methods for solving nonsmooth convex problems

  
        

16:05

16:25

 

Coffee break

    
        
   

Chairperson:

Maria do Rosario Grossinho

  
        
   

Section:

Financial Mathematics, II. Part (Paralell session – Main lecture room)

  

16:25

16:50

 

Soňa

Kilianová

Dynamic Worst Case Portfolio Optimization via a Hamilton-Jacobi-Bellman Equation

  

16:50

17:15

 

Sima

Mashayekhi 

Nonstandard Finite Difference Scheme for a Nonlinear Black-Scholes equation with Transaction Costs

  

17:15

17:40

 

Ljudmila A.

Bordag 

Optimization problem for a portfolio with an illiquid asset: Lie group analysis

  

17:40

18:05

 

Kamil

Kladivko 

An Incomplete Market Approach to Employee Stock Option Valuation

  

18:05

18:30

 

Lubin

Vulkov 

On Fitted Finite Volume Splitting Operator Methods for the Valuation of Asian Options

  

18:30

18:55

 

Tihomir

Gyulov 

Well-Posedness and Comparison Principle for Option Pricing with Liquidity Shocks

  
        

19:00

20:00

 

Dinner

    

20:00

22:00

 

Wine tasting

    
        
        

Mathematical Methods in Economy and Industry

  

9-12.9.2014, Smolenice

  
        
   

Friday, September 12, 2014

  
        
   

Chairperson:

Soňa Kilianová

   
        
   

Section:

Financial Mathematics, III. Part

  

9:00

9:25

 

Igor

Melicherčík

Investment Strategies in the Funded Pillar of the Slovak Pension System

  

9:25

9:50

 

Pedro

Pólvora

Derivative pricing with transaction costs using a stochastic utility maximization model

  
        

9:50

10:20

 

Coffee break

    
        
   

Chairperson:

Rudolf Zimka

   
        

10:20

11:10

 

Helmut

Gfrerer 

Handling mathematical programs with equilibrium constraints by generalized equations

  

11:10

12:00

 

Toichiro

Asada 

Mathematical Modeling of Financial Instability and Macroeconomic Stabilization Policies

  
        

12:00

12:10

 

Closing of MMEI2014 Conference and the Summer School

  
        

12:10

14:00

 

Lunch

    
        

14:00

15:00

 

Departure

    
        
        

Summer School on Computational Finance,  8-12.9.2014

  
        
   

Monday, September 8, 2014

  
        
   

Opening of the Summer School

  
        
   

Chairperson:

Daniel Ševčovič

   
        
   

Lectures on Stochastic dynamic programming

  

9:10

9:50

 

Manuel

Guerra 

Stochastic dynamic programming and control of Markov processes I. part

  
        

9:50

10:20

 

Coffee break

    
        
   

Lectures on Project management

  

10:20

12:00

 

Matthias

Ehrhardt

Project management and soft skills tutorials I. part – Risk Assessment

  
        

12:00

14:00

 

Lunch

    
        
   

Chairperson:

Daniel Ševčovič

   
        
   

Lectures on Stochastic dynamic programming

  

14:00

16:05

 

Manuel

Guerra 

Stochastic dynamic programming and control of Markov processes II. part

  
        

16:05

16:25

 

Coffee break

    
        
   

Chairperson:

Daniel Ševčovič

   
        
   

Lectures on Stochastic dynamic programming and project management

  

16:25

17:40

 

Matthias

Ehrhardt

Project management and soft skills tutorials, II. and III. parts - Grant writing in Horizon 2020 framework program and Time Management

  

17:40

18:55

 

Manuel

Guerra 

Stochastic dynamic programming and control of Markov processes III. part and tutorials

  
        
   

Tuesday, September 9, 2014

  
        

9:00

12:00

 

Attendance of the Summer School participants at plenary and contributed section talks

  

14:00

16:05

 

Attendance of the Summer School participants at plenary and contributed section talks

  

16:25

18:55

 

Contributed talks of participants of the Summer School in the Section Financial Mathematics

  
        
   

Wednesday, September 10, 2014

  
        

9:00

12:00

 

Attendance of the Summer School participants at plenary talks

  
        
   

Thursday, September 11, 2014

  
        

9:00

12:00

 

Attendance of the Summer School participants at plenary and contributed section talks

  
        
   

Chairperson:

Manuel Guerra

   
        
   

Lectures on Mean-Variance hedging  (Paralell session for Summer School participants – Hunting salon)

  

14:00

16:05

 

Aleš

Černý

Mean-variance hedging of financial derivatives, I. part

  

16:25

18:55

 

Aleš

Černý

Mean-variance hedging of financial derivatives, II. part and tutorials

  
        
   

Friday, September 12, 2014

  
        

9:00

9:50

 

Contributed talks of participants of the Summer School in the Section Financial Mathematics, III. Part

  

10:20

12:00

 

Attendance of the Summer School participants at plenary and contributed section talks