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 | |||||