Confirmed SpeakersProgramme
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Behrens.jpg)
Dr. Jörg Behrens
fintegral
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Bell.jpg)
Dr. Steve Bell
Research in Action
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Benth.jpg)
Prof. Fred Espen Benth
Oslo University
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Brockhaus.jpg)
Dr. Oliver Brockhaus
MathFinance
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Eberlein.jpg)
Prof. Ernst Eberlein
Freiburg University
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Forsyth.jpg)
Prof. Peter Forsyth
Waterloo University
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Glemser.jpg)
Dr. Helmut Glemser
Lloyds Banking Group
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/James.jpg)
Prof. Jessica James
Commerzbank
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Leuchtmann.jpg)
Ulrich Leuchtmann
Commerzbank
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Packham.jpg)
Dr. Natalie Packham
Frankfurt School of Finance & Management
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Poulsen.jpg)
Prof. Rolf Poulsen
Copenhagen University
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Schlenkrich.jpg)
Dr. Sebastian Schlenkrich
d-fine
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Schmaltz.jpg)
Prof. Christian Schmaltz
Aarhus University
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Sepp.jpg)
Dr. Artur Sepp
Bank of America
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Weyland.jpg)
Dr. Bernadette Weyland
Hessian Ministry of Finance
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Wystup.jpg)
Prof. Uwe Wystup
MathFinance AG
Mon 23 March 2015
07:45
Registration and Breakfast
08:45
Opening Remark: Prof. Uwe Wystup
Morning Chair
09:00
Valuation in Illiquid Markets
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Eberlein.jpg)
Prof. Ernst Eberlein
Freiburg University
09:45
Analyzing the Swiss National Bank’s Euro-Guarantee
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Poulsen.jpg)
Prof. Rolf Poulsen
Copenhagen University
10:30
11:00
Superhedging with Uncertain Volatility
11:40
Pricing and Hedging under Log-normal Stochastic Volatility Dynamics
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Sepp.jpg)
Dr. Artur Sepp
Bank of America
12:20
STRIKE Mini Symposium (Parallel Event) - Room 20
See details!
Afternoon Chair
13:40
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Weyland.jpg)
Dr. Bernadette Weyland
Hessian Ministry of Finance
14:00
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Schmaltz.jpg)
Moderator: Prof. Christian Schmaltz
Aarhus University
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Leuchtmann.jpg)
Ulrich Leuchtmann
Commerzbank
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Wystup.jpg)
Prof. Uwe Wystup
MathFinance AG
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Poulsen.jpg)
Prof. Rolf Poulsen
Copenhagen University
14:45
15:15
The Relationship between Scheduled Events and FX Implied Vol
16:00
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/James.jpg)
Prof. Jessica James
Commerzbank
16:50
Wrong Way Risk in Closed Form
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Brockhaus.jpg)
Dr. Oliver Brockhaus
MathFinance
17:35
18:50
19:30
Tue 24 March 2015
08:00
Registration and Breakfast
Morning Chair
09:00
Better than Pre-commitment Mean-variance Portfolio Allocation Strategies: a Semi-self-financing Hamilton-Jacobi-Bellman Equation Approach
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Forsyth.jpg)
Prof. Peter Forsyth
Waterloo University
09:45
Multi Curves – Multi Problems?
10:30
11:00
Fast Computation of Risk Sensitivities using Adjoint PDEs
11:45
Multi-curves Calibration through Undetermined Search Algorithm
12:30
Afternoon Chair
14:00
Panel: Recent Advances in Model Risk
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Behrens.jpg)
Moderator: Dr. Jörg Behrens
fintegral
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Packham.jpg)
Dr. Natalie Packham
Frankfurt School of Finance & Management
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Glemser.jpg)
Dr. Helmut Glemser
Lloyds Banking Group
14:50
Stationarity and Risk Premia in Power Markets
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Benth.jpg)
Prof. Fred Espen Benth
Oslo University
15:20
15:50
Low Strike Extrapolation for SABR - Challenges for Pricing in Current Low Interest Rates Market Environment
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Schlenkrich.jpg)
Dr. Sebastian Schlenkrich
d-fine
16:30
Principal Components for Dummies
![](../../MF_website/UserAnonymous/Conferences/Images/Speakers/Bell.jpg)
Dr. Steve Bell
Research in Action
17:10
Closing Remark: Prof. Uwe Wystup
See details of the STRIKE Mini Symposium!
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