Workshop organized by Université Paris-Dauphine

Workshop organized by Université Paris-Dauphine as part of the Fondation du Risque Chair, Dauphine-ENSAE-Groupama: "Les Particuliers Face aux Risques" Markets with frictions: transaction costs and liquidity risk Scientific Program I. Financial markets with transaction costs. The first two days are devoted to financial modeling with transaction costs; An introduction to such a topic will be given especially for participants who are not accustomed to this growing theory. Our goal is to give the opportunity for novices to get a good apprehension of this theory, including its mathematical aspects. Then, specialists will give talks of about one hour and a half on the recent advances on the subject. Among the speakers : L. Campi, E. Denis, Y. Kabanov , I. Penner , W. Schachermayer, M. Rasonyi II. Liquidity problems in financial markets. During the two last years practionners and theoriticians became aware of the importance of taking into account unliquidity in financial markets modelization . After an introduction of the subject we propose seminal talks of one and half hour regarding the recent advances in this field. Among the speakers : C. Albert Lehalle, A. Alfonsi, B. Bouchard, M. Rosembaum, H. Pham, N. Touzi From Tuesday 14 to Friday 17 September 2010