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Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010January 11 - 15, 2010
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Audio and
Slides of Talks |
Thematic Program Homepage | ||
Confirmed Participants | Workshop Schedule | Hotels and Housing | Visitor Information |
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Topics: |
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Invited Speakers (Talk titles and abstracts) |
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Peter Bank (Technische Universität Berlin) Tomas Bjork (The Stockholm School of Economics) Bruno Bouchard (University Paris-Dauphine) Luciano Campi (Université Paris-Dauphine) Rene Carmona (Princeton University) Patrick Cheridito (Princeton University) Nicole El Karoui (Ecole Polytechnique) Damir Filipovic (Swiss Finance Institute, Ecole Polytechnique Fédérale de Lausanne) Hans Foellmer (Humboldt Universität zu Berlin) Paolo Guasoni (Scuola Normale Superiore) Kostas Kardaras (Boston University) |
Kasper Larsen (Carnegie Mellon University) Semyon Malamud (ETH-Zentrum) Michael Monoyios (University of Oxford) Miklós Rásonyi (University of Edinburgh) Emanuela Rosazza Gianin (Università di Milano-Bicocca) Mihai Sirbu (University of Texas at Austin) Josef Teichmann (University of Technology Vienna) Nizar Touzi (Ecole Polytechnique) Thaleia Zariphoupoulou (University of Texas at Austin) XunYu Zhou (University of Oxford) Gordan Zitkovic (University of Texas at Austin) |
Monday January 11 | |
09.00 - 09.15 | Welcome and Introduction Fields Director Ed Bierstone & Workshop Organizers |
09.15 -10.00 | Hans Foellmer (Humboldt Universität zu Berlin) Dynamic risk measures: time consistency, asymptotics, and the appearance of bubbles |
10.00 - 10.30 | Coffee Break |
10.30 - 11.15 | Josef Teichmann (University of Technology
Vienna) Matrix-valued affine processes -- theory and applications |
11.30 - 12.15 | Mihai Sirbu (University of Texas at
Austin) Optimal investment on finite horizon with random discrete order flow in illiquid markets |
12:30-2:00 | Lunch Break |
2:00 - 2:45 | XunYu Zhou (University of Oxford) Finding Quantiles |
2:45 - 3:15 | Coffee Break |
3:15 - 4:00 | Marco Frittelli (University of Milan) Robust representation of dynamic quasiconvex maps |
4:00 - 5:00 | Reception - cash bar |
Tuesday January 12 | |
09.15 -10.00 | Nicole El Karoui (Ecole Polytechnique) tba |
10.00 - 10.30 | Coffee Break |
10.30 - 11.15 | Paolo Guasoni (Scuola Normale Superiore) The Incentives of Hedge Fund Fees and High-Water Marks |
11.30 - 12.15 | Semyon Malamud (ETH-Zentrum) Information Percolation in Segmented Markets |
12:30-2:00 | Lunch Break |
2:00 - 2:45 | Peter Bank (Technische Universität Berlin) Market Indifference Prices |
2:45 - 3:15 | Coffee Break |
3:15 - 4:00 | Kasper Larsen (Carnegie Mellon University) Continuous equilibria with heterogeneous preferences and unspanned endowments |
4:14 - 5:00 | Jaksa Cvitanik (California Institute
of Technology) Complete Market Equilibrium with Heterogeneous Agents |
Wednesday January 13 | |
09.15 -10.00 | Dmitri Kramkov (Carnegie Mellon University) tba |
10.00 - 10.30 | Coffee Break |
10.30 - 11.15 | Gordan Zitkovic (University of Texas at Austin) Incomplete-market equilibria with exponential utilities |
11.30 - 12.15 | Luciano Campi (Université Paris-Dauphine) Markov bridges and Kyle-Back equilibrium models of insider trading |
12:30-2:00 | Lunch Break |
2:00 - 2:45 | Damir Filipovic (Swiss Finance Institute, Ecole
Polytechnique Fédérale de Lausanne) Pricing and Hedging of CDOs: A Top Down Approach |
2:45 - 3:15 | Coffee Break |
3:15 - 4:00 | Kostas Kardaras (Boston University) Financial equilibria in incomplete markets where heterogeneous agents with numeraire-invariant preferences act |
4:00 - 5:00 | Nizar Touzi (Ecole Polytechnique) tba |
6:00 | Workshop
Banquet - cash bar Joe Badalis Ristorante Italiano & Bar 156 Front St. West $45 |
Thursday January 14 | |
09.15 -10.00 | Thaleia Zariphoupoulou (University of Texas at
Austin) tba |
10.00 - 10.30 | Coffee Break |
10.30 - 11.15 | Michael Monoyios (University of Oxford) Optimal exercise of an executive stock option by an insider |
11.30 - 12.15 | Martin Schwiezer (ETH Zurich) tba |
Free Afternoon | |
Friday January 15 | |
09.15 -10.00 | Rene Carmona (Princeton University) Levy Market Models (joint with S. Nadtochiy) |
10.00 - 10.30 | Coffee Break |
10.30 - 11.15 | Patrick Cheridito (Princeton University) Equilibrium pricing in incomplete markets under translation invariant preferences |
11.30 - 12.15 | Emanuela Rosazza Gianin (Università di
Milano-Bicocca) g-expectations and the representation of the penalty term of dynamic convex risk measures |
12:30-2:00 | Lunch Break |
2:00 - 2:45 | Bruno Bouchard (University Paris-Dauphine) Optimal Control under Stochastic Target Constraints - Application to portfolio optimization under risk constraints |
2:45 - 3:30 | Miklós Rásonyi (University
of Edinburgh) Fragility of arbitrage and bubbles in diffusion models |
Full Name | University/Affiliation |
Assa, Hirbod | Université de Montréal |
Bank, Peter | Technische Universität Berlin |
Bayraktar, Erhan | University of Michigan |
Bell, Peter | University of British Columbia |
Bouchard, Bruno | University Paris-Dauphine |
Campi, Luciano | Université Paris-Dauphine |
Campolieti, Joe | Wilfrid Laurier University |
Carmona, Rene | Princeton University |
Cerny, Ales | City University London |
Chadam, John | University of Pittsburgh |
Chellathurai, Thamayanthi | Canadian Imperial Bank of Commerce |
Cheridito, Patrick | Princeton University |
Chernyk, Donna | Springer Science + Business Media, LLC |
Cvitanic, Jaksa | California Institute of Technology |
Dang, Duy Minh | University of Toronto |
Dang, Ngoc Minh | University Paris Dauphine |
Draviam, Thangaraj | |
El Karoui, Nicole | Ecole Polytechnique |
Emmerling, Thomas | University of Michigan |
Evans, Michael | University of Toronto |
Fayyad, Wael | McMaster University |
Filipovic, Damir | Vienna Institute of Finance |
Foellmer, Hans | Humboldt-Universität zu Berlin |
Frittelli, Marco | University of Milan |
German, David | Claremont McKenna College |
Grasselli, Matheus | McMaster University |
Gravelle, Toni | Bank of Canada |
Guasoni, Paolo | Boston University |
Ha, Eugene | Fields Institute |
Han, Meng | University of Toronto |
Hazaveh, Kamyar | Ontario Teachers' Pension Plan |
He, Xuedong | Columbia University |
Hernandez, Daniel | CIMAT |
Hurd, Tom | McMaster University |
Hyndman, Cody | Concordia University |
Jaimungal, Sebastian | University of Toronto |
Jeon, Yoontae | University of Toronto |
Jun, Doobae | Sungkyunkwan University |
Kang, Chulmin | KAIST |
Kang, Wanmo | KAIST |
Kapchinsky, Michael | Toronto Dominion Bank |
Kardaras, Kostas | Boston University |
Khisti, Ashish | University of Toronto |
Kim, Kyoung-kuk | Columbia Business School |
Kim, Paul | BMO |
Kramkov, Dmitry | Carnegie Mellon University |
Kravitz, Ross | University of Michigan |
Kreinin, Alexander | Algorithmics Incorporated |
Ku, Hyejin | York University |
Labuschagne, Coenraad | University of the Witwatersrand |
Lakhany, Asif | Algorithmics Incorporated |
Lamba, Harbir | George Mason University |
Larsen, Kasper | Carnegie Mellon University |
Lee, Kiseop | University of Louisville |
Leung, Louis | University of Toronto |
Leung, Siu Tang (Tim) | Johns Hopkins University |
Levin, Alex | RBC |
Li, Sebastian | University of Toronto |
Lütkebohmert-Holtz, Eva | University of Bonn |
Ma, Xiaofang | BMO |
Maggis, Marco | University of Milan |
Malamud, Semyon | Ecole Polytechnique Fédérale de Lausanne |
Marri, Fouad | York University |
Moazeni, Somayeh | University of Waterloo |
Monoyios, Michael | University of Oxford |
Muhina, Irina | Manulife |
Muhle-Karbe, Johannes | University of Vienna |
Nadtochiy, Sergey | Oxford University |
Nguyen Huu, Adrien | Université Paris IX Dauphine |
Niu, Shilei | University of Waterloo |
Nobakhtian, Soghra | University of Isfahan |
Offwood, Theresa | University of the Witwatersrand |
Řksendal, Bernt | University of Oslo |
Orihuela, Jose | University of Murcia |
Ostafe, Lavinia | University of Vienna |
Pachl, Jan | Fields Institute |
Peng, Xianhua | Columbia University |
Penn, Gerald | University of Toronto |
Perez, Leonel | CIMAT |
Pestrikov, Alex | University of York |
Pirvu, Traian | McMaster University |
Platen, Eckhard | University of Technology Sydney |
Pulido, Sergio | Cornell University |
Qiao, Yun (Carrie) | York University |
Rásonyi, Miklós | University of Edinburgh |
Robertson, Scott | Carnegie Mellon University |
Rosazza Gianin, Emanuela | Universitŕ di Milano-Bicocca |
Salisbury, Thomas | York University |
Schulze, Klaas | McMaster University |
Schweizer, Martin | ETH Zurich |
Shah, Nilesh | |
Shakouifar, Mohammad | University of Toronto |
Shen, Jerry | Bank of Montreal |
Silla, Sebastiano | Polytechnic University of Marche |
Sirbu, Mihai | University of Texas at Austin |
Sotomayor, Luz | Georgia State University |
Strong, Winslow | UC Santa Barbara |
Szeto, Kwok Yip | Hong Kong University of Science and Technology |
Tanaka, Keiichi | Tokyo Metropolitan University |
Teichmann, Josef | University of Technology Vienna |
Tourin, Agnes | |
Touzi, Nizar | Ecole Polytechnique |
Tsui, Lung Kwan | University of Pittsburgh |
Vinogradov, Vladimir | Ohio University |
Walker, Michael | University of Toronto |
Westray, Nicholas | QP Lab Berlin |
Xing, Hao | Boston University |
Zariphopoulou, Thaleia | University of Texas |
Zheng, Harry | Imperial College |
Zhou, Xunyu | University of Oxford |
Zhou, Zhuowei | McMaster University |
Zitkovic, Gordon | University of Texas at Austin |
Zubelli, Jorge | IMPA |