May 30, 2024

Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

January 11 - 15, 2010
Workshop on Foundations of Mathematical Finance

Scientific Committee: Jaksa Cvitanic, Dmitri Kramkov, Marco Frittelli (chair), Martin Schweizer, Nizar Touzi

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  • Semimartingale modelling
  • Utility theory and portfolio selection
  • Risk measures
  • Pricing and hedging in incomplete markets
  • General equilibrium
  • Stochastic control and backward stochastic differential equation

Invited Speakers (Talk titles and abstracts)

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)

Tentative Workshop Schedule

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)
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)
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)
6:00 Workshop Banquet - cash bar
Joe Badali’s Ristorante Italiano & Bar
156 Front St. West
Thursday January 14
09.15 -10.00 Thaleia Zariphoupoulou (University of Texas at Austin)
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)
  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

Confirmed Participants as of January 21, 2010

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


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