SCIENTIFIC PROGRAMS AND ACTIVITIES

July 23, 2014
THE FIELDS INSTITUTE FOR RESEARCH IN MATHEMATICAL SCIENCES

Quantitative Finance Retrospective Workshop
October 27-30, 2013

Organizers:
Marco Frittelli (Milan), Matheus Grasselli (McMaster),
Lane Hughston (Brunel University and University College London), Thomas R. Hurd (McMaster),
Catherine Lubochinsky (Global Risk Institute),
Mathieu Rosenbaum (University Pierre and Marie Curie, Paris 6)

Schedule

Sunday October 27, 2013
9:20-9:30 Opening Remarks
9:30-10:20 Mete Soner
Robust Hedging, Duality and No-Arbitrage
10:30-11:00 Coffee Break
11:00-11:50 Michael Kupper
On Robust Duality and Superhedging under Model Uncertainty
12:00-1:30 Lunch
1:30-2:20 Mathieu Rosenbaum
Estimation of the Efficient Price from the Order Flow
2:30-3:20 Marcel Nutz
On Model Uncertainty in Discrete Time
3:30-4:00 Coffee Break
4:00-4:50

Marco Frittelli
Robust Arbitrage

Monday October 28, 2013
9:00-9:50 Sasha Stoikov
Time is Money: Estimating the Cost of Latency in Trading (slides)
10:00-10:50 Anna Obizhaeva
Smooth Trading with Overcondence and Market Power (slides)
11:00-11:30 Coffee Break
11:30-12:20 Rob Almgren
Option Hedging with Market Impact (slides)
12:30-2:00 Lunch
2:00-2:50 Torben Andersen
Assessing VPIN Measurement of Toxic Order Flow Toxicity via Perfect Trade Classification (slides)
3:00-3:30 Coffee Break
3:30-4:20 Joshua Reed
High Frequency Asymptotics for the Limit Order Book
4:30-5:20 Sebastian Jaimungal
Robust Market Making
Tuesday October 29, 2013

9:30-10:20

Teemu Pennanen
Optimal Investment and Contingent Claim Valuation in Illiquid Markets (slides)
10:30-11:00 Coffee Break
11:00-11:50

Dorje Brody
Aggregation of Risk Aversion in Heterogeneous Markets

12:00-1:30 Lunch
1:30-2:20 Martijn Pistorius
Optimal Dividend Distribution in the Presence of a Penalty
2:30-3:20 Monique Jeanblanc
Non-arbitrage Conditions up to Random Horizon and after Honest Times (slides)
3:30-4:00 Coffee Break
4:00-4:50

Igor Cialenco
On Bid-Ask Prices for Dividend Paying Securities (slides)

Wednesday October 30, 2013
9:30-10:20 Laurent Clerc
New Advances in Measuring and Assessing Systemic Risks: a Central Bank Perspective (slides)
10:30-11:00 Coffee Break
11:00-11:50 Lane Hughston
On the Relation between Risk and Return when Asset Prices Jump
12:00-1:30 Lunch
1:30-2:20 Viral Acharya
Measuring Systemic Risk
measurement link: Vlab.stern.nyu.edu/welcome/risk
2:30-3:20 Alfred Lehar
Why are Banks Highly Interconnected? (slides)
3:30-4:00 Coffee Break

4:00-4:50

Tom Hurd
Illiquidity and Insolvency Cascades in the Interbank Network