Workshop on Foundations of Mathematical Finance

January 11 - 15, 2010, The Fields Institute

Location: Fields Institute

Description

Topics:
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)

Monday, January 11th, 2010
09:00 to 09:15	Welcome and Introductions Location:
09:15 to 10:00	Dynamic risk measures: time consistency, asymptotics, and the appearance of bubbles Hans Föllmer, Humboldt University of Berlin Location:
10:00 to 10:30	Coffee Break
10:30 to 11:15	Matrix-valued affine processes -- theory and applications Josef Teichmann, ETH Zürich Location:
11:30 to 12:15	Optimal investment on finite horizon with random discrete order flow in illiquid markets Mihai Sirbu, University of Texas at Austin Location:
12:30 to 14:00	Lunch Break
14:00 to 14:45	Finding Quantiles Xunyu Zhou Location:
14:45 to 15:15	Coffee Break
15:15 to 16:00	Robust representation of dynamic quasiconvex maps Marco Frittelli, Università degli studi di Milano Location:

Tuesday, January 12th, 2010
09:15 to 10:00	No Title Specified Nicole El Karoui Location:
10:00 to 10:30	Coffee Break
10:30 to 11:15	The Incentives of Hedge Fund Fees and High-Water Marks Paolo Guasoni, Boston University and Dublin City University and DCU Location:
11:30 to 12:15	Information Percolation in Segmented Markets Semyon Malamud, Ecole Polytechnique Location:
12:30 to 14:00	Lunch Break
14:00 to 14:45	Market Indifference Prices Peter Bank, Technical University of Berlin Location:
15:15 to 16:00	Continuous equilibria with heterogeneous preferences and unspanned endowments Kasper Larsen, Carnegie Mellon University Location:
16:15	Complete Market Equilibrium with Heterogeneous Agents Jaksa Cvitanic, California Institute of Technology Location:

Wednesday, January 13th, 2010
09:15 to 10:00	No Title Specified Dmitry Kramkov, Carnegie Mellon University Location:
10:00 to 10:30	Coffee Break
10:30 to 11:15	Incomplete-market equilibria with exponential utilities Gordan Zitkovic, University of Texas at Austin Location:
11:30 to 12:15	Markov bridges and Kyle-Back equilibrium models of insider trading Luciano Campi, University Paris 13 Location:
12:30 to 14:00	Lunch Break
14:00 to 14:45	Pricing and Hedging of CDOs: A Top Down Approach Damir Filipovic, Ecole polytechnique fédérale de Lausanne (EPFL) and Ecole polytechnique fédérale de Lausanne (EPFL) and Swiss Finance Institute Location:
15:15 to 16:00	Financial equilibria in incomplete markets where heterogeneous agents with numeraire-invariant preferences act Kostas Kardaras, London School of Economics Location:
16:00 to 17:00	No Title Specified Nizar Touzi Location:
18:00 to 20:00	Workshop Banquet - cash bar Joe Badali’s Ristorante Italiano & Bar 156 Front St. West $45

Thursday, January 14th, 2010
09:15 to 10:00	No Title Specified Thaleia Zariphopoulou, University of Texas at Austin Location:
10:00 to 10:30	Coffee Break
10:30 to 11:15	Optimal exercise of an executive stock option by an insider Michael Monoyios, University of Oxford Location:
11:30 to 12:15	No Title Specified Martin Schweizer, ETH Zürich Location:

Friday, January 15th, 2010
09:15 to 10:00	Levy Market Models (joint with S. Nadtochiy) René Carmona, Princeton University Location:
10:00 to 10:30	Coffee Break
10:30 to 11:15	Equilibrium pricing in incomplete markets under translation invariant preferences Patrick Cheridito, ETH Zürich Location:
11:30 to 12:15	g-expectations and the representation of the penalty term of dynamic convex risk measures Emanuela Rosazza Gianin, Università degli studi di Milano Location:
12:30 to 14:00	Lunch Break
14:00 to 14:45	Optimal Control under Stochastic Target Constraints - Application to portfolio optimization under risk constraints Bruno Bouchard, Université Paris - Dauphine Location:
15:15 to 16:00	Fragility of arbitrage and bubbles in diffusion models Miklos Rasonyi, University of Edinburgh Location:

Jaksa Cvitanic - California Institute of Technology

Marco Frittelli - Università degli studi di Milano

Dmitry Kramkov - Carnegie Mellon University

Martin Schweizer - ETH Zürich

Nizar Touzi