Industrial-Academic Workshop on Optimization in Finance and Risk Management

October 5 - 6, 2015, The Fields Institute

Location: Fields Institute

Description

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Schedule

Monday, October 5th, 2015
09:00 to 09:50	A Closed-Form Execution Strategy to Target VWAP Sebastian Jaimungal, University of Toronto Location:Fields Institute, Room 230
09:50	No Title Specified Jonathan Li, Maxime Fender, Oleksandr Romanko Location:Fields Institute, Room 230
11:30	On a Feedback Control Paradigm Addressing the Profitability of Technical Analysis B. Ross Barmish Location:Fields Institute, Room 230
14:10 to 14:35	Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions Andrew James Heunis Location:Fields Institute, Room 230
14:35 to 15:15	Statistical Arbitrage using Limit Order Book Imbalance Anton Rubisov, University of Toronto Location:Fields Institute, Room 230
15:15 to 16:05	Probabilistic Scenario Optimization (PSO): A Solution to Goal-Based and Long-Term Portfolio Choice Paolo Sironi, IBM Location:Fields Institute, Room 230
16:05	Customer Credit and Pricing Optimization Yuri Medvedev, Bank of Montreal Location:Fields Institute, Room 230

Tuesday, October 6th, 2015
09:00 to 09:50	Shared-Loss Fee Structures for Hedge Funds David Saunders, University of Waterloo Location:Fields Institute, Room 230
09:50 to 10:15	On Tail Dependence of the Gaussian Copula Alexey Kuznetsov, York University Location:Fields Institute, Room 230
10:15 to 10:40	Factor-based Robust Indexing Roy Kwon, University of Toronto Location:Fields Institute, Room 230
10:40 to 11:30	Real Option Valuation of Managerial Cash-Flow Estimates with Market Related Timing Risk Yuri Lawryshyn, University of Toronto Location:Fields Institute, Room 230
11:30	Data Driven Optimal Model for Financial Valuation and Risk Management Yuying Li, University of Waterloo Location:Fields Institute, Room 230
13:45 to 14:10	Parameter Calibration and the Impact on Hedging Strategies for OTC Derivatives Ali Bashiri, University of Toronto Location:Fields Institute, Room 230
14:10 to 14:35	Multivariate Risk Sharing and the Derivation of Individually Rational Pareto Optima Mina Mostoufi, Paris School of Economics Location:Fields Institute, Room 230
14:35 to 15:15	Linear Parametric Programs over Some Euclidean Combinatorial Sets and Applications Oksana Pichugina, Brock University Location:Fields Institute, Room 230
15:15 to 16:05	Trends in Portfolio Construction and Analytics Dessislava Pachamanova, Babson College Location:Fields Institute, Room 230
16:05	The Bank of the Future: Driven by Analytics Michael Zerbs, Scotiabank Location:Fields Institute, Room 230
17:15	Panel discussion: Optimization in Quantitative Finance and Risk Management – Industrial Perspective Adam Cilio, Yuri Medvedev, Simon Vaysman, Michael Zerbs, Jason Zhang, with moderator Andrew Aziz Location:Fields Institute, Room 230

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