THEMATIC PROGRAMS

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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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)

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) 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 Badali’s 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

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
Øksendal, 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	Università 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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