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|
| 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 |
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