Workshops

Programs > Workshops > Financial Mathematics Tutorials

Financial Mathematics Tutorials

Part of the Long Program Broad Perspectives and New Directions in Financial Mathematics

March 10 - 13, 2015

Schedule

Tuesday, March 10, 2015
9:00 - 9:45	René Carmona (Princeton University) High Frequency Markets and Optimal Execution I
10:00 - 10:45	Jean-Pierre Fouque (University of California, Santa Barbara (UC Santa Barbara)) Systemic Risk: Diffusion Models and Stochastic Games I
11:30 - 12:15	Thaleia Zariphopoulou (University of Texas at Austin) Stochastic modeling and optimal portfolio construction I
2:00 - 2:45	Thaleia Zariphopoulou (University of Texas at Austin) Stochastic modeling and optimal portfolio construction II
Wednesday, March 11, 2015
9:00 - 9:45	Ronnie Sircar (Princeton University) Energy and Commodity Markets I
10:00 - 10:45	Jean-Pierre Fouque (University of California, Santa Barbara (UC Santa Barbara)) Systemic Risk: Diffusion Models and Stochastic Games II
11:30 - 12:15	Thaleia Zariphopoulou (University of Texas at Austin) Stochastic modeling and optimal portfolio construction III
2:00 - 2:45	René Carmona (Princeton University) High Frequency Markets and Optimal Execution II
Thursday, March 12, 2015
9:00 - 9:45	Ronnie Sircar (Princeton University) Energy and Commodity Markets II
10:00 - 10:45	Rama Cont (Imperial College) Systemic Risk: Channels of Contagion in Financial Systems I
11:30 - 12:15	Rama Cont (Imperial College) Systemic Risk: Channels of Contagion in Financial Systems II
2:00 - 2:45	René Carmona (Princeton University) High Frequency Markets and Optimal Execution III
3:00 - 3:45	Rama Cont (Imperial College) Systemic Risk: Channels of Contagion in Financial Systems III
Friday, March 13, 2015
9:00 - 9:45	Ronnie Sircar (Princeton University) Energy and Commodity Markets III
10:00 - 10:45	George Papanicolaou (Stanford University) More Ways to Look at Trading on a Limit Order Book