New Directions in Financial Mathematics

January 5 - 8, 2010

Schedule

All times in this Schedule are Pacific Time (PT)

Tuesday, January 5, 2010

Morning Session
8:30 - 9:20 Check-In/Breakfast (Hosted by IPAM)
9:20 - 9:30 Welcome and Opening Remarks
9:30 - 10:30
René Carmona (Princeton University)

Short Course on Mathematics of Emissions Markets: Mechanics of the cap-and-trade schemes and first equilibrium models
PDF Presentation
10:30 - 11:00 Break
11:00 - 11:50
Thaleia Zariphopoulou (University of Oxford)

Investment performance measurement under time-monotone criteria
PDF Presentation
12:00 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:50
René Carmona (Princeton University)

Short Course on Mathematics of Emissions Markets: Allocation mechanisms, design, and scheme comparisons
PDF Presentation
3:00 - 3:15 Break
3:15 - 4:05
Nizar Touzi (École Polytechnique)

Well-posedness of second order BSDEs
PDF Presentation
4:15 - 4:30 Coffee Break
4:30 - 5:30
Pierre-Louis Lions (Université de Paris IX (Paris-Dauphine))

Distinguished Lecture, Short Course - Lecture 1: On Mean Field Games

5:45 - 7:30 Poster Session & Reception (Hosted by IPAM)

Wednesday, January 6, 2010

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:50
Pierre-Louis Lions (Université de Paris IX (Paris-Dauphine))

Distinguished Lecture, Short Course - Lecture 2: On Mean Field Games

10:00 - 10:15 Break
10:15 - 11:05
Jin Ma (University of Southern California (USC))

When Mathematical Finance and Actuarial Science Cross
PDF Presentation
11:15 - 11:30 Break
11:30 - 12:20
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:50
Pierre-Louis Lions (Université de Paris IX (Paris-Dauphine))

Distinguished Lecture, Short Course - Lecture 3: On Mean Field Games

3:00 - 3:15 Break
3:15 - 4:05
4:15 - 4:30 Break
4:30 - 5:20
René Carmona (Princeton University)

Short Course on Mathematics of Emissions Market: Reduced form models and carbon option pricing
PDF Presentation

Thursday, January 7, 2010

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:50
Jean-Pierre Fouque (University of California, Santa Barbara (UC Santa Barbara))

Calibration of Stock Betas from Skews of Implied Volatilities
PDF Presentation
10:00 - 10:15 Break
10:15 - 11:05
11:15 - 11:30 Break
11:30 - 12:20
Umut Cetin (London School of Economics and Political Science)

Dynamic Markov Bridges Motivated by Models of Insider Trading

12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:50
Yves Achdou (Université de Paris VII (Denis Diderot) et Université de Paris VI (Pierre et Marie Curie))

Mean field games: numerical methods
PDF Presentation
3:00 - 3:15 Break
3:15 - 4:05
Ulrich Horst (Humboldt-Universität)

Hidden Liquidity


Friday, January 8, 2010

Morning Session
8:00 - 9:00 Continental Breakfast
9:00 - 9:50
Sam Howison (University of Oxford)

Games with Exhaustible Resources

10:00 - 10:15 Break
10:15 - 11:05
Christian Bender (Universität des Saarlandes)

Dual Pricing of Multiple Exercise Options

11:15 - 11:30 Break
11:30 - 12:20
Christopher Harris (University of Cambridge)

The Dynamics of Optimal Risk Sharing

12:30 - 1:30 Lunch (on your own)

Afternoon Session
1:30 - 2:20
Alain Bensoussan (University of Texas at Dallas)

Real Options in a Stackelberg Game

2:30 - 2:45 Break
2:45 - 3:35
Michael Ludkovski (University of California, Santa Barbara (UC Santa Barbara))

Stochastic Switching Games and Duopolistic Competition in Emissions Markets
PDF Presentation
3:45 - 4:00 Break
4:00 - 4:50
Nicole El Karoui (École Polytechnique)

Non Linear SPDE of Forward Utilities and Stochastic flows: Drift and Volatility Characterization with M.M'rad
PDF Presentation