Thursday, March 19, 2015
Afternoon Session
15:30-16:30
Dörte Kreher (Humboldt-Universität)
A weak law of large numbers for a limit order book model with fully state dependent order dynamicsBroad Perspectives and New Directions in Financial Mathematics
March 9 - June 12, 2015
Seminar Series
All times in this Schedule are Pacific Time (PT)
Monday, March 30, 2015
Afternoon Session
15:30-16:30
David Levermore (University of Maryland)
Measuring Systemic Risk by Quantifying the Efficient Market HypothesisTuesday, March 31, 2015
Afternoon Session
15:30-16:30
Svetlana Borovkova (Vrije Universiteit)
Systemic Risk and CCPs: network analysis and practical issues Thursday, April 2, 2015
Afternoon Session
15:30-16:30
Reinhard Fellmann (London School of Economics and Political Science)
Modelling Stability of Sovereign Credit Markets and SystemsTuesday, April 7, 2015
Afternoon Session
15:30-16:30
Julius Bonart (Imperial College)
The price impact of trades: Empirical evidence and recent theoretical developmentsMonday, April 20, 2015
Afternoon Session
14:00-15:00
Marek Rutkowski (University of Sydney)
Arbitrage Pricing with Differential Funding Costs and Collateralization15:30-16:30
Stephan Sturm (Worcester Polytechnic Institute)
Delegated Portfolio Optimization with Convex Incentive Schemes Tuesday, April 21, 2015
Afternoon Session
15:30-16:30
Thaleia Zariphopoulou (University of Texas at Austin)
Optimal portfolio construction under forward performance criteria: Part 1Wednesday, April 22, 2015
Afternoon Session
15:30-16:30
Thaleia Zariphopoulou (University of Texas at Austin)
Optimal portfolio construction under forward performance criteria: Part 2Thursday, April 23, 2015
Afternoon Session
15:30-16:30
Tuesday, April 28, 2015
Afternoon Session
14:00-15:00
Jaksa Cvitanic (California Institute of Technology)
Introduction to contract theory in continuous-time models15:30-16:30
Jaksa Cvitanic (California Institute of Technology)
Moral hazard problems with CARA utilities on finite horizonWednesday, April 29, 2015
Afternoon Session
14:00-15:00
Jianfeng Zhang (University of Southern California (USC))
Solving Principal-Agent Problems via Forward-Backward SDEs -- Good news and bad newsThursday, April 30, 2015
Afternoon Session
15:30-16:30
Xuwei Yang (University of California, Santa Barbara (UCSB))
Mean Field Game Approach to Production and Exploration of Exhaustible CommoditiesMonday, May 11, 2015
Morning Session
11:30-12:30
Xunyu Zhou (University of Oxford)
Mathematical Behavioral Finance Part I: Introduction and BackgroundAfternoon Session
14:00-15:00
Xunyu Zhou (University of Oxford)
Mathematical Behavioural Finance Part II: Portfolio Choice and Quantile Formulation15:30-16:30
Svetlana Borovkova (Vrije Universiteit)
The role of news in commodity marketsTuesday, May 12, 2015
Morning Session
10:30-11:30
Xunyu Zhou (University of Oxford)
Mathematical Behavioural Finance Part III: Market Equilibrium and Asset Pricing Afternoon Session
15:30-16:30
Pierre Garreau (University of Frankfurt)
Default Risk, Dependence and Levy ProcessesWednesday, May 13, 2015
Afternoon Session
15:30-16:30
Anna Kruglova (University of Washington)
Speculative OilThursday, May 14, 2015
Morning Session
08:00-05:00
Inaugural National Meeting of Women in Financial Mathematics
Friday, May 15, 2015
Morning Session
09:00-09:45
Rama Cont (Imperial College)
Functional Ito Calculus and Applications - Lecture 1: Pathwise calculus for non-anticipative functionals10:00-10:15
Break
10:15-11:00
Rama Cont (Imperial College)
Functional Ito Calculus and Applications - Lecture 2: Weak functional calculus and martingale representation11:15-11:30
Break
11:30-12:15
Rama Cont (Imperial College)
Functional Ito Calculus and Applications - Lecture 3: Functional Kolmogorov equationsAfternoon Session
12:30-14:00
Lunch (on your own)
14:00-14:45
15:00-15:15
Break
15:15-16:00
Terry Lyons (University of Oxford)
New directions in machine learning - Part I16:15-16:30
Break
16:30-17:15
Terry Lyons (University of Oxford)
New directions in machine learning - Part IITuesday, May 26, 2015
Afternoon Session
14:00-15:00
Eric Schaanning (Imperial College)
Fire sales: Price mediated contagion and systemic risk15:30-16:30
Igor Cialenco (Illinois Institute of Technology)
Dynamic Acceptability Indices as a market-making tool - Part IThursday, May 28, 2015
Afternoon Session
15:30-16:30
Igor Cialenco (Illinois Institute of Technology)
Dynamic Acceptability Indices as a market-making tool - Part IITuesday, June 2, 2015
Afternoon Session
15:30-16:30
Richard Sowers (University of Illinois at Urbana-Champaign)
Stochastic LatencyThursday, June 4, 2015
Afternoon Session
15:30-16:30
Andrew Papanicolaou (New York University)
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options