National Meeting of Women in Financial Mathematics

April 27 - 28, 2017

Schedule

All times in this Schedule are Pacific Time (PT)

Thursday, April 27, 2017

Morning Session
8:00 - 9:30 Check-In/Breakfast (Hosted by IPAM)
9:30 - 9:35 Welcome and Setting the Stage
9:35 - 10:00
Tanya Beder (SBCC Group)

The Here-to-Stay Roles of Big Data and Machine Learning
PDF Presentation

 
10:05 - 10:55
Karyn Williams (Two Sigma Investments)

Panel Discussion on Predictions for FinTech & Asset Management with Darcy Pauken and Anjun Zhou

 
11:05 - 11:55
Monique Miller (Wilshire Funds Management)

Panel Discussion on Predictions for Portfolios and the Role of Robo Advisors with Cleo Chang, Tina Singh, and Jia Ye

 
12:05 - 1:30 Luncheon (Hosted by IPAM); Peer-to-Peer Discussion and Networking

Afternoon Session
2:00 - 2:50
Rosemary Macedo (QS Investors)

Panel Discussion on The Outlook for Quantitative Investing with Cristina Polizu, Gita Rao, and Elizabeth Smith

 
3:00 - 3:50
Tanya Beder (SBCC Group)

Panel Discussion on New Directions in Financial Mathematics –Risk/Algorithmic Trading/ETFs and Beyond with Natalia Bandera, Lisa Borland, and Dinah Chowayou

3:55 - 4:20 Networking Break
4:25 - 4:45 Final Q & A
4:45 - 5:00 Concluding Remarks
5:00 - 6:30 Reception (Location: IPAM Lobby)

Friday, April 28, 2017

Morning Session
8:00 - 9:30 Breakfast (Hosted by IPAM) and Networking
9:30 - 10:30
Xin Guo (University of California, Berkeley (UC Berkeley))

General Research Directions in Financial Mathematics
PDF Presentation

 
10:30 - 11:00 Break
11:00 - 11:25
11:30 - 11:55
Alexandra Chronopoulou (University of Illinois at Urbana-Champaign)

Recent Advances in Factional Stochastic Volatility Models
PDF Presentation

 
12:00 - 12:50
Linda Kreitzman (University of California, Berkeley (UC Berkeley))

The Impact of Fintech and Data Science on Financial Institutions: The Need for New Skill sets.
PDF Presentation
12:00 - 1:00 Lunch (Hosted by IPAM)

Afternoon Session
1:00 - 2:00 Poster Session
2:00 - 2:25
Kim Weston (University of Texas at Austin)

Equilibrium with Transaction Costs
PDF Presentation

 
2:30 - 2:55
Rohini Kumar (Wayne State University)

Portfolio optimization in a short time horizon

 
2:55 - 3:10 Break
3:10 - 3:35
Deniz Sezer (University of Calgary)

Illiquidity, Credit risk and Merton's model
PDF Presentation

 
3:40 - 4:05
Yuchong Zhang (Columbia University)

Optimal Reward and Mean Field Game of Racing
PDF Presentation

 
4:05 - 4:30 Q & A with Conclusion