Financial Mathematics Tutorials - IPAM

Financial Mathematics Tutorials

Part of the Long Program Broad Perspectives and New Directions in Financial Mathematics
March 10 - 13, 2015

Schedule

All times in this Schedule are Pacific Time (PT)

Tuesday, March 10, 2015

Morning Session

08:00-08:55
Check-In/Light Breakfast (Hosted by IPAM)
08:55-09:00
Welcome and Opening Remarks
09:00-09:45
René Carmona (Princeton University)
High Frequency Markets and Optimal Execution I
10:00-10:45
Jean-Pierre Fouque (University of California, Santa Barbara (UCSB))
Systemic Risk: Diffusion Models and Stochastic Games I
11:00-11:30
Break
11:30-12:15
Thaleia Zariphopoulou (University of Texas at Austin)
Stochastic modeling and optimal portfolio construction I

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
Thaleia Zariphopoulou (University of Texas at Austin)
Stochastic modeling and optimal portfolio construction II
15:00-15:45
Core Orientation with IPAM Staff

Wednesday, March 11, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
Ronnie Sircar (Princeton University)
Energy and Commodity Markets I
10:00-10:45
Jean-Pierre Fouque (University of California, Santa Barbara (UCSB))
Systemic Risk: Diffusion Models and Stochastic Games II
11:00-11:30
Break
11:30-12:15
Thaleia Zariphopoulou (University of Texas at Austin)
Stochastic modeling and optimal portfolio construction III

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
René Carmona (Princeton University)
High Frequency Markets and Optimal Execution II

Thursday, March 12, 2015

Morning Session

08:00-09:00
Check-In/Breakfast (Hosted by IPAM)
09:00-09:45
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
11:00-11:30
Break
11:30-12:15
Rama Cont (Imperial College)
Systemic Risk: Channels of Contagion in Financial Systems II

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:45
René Carmona (Princeton University)
High Frequency Markets and Optimal Execution III
15:00-15:45
Rama Cont (Imperial College)
Systemic Risk: Channels of Contagion in Financial Systems III
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