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
8:00 - 8:55 Check-In/Light Breakfast (Hosted by IPAM)
8:55 - 9:00 Welcome and Opening Remarks
9:00 - 9:45
René Carmona (Princeton University)

High Frequency Markets and Optimal Execution I
PDF Presentation

 
10:00 - 10:45
Jean-Pierre Fouque (University of California, Santa Barbara (UC Santa Barbara))

Systemic Risk: Diffusion Models and Stochastic Games I
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:15
Thaleia Zariphopoulou (University of Texas at Austin)

Stochastic modeling and optimal portfolio construction I

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

Afternoon Session
2:00 - 2:45
Thaleia Zariphopoulou (University of Texas at Austin)

Stochastic modeling and optimal portfolio construction II

3:00 - 3:45 Core Orientation with IPAM Staff

Wednesday, March 11, 2015

Morning Session
8:00 - 9:00 Check-In/Breakfast (Hosted by IPAM)
9:00 - 9:45
Ronnie Sircar (Princeton University)

Energy and Commodity Markets I
PDF Presentation

 
10:00 - 10:45
Jean-Pierre Fouque (University of California, Santa Barbara (UC Santa Barbara))

Systemic Risk: Diffusion Models and Stochastic Games II
PDF Presentation

 
11:00 - 11:30 Break
11:30 - 12:15
Thaleia Zariphopoulou (University of Texas at Austin)

Stochastic modeling and optimal portfolio construction III

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

Afternoon Session
2:00 - 2:45
René Carmona (Princeton University)

High Frequency Markets and Optimal Execution II
PDF Presentation

 

Thursday, March 12, 2015

Morning Session
8:00 - 9:00 Check-In/Breakfast (Hosted by IPAM)
9:00 - 9:45
Ronnie Sircar (Princeton University)

Energy and Commodity Markets II
PDF Presentation

 
10:00 - 10:45
11:00 - 11:30 Break
11:30 - 12:15
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
René Carmona (Princeton University)

High Frequency Markets and Optimal Execution III
PDF Presentation

 
3:00 - 3:45

Friday, March 13, 2015

Morning Session
8:00 - 9:00 Check-In/Breakfast (Hosted by IPAM)
9:00 - 9:45
Ronnie Sircar (Princeton University)

Energy and Commodity Markets III
PDF Presentation

 
10:00 - 10:45
George Papanicolaou (Stanford University)

More Ways to Look at Trading on a Limit Order Book