New Directions in Financial Mathematics - IPAM

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

08:30-09:20
Check-In/Light Breakfast (Hosted by IPAM)
09:20-09:30
Welcome and Opening Remarks
09:30-10:30
René Carmona (Princeton University)
Short Course on Mathematics of Emissions Markets: Mechanics of the cap-and-trade schemes and first equilibrium models
10:30-11:00
Break
11:00-11:50
Thaleia Zariphopoulou (University of Texas at Austin)
Investment performance measurement under time-monotone criteria

Afternoon Session

12:00-14:00
Lunch (on your own)
14:00-14:50
René Carmona (Princeton University)
Short Course on Mathematics of Emissions Markets: Allocation mechanisms, design, and scheme comparisons
15:00-15:15
Break
15:15-16:05
Nizar Touzi (École Polytechnique)
Well-posedness of second order BSDEs
16:15-16:30
Coffee Break
16:30-17:30
Pierre-Louis Lions (Université de Paris IX (Paris-Dauphine))
Distinguished Lecture, Short Course - Lecture 1: On Mean Field Games
17:45-19:30
Poster Session & Reception (Hosted by IPAM)

Wednesday, January 6, 2010

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:50
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
11:15-11:30
Break
11:30-12:20
H. Soner (ETH Zürich)
Financial markets with uncertain volatility

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:50
Pierre-Louis Lions (Université de Paris IX (Paris-Dauphine))
Distinguished Lecture, Short Course - Lecture 3: On Mean Field Games
15:00-15:15
Break
15:15-16:05
Alexander Schied (Universität Mannheim)
Order book resilience, price manipulation, and the positive portfolio problem
16:15-16:30
Break
16:30-17:20
René Carmona (Princeton University)
Short Course on Mathematics of Emissions Market: Reduced form models and carbon option pricing

Thursday, January 7, 2010

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:50
Jean-Pierre Fouque (University of California, Santa Barbara (UCSB))
Calibration of Stock Betas from Skews of Implied Volatilities
10:00-10:15
Break
10:15-11:05
Juri Hinz (National University of Singapore)
Modeling risk-neutral allowance price evolution with applications to option pricing
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

Afternoon Session

12:30-14:00
Lunch (on your own)
14:00-14:50
Yves Achdou (Université de Paris VII (Denis Diderot) et Université de Paris VI (Pierre et Marie Curie))
Mean field games: numerical methods
15:00-15:15
Break
15:15-16:05
Ulrich Horst (Humboldt-Universität)
Hidden Liquidity

Friday, January 8, 2010

Morning Session

08:00-09:00
Continental Breakfast
09:00-09:50
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

Afternoon Session

12:30-13:30
Lunch (on your own)
13:30-14:20
Alain Bensoussan (University of Texas at Dallas)
Real Options in a Stackelberg Game
14:30-14:45
Break
14:45-15:35
Michael Ludkovski (University of California, Santa Barbara (UCSB))
Stochastic Switching Games and Duopolistic Competition in Emissions Markets
15:45-16:00
Break
16:00-16:50
Nicole El Karoui (École Polytechnique)
Non Linear SPDE of Forward Utilities and Stochastic flows: Drift and Volatility Characterization with M.M'rad
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