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Thursday | Friday | Saturday | | |||
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Thursday May 17, 2012 | |||
Day 1. Risk Management in the Commodity Markets Organizers: Rene Carmona and Ronnie Sircar | |||
8:30am-9:15am | Coffee and Registration | Keller Hall 3-176 | |
9:15am-9:30am | Welcome and Introduction | Keller Hall 3-180 | |
9:30am-10:15am | A Feedback Model for the Financialization of Commodities Prices | Ronnie Sircar (Princeton University) | Keller Hall 3-180 |
10:15am-11:00am | Indifference prices for carbon emission allowances in the European carbon market context | Mireille Bossy (Institut National de Recherche en Informatique Automatique (INRIA)) | Keller Hall 3-180 |
11:00am-11:45am | Spread Option Pricing in Electricity Markets | Michael Coulon (Princeton University) | Keller Hall 3-180 |
11:45am-1:30pm | Lunch | ||
1:30pm-2:15pm | What does futures market interest tell us about the macroeconomy and asset prices? | Motohiro Yogo (Federal Reserve Bank of Minneapolis) | Keller Hall 3-180 |
2:15pm-3:00pm | Dynamic Cournot Games for Non-Renewable Resources | Michael Ludkovski (University of California, Santa Barbara) | Keller Hall 3-180 |
3:00pm-3:15pm | Group Photo | Keller Hall 3-180 | |
3:15pm-3:30pm | Break | Keller Hall 3-176 | |
3:30pm-4:15pm | Advanced methods for American style options and Power plants valuation | Nadia Oudjane (Electricite de France (EDF)) | Keller Hall 3-180 |
4:15pm-5:15pm | Panel Discussion: Risk Management in the New Energy Markets | Michael Coulon (Princeton University) Glenn Nafey (Public Service Enterprise Group Incorporated) Carlos Tolmasky (Cargill, Inc.) | Keller Hall 3-180 |
7:30pm-9:00pm | Town Hall Brewery | 1430 Washington Ave. S Mineapolis, MN 55454 612.339.8696 | |
Friday May 18, 2012 | |||
Day 2. Systemic Risk Organizers: George Papanicolaou and Kay Giesecke | |||
8:30am-9:30am | Coffee | Keller Hall 3-176 | |
9:30am-10:15am | Firms, Banks and Households | Chris Rogers (University of Cambridge) | Keller Hall 3-180 |
10:15am-11:00am | Controlled Defaults in Financial Networks | Andreea Minca (Cornell University) | Keller Hall 3-180 |
11:00am-11:45am | A stochastic extension of the Keen-Minsky model for financial fragility | Matheus Grasselli (McMaster University) | Keller Hall 3-180 |
11:45am-1:30pm | Lunch | ||
1:30pm-2:15pm | Financial Crises and Contagion: dynamical systems approach | Youngna Choi (Montclair State University) | Keller Hall 3-180 |
2:15pm-3:00pm | Stochastic Time-Change of Default Intensity Models: Pricing and Estimation | Michael Gordy (Federal Reserve Board) | Keller Hall 3-180 |
3:00pm-3:30pm | Break | Keller Hall 3-176 | |
3:30pm-4:15pm | Stress Scenario Selection by Empirical Likelihood | Paul Glasserman (Columbia University) Wanmo Kang (Korea Advanced Institute of Science and Technology) | Keller Hall 3-180 |
Saturday May 19, 2012 | |||
Day 3. Investment & Portfolio Theory Organizers: Jean-Pierre Fouque and Thaleia Zariphopoulou | |||
8:30am-9:30am | Coffee | Keller Hall 3-176 | |
9:30am-10:15am | Stable Diffusions with Rank-based Interactions, and Models of Large Equity Markets | Ioannis Karatzas (Columbia University) | Keller Hall 3-180 |
10:15am-11:00am | Generalizations of the Volatility-Stabilized Markets | Radka Pickova (Columbia University) | Keller Hall 3-180 |
11:00am-11:45am | Forward Utility and Mean-Variance based optimal portfolios | Marek Musiela (BNP Paribas) | Keller Hall 3-180 |
11:45am-1:30pm | Lunch | ||
1:30pm-2:15pm | Shadow prices and well posedness in the problem of optimal investment and consumption with transaction costs | Mihai Sirbu (University of Texas, Austin) | Keller Hall 3-180 |
2:15pm-3:00pm | Dynamic Utilities and Long Term Interest Rates | Nicole El Karoui (École Polytechnique) | Keller Hall 3-180 |
NAME | DEPARTMENT | AFFILIATION |
---|---|---|
Sergio Almada Monter | Statistics and Operations Research | University of North Carolina |
B Ross Barmish | ECE | University of Wisconsin, Madison |
Maxim Bichuch | Department of Operations Research and Financial Engineering | Princeton University |
Steven Bleiler | Fariborz Maseeh Dept. of Mathematics and Statistics | Portland State University |
Mireille Bossy | TOSCA Project Team | Institut National de Recherche en Informatique Automatique (INRIA) |
Xi Chen | Department of Computer Science | University of Minnesota, Twin Cities |
Youngna Choi | Department of Mathematical Sciences | Montclair State University |
Michael Coulon | Department of Operations Research and Financial Engineering (ORFE) | Princeton University |
Chenhae Du | Department of Industrial & Systems Engineering | University of Minnesota, Twin Cities |
Hartmut Durchschlag | Department of Quantitative Analysis | Allianz Life Insurance Company Of North America |
Nicole El Karoui | Laboratoire de Probabilites et Modeles aleatoires | École Polytechnique |
Julius Esunge | Department of Mathematics | University of Mary Washington |
Yifan Feng | Department of Mathematics | University of Minnesota, Twin Cities |
Tom Fielden | Mathematics and Statistics Department | Portland State University |
Jean-Pierre Fouque | Department of Statistics and Applied Probability | University of California, Santa Barbara |
Lei Ge | Mathematics Department | University of Central Florida |
Kay Giesecke | Department of Management Science and Engineering, | Stanford University |
Paul Glasserman | Business School | Columbia University |
Michael Gordy | Division of Research and Statistics | Federal Reserve Board |
Matheus Grasselli | Mathematics and Statistics Department | McMaster University |
Tomoyuki Ichiba | Department of Statistics & Applied Probability | University of California, Santa Barbara |
Yanfeng Jiang | Department of Electrical and Computer Engineering | University of Minnesota, Twin Cities |
Chulmin Kang | Department of Mathematical Science | Korea Advanced Institute of Science and Technology (KAIST) |
Wanmo Kang | Mathematical Sciences | Korea Advanced Institute of Science and Technology |
Ioannis Karatzas | Department of Mathematics | Columbia University |
Isabelle Kemajou-Brown | Department of Mathematics | Southern Illinois University |
Emmanuel Kengni Ncheuguim | Department of Mathematics | Saginaw Valley State University |
Varunyu Khamviwith | University of Minnesota, Twin Cities | |
Kyutae Kim | School of Mathematics | University of Minnesota, Twin Cities |
Pawel Konieczny | Department of Mathematics | The University of Iowa |
Jiahan Li | Applied and Computational Mathematics and Statistics | University of Notre Dame |
Xin Liu | Institute for Mathematics and its Applications | University of Minnesota, Twin Cities |
Michael Ludkovski | Department of Statistics & Applied Probability | University of California, Santa Barbara |
Andreea Minca | School of Operations Research and Information Engineering | Cornell University |
Phillip Monin | Mathematics Department | University of Texas, Austin |
Marek Musiela | FIRST | BNP Paribas |
Glenn Nafey | Public Service Enterprise Group Incorporated | |
Broderick Oluyede | Mathematical Sciences | Georgia Southern University |
Nadia Oudjane | OSIRIS | Electricite de France (EDF) |
Jerome Pansera | Department of Statistics and Actuarial Science | The University of Iowa |
Andrew Papanicolaou | Department of Operations Research and Financial Engineering. | Princeton University |
George Papanicolaou | Department of Mathematics | Stanford University |
Mavis Pararai | Mathematics Department | Indiana University of Pennsylvania |
Radka Pickova | Department of Statistics | Columbia University |
Chris Rogers | Statistical Laboratory | University of Cambridge |
Luwei Shen | Department of Mathematics | University of Minnesota, Twin Cities |
Mykhaylo Shkolnikov | Mathematical Sciences Research Institute | |
Mihai Sirbu | Department of Mathematics | University of Texas, Austin |
Ronnie Sircar | Operations Research and Financial Engineering | Princeton University |
Garence Staraci | Department of Statistics | Stanford University |
Carlos Tolmasky | Derivatives Trader | Cargill, Inc. |
Huahua Wang | Department of Computer Science and Engineering | University of Minnesota, Twin Cities |
Yan Wei | Mathematics, Resource Optimization | Michigan State University |
Tzu-Wei Yang | Institute for Computational and Mathematical Engineering | Stanford University |
Ye Yang | Department of Mathematics | University of Central Florida |
Hongxia Yin | Department of Mathematics & Statistics | Minnesota State University |
Motohiro Yogo | Research Department | Federal Reserve Bank of Minneapolis |
Thaleia Zariphopoulou | Mathematical Institute | University of Oxford |
Shangyou Zhang | Department of Mathematical Sciences | University of Delaware |
Zhou Zhou | Mathematics Department | University of Michigan |
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