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IMA Hot Topics Workshop
The Mathematics of the New Financial Systems
The Mathematics of the New Financial Systems
May 17-19, 2012
Organizers
| Princeton University | |
| University of California | |
| Stanford University | |
| Stanford University | |
| Princeton University | |
| University of Oxford |
Description
Schedule
Download full schedule »| Thursday | Friday | Saturday | |||
|---|---|---|---|
| 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 |
Participants
| 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 | 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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