Financial and Economic Applications

June 11 - 15, 2018

Modeling, Stochastic Control, Optimization, and Related Applications

Content

Overview

Poster:

W6.11-15.18_poster.pdf

Organizers:

George Yin
Qing Zhang

Substantial progress has been made in recent years in the area of mathematics of finance and economics. New topics being studied and developed include difference pricing, limit-order books, and behavioral finance. This workshop will bring together researchers from these areas to present and update recent progress.

Schedule

Monday, June 11, 2018

8:00 am - 8:45 am	Coffee and registration	Lind 400
8:45 am - 9:00 am	Welcome and introduction	Lind 305
9:00 am - 9:50 am	Predictable forward performance processes: The binomial case Thaleia Zariphopoulou (The University of Texas at Austin)	Lind 305
10:00 am - 10:50 am	Optimal Execution Problem under McKean-Vlasov Liquidity Dynamics Jin Ma (University of Southern California)	Lind 305
11:00 am - 11:30 am	Portfolio Optimization Problems for Models with Delays Tao Pang (North Carolina State University)	Lind 305
11:30 am - 1:30 pm	Lunch
1:30 pm - 2:00 pm	The value of foresight Philip Ernst (Rice University)	Lind 305
2:00 pm - 2:30 pm	Stock Loan Valuation Under Brownian Motion-Based and Markov Chain Stock Models David Prager (Anderson University)	Lind 305
2:30 pm - 4:30 pm	Working groups

Tuesday, June 12, 2018

8:30 am - 9:00 am	Coffee	Lind 400
9:00 am - 9:50 am	Model Uncertainty Stochastic Mean-Field Control with Applications to Finance Bernt Oksendal (University of Oslo)	Lind 305
10:00 am - 10:50 am	Variance Swaps on Time-Changed Markov Processes Roger Lee (University of Chicago)	Lind 305
11:00 am - 11:30 am	Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach Moustapha Pemy (Towson State University)	Lind 305
11:30 am - 12:00 pm	Exit problem driven by alpha-stable process and its PDE characterization Qingshuo Song (City University of Hong Kong)	Lind 305
12:00 pm - 12:10 pm	Group Photo	Lind 305
12:10 pm - 2:00 pm	Lunch
2:00 pm - 4:30 pm	Working groups
4:30 pm - 6:00 pm	Poster session and reception	Lind 400

Wednesday, June 13, 2018

8:30 am - 9:00 am	Coffee	Lind 400
9:00 am - 9:50 am	Stopping Behaviors of Naive and Non-Committed Sophisticated Agents Xunyu Zhou (Columbia University)	Lind 305
10:00 am - 10:50 am	Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach Huyen Pham (Université de Paris VII (Denis Diderot))	Lind 305
11:00 am - 11:50 am	Large tournament games Jaksa Cvitanic (California Institute of Technology)	Lind 305
12:00 pm - 2:00 pm	Lunch
2:00 pm - 3:00 pm	Viscosity Solutions to Parabolic Master Equations Jianfeng Zhang (University of Southern California)	Lind 305
3:00 pm - 4:30 pm	Working groups
5:30 pm - 7:30 pm	Social Hour at Republic

Thursday, June 14, 2018

8:30 am - 9:00 am	Coffee	Lind 400
9:00 am - 9:50 am	Nonlinear Valuation in Theory and Practice Dilip Madan (University of Maryland)	Lind 305
10:00 am - 10:50 am	Derivatives Pricing in Nonlinear Models Tom Bielecki (Illinois Institute of Technology)	Lind 305
11:00 am - 11:50 am	Valuing Equity-Linked Insurance Products Hailiang Yang (University of Hong Kong)	Lind 305
12:00 pm - 2:00 pm	Lunch
2:00 pm - 4:30 pm	Working groups

Friday, June 15, 2018

8:30 am - 9:00 am	Coffee	Lind 400
9:00 am - 9:30 am	Optimal Asset Allocation with Stochastic Interest Rates in Regime-Switching Models Ruihua Liu (University of Dayton)	Lind 305
9:30 am - 10:00 am	Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models Duy Nguyen (Marist College)	Lind 305
10:00 am - 10:30 am	On A Corporate Bond Pricing Model With Credit Rating Migration Risks and Stochastic Interest Rate Hong-Ming Yin (Washington State University)	Lind 305

Participants

Name	Department	Affiliation
Nishant Agrawal	Department of Mathematics	University of Kansas
Tom Bielecki	Department of Applied Mathematics	Illinois Institute of Technology
Lin Chen	Department of Industrial Engineering and Operations Research	Columbia University
Jaksa Cvitanic	Division of the Humanities and Social Sciences (HSS)	California Institute of Technology
Philip Ernst	Department of Statistics	Rice University
Yi Fu	Department of Mathematics	North Carolina State University
Ruoting Gong	Department of Applied Mathematics	Illinois Institute of Technology
Jingyi Huang		University of Minnesota
Huanqun Jiang	Department of Mathematics	Oregon State University
Roger Lee	Department of Mathematics	University of Chicago
Ruihua Liu	Department of Mathematics	University of Dayton
Sooie-Hoe Loke	Department of Mathematics	Central Washington University
Jin Ma	Department of Mathematics	University of Southern California
Dilip Madan	Department of Finance	University of Maryland
Dang Hai Nguyen	Department of Mathematics	Wayne State University
Duy Nguyen	Department of Mathematics	Marist College
Bernt Oksendal	Department of Mathematics	University of Oslo
Tao Pang	Department of Mathematics	North Carolina State University
Weijie Pang	Department of Mathematical Sciences	Worcester Polytechnic Institute
Hyungbin Park	Department of Mathematical Sciences	Seoul National University
Moustapha Pemy	Department of Mathematics	Towson State University
Huyen Pham	Laboratoire de Probabilités et Modèles Aléatoires / UFR de Mathématiques	Université de Paris VII (Denis Diderot)
David Prager	Department of Mathematics	Anderson University
Angad Singh	Department of Mathematics	California Institute of Technology
Qingshuo Song	Department of Mathematics	City University of Hong Kong
Michael Tseng		École Polytechnique Fédérale de Lausanne (EPFL)
Gu Wang	Department of Mathematical Sciences	Worcester Polytechnic Institute
Haoran Wang	Department of Mathematics	The University of Texas at Austin
Ananda Weerasinghe	Department of Mathematics	Iowa State University
Fuke Wu	Center for Mathematical Sciences	Huazhong University of Science and Technology
Hailiang Yang	Department of Statistics and Actuarial Science	University of Hong Kong
George Yin	Department of Mathematics	Wayne State University
Hong-Ming Yin	Department of Mathematics	Washington State University
Thaleia Zariphopoulou	Department of Mathematics	The University of Texas at Austin
Jianfeng Zhang	Department of Mathematics	University of Southern California
Qing Zhang	Department of Mathematics	University of Georgia
Xunyu Zhou	Department of Industrial and Operations Research	Columbia University
Chao Zhu	Department of Mathematical Sciences	University of Wisconsin, Milwaukee