November 16-17, 2018, Princeton University
About
The meeting was generously supported by the European Research Council under the European Union's Seventh Framework Programme (FP7/2007-2013) / ERC grant agreement no. 335421 “RobustFinMath”. The grant, headed by Prof Jan Obloj, focuses on Robust Pricing, Hedging and Risk Assessment in face of model uncertainty.
Organizers
- David Proemel, Oxford
- Ronnie Sircar, Princeton
Speakers
- Alvaro Cartea
- Rama Cont
- Michael Coulon
- Ben Hambly
- Mathieu Lauriere
- Terry Lyons
- Michael Monoyios
- Sergey Nadtochiy
- David Proemel
- Miklos Racz
- Christoph Reisinger
- Ludovic Tangpi
- Mengdi Wang
Student Speakers
- Levon Avanesyan
- Mark Cerenzia
- Jasdeep Kalsi
- Vadim Kaushansky
- Zongxi Li
- Andreas Sojmark
- Johannes Wiesel
- Pierre Yves Gaudreau Lamarre
- Jiacheng Zhang
Sponsors
- Oxford University
- Operations Research & Financial Engineering
- The Bendheim Center for Finance
- European Research Council
- Princeton University
Schedule
| Time | Speaker or Event | Topic or Detail |
|---|---|---|
| 8:30am to 9:00am | Registration and Breakfast | |
| 9:00am to 9:35am | Terry Lyons, Oxford | A new Lévy construction for Brownian motion and an application to the CIR model |
| 9:40am to 10:15am | Sergey Nadtochiy, IIT | Mean Field Systems on Networks with Singular Interaction Through Hitting Times |
| 10:20am to 10:40am | Pierre Yves Gaudreau Lamarre, Princeton | Semigroups for a Class of Continuum Schrödinger Operators Perturbed by a Gaussian White Noise |
| 10:40am to 11:00am | Johannes Wiesel, Oxford | Statistical estimation of superhedging prices |
| 11:00am to 11:30am | Coffee Break | |
| 11:30am to 12:05pm | Ludovic Tangpi, Princeton | On non-exponential Sanov and Schilder theorems on Wiener space |
| 12:10pm to 12:45pm | Ben Hambly, Oxford | SPDEs and systemic risk |
| 12:45pm to 2:00pm | Lunch | |
| 2:00pm to 2:35pm | Mathieu Lauriere, Princeton | Optimal control of conditioned processes |
| 2:40pm to 3:00pm | Andreas Sojmark, Oxford | Mean-field models for systemic risk with common noise and default contagion |
| 3:00pm to 3:20pm | Levon Avanesyan, Princeton | Forward Performance Processes in EVE Correlation Models |
| 3:20pm to 4:00pm | Coffee Break | |
| 4:00pm to 4:35pm | Mengdi Wang, Princeton | Statistical State Compression and Primal-Dual Pi Learning for Markov Decision Problems |
| 4:40pm to 5:15pm | Christoph Reisinger, Oxford | A numerical scheme for quantile hedging and related stochastic control problems with nonlinear expectations |
| 5:15pm to 7:00pm | Reception |
| Time | Speaker or Event | Topic or Detail |
|---|---|---|
| 8:30am to 9:00am | Registration and Breakfast | |
| 9:00am to 9:35am | Michael Coulon, Sussex | Spread option pricing: implied volatility implied from implied correlation |
| 9:40am to 10:15am | Alvaro Cartea, Oxford | The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets |
| 10:20am to 10:40am | Mark Cerenzia, Princeton | The Dyson Game |
| 10:40am to 11:00am | Vadim Kaushansky, Oxford | Numerical analysis of a McKean--Vlasov equation with feedback through hitting the boundary |
| 11:00am to 11:30am | Coffee Break | |
| 11:30am to 12:05pm | Miklos Racz, Princeton | High-dimensional random geometric graphs |
| 12:10pm to 12:45pm | Rama Cont, Oxford | A smooth path to rough integration: Pathwise calculus for functions with arbitrary Holder regularity |
| 12:45pm to 2:00pm | Lunch | |
| 2:00pm to 2:35pm | David Proemel, Oxford | Pathwise pricing-hedging duality in continuous time |
| 2:40pm to 3:00pm | Jasdeep Kalsi, Oxford | SPDEs and Limit Order Books |
| 3:00pm to 3:20pm | Zongxi Li, Princeton | Portfolio Feedback |
| 3:20pm to 3:40pm | Jiacheng Zhang, Princeton | Dynamics of observables in rank-based models and performance of functionally generated portfolios |