Slides

  • René Carmona (Princeton University), Reduced Form Models for Emissions Cap-and-Trade Schemes
  • Paul Glasserman, (Columbia University), Risk Horizon and Rebalancing Horizon
  • Vicky Henderson, (Oxford University), Prospect Theory, Partial Liquidation and the Disposition Effect
  • Sam Howison, (Oxford University), The continuous-discrete interface by multiple time scales
  • Hanqing Jin, (Oxford University), Loss Control in Behavioral Portfolio Selection
  • Jakub Jurek, (Princeton University), Crash-Neutral Currency Carry Trades
  • Dmitry Kramkov, (Carnegie Mellon & Oxford Universities), A model for a large investor trading at market indifference prices
  • Michael Monoyios, (Oxford University), Asymptotic expansions for optimal hedging of basis risk with partial information
  • John Mulvey, (Princeton University), Developing Robust Recommendations for Sector-Based Portfolio Models
  • Jan Obloj, (Oxford University), Robust pricing and hedging of double no-touch options and the resulting notions of weak arbitrage
  • Christoph Reisinger, (Oxford University), Simulation of an SPDE model for a credit basket
  • Ramon van Handel, (Princeton University), Why are nonlinear filters stable?
  • Wei Xiong, (Princeton University), Dynamic Bank Runs
  • Xunyu Zhou, (Oxford University), Greed, Leverage, and Potential Losses: A Prospect Theory Perspective

    • Student Slides

  • Nikolay Aleksandrov, (Oxford University), A dual approach to multiple exercise option problems under constraints
  • Alok Gupta, (Oxford University), Optimal Bayesian Hedging Strategies In The Local Volatility Model
  • Xuedong He, (Oxford University), Portfolio Choice via Quantiles
  • Gechun Liang, (Oxford University), Backward stochastic dynamics under adapteness constraints
  • Sergey Nadtochiy, (Princeton University), Static Hedging Under Zero Drift CEV
  • Ke Yu, (Princeton University), Asset Allocation with Gross Exposure Constraints for Vast Portfolios Utilizing High Frequency Data
  • Forrest Zhang, (Princeton University), Asset Allocation with Gross Exposure Constraints for Vast Portfolios
  • Z. Joseph Yang, (Princeton University), Volatility and Illiquidity Trading