Schedule


Friday, May 19

Reitnouer Auditorium, Intercollegiate Athletics Building
Ocean Road, UCSB
Start End  
8:30 AM9:00 AMContinental Breakfast with coffee & tea
9:00 AM9:30 AMRuimeng Hu
Optimal Portfolio under Fractional Stochastic Environment
9:30 AM10:00 AMMostafa Mousavi
Option Pricing with Delayed Information
10:00 AM10:30 AMLiangchen Li
Capacity Expansion Games with Application to Competition in Power Generation Investments
10:30 AM11:00 AMCoffee Break
11:00 AM11:45 AMRene Carmona
Synchronization of the circadian rhythm: a MFG model for jet lag
11:45 AM12:30 PMMatheus Grasselli
Inequality in a monetary dynamic macroeconomic model
12:30 PM1:45 PMLunch
1:45 PM2:30 PMPeter Cotton
Benchmark — An As Yet Speculative Story About How Filtering Theory Changed the Credit Markets
2:30 PM3:15 PMJose Figueroa-Lopez
Optimal placement of a small order under a diffusive limit order book model
3:15 PM3:45 PMCoffee Break
3:45 PM4:15 PMAndrey Sarantsev
A Model of Systemic Risk
4:15 PM4:45 PMPierre-Olivier Goffard
The PDF of the ruin time in the ordered dual risk model
4:45 PM5:15 PMMackenzie Wildman
Sensitivity of the Eisenberg & Noe clearing vector to individual interbank liabilities

Saturday, May 20

Best Western Plus Pepper Tree Inn
3850 State Street
Santa Barbara
Start End  
8:30 AM9:00 AMContinental Breakfast with coffee & tea
9:00 AM9:45 AMMarco Frittelli
Pathwise Finance: Arbitrage and Pricing-Hedging Duality
9:45 AM10:30 AMThilo Meyer-Brandis
Strong solutions and a Bismuth-Elworthy-Li formula for mean-field equations with irregular drift coefficients
10:30 AM11:00 AMCoffee Break
11:00 AM11:45 AMHoi Ying Wong
Least-Squared Monte Carlo Simulation for High-Dimensional Portfolio Problems
11:45 AM12:30 PMBruno Dupire
Special Techniques for Special Events
12:30 PM1:45 AMLunch
1:45 PM2:30 PMDaniel Bauer
A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements
2:30 PM3:15 PMNils Detering
Managing Default Contagion in Inhomogeneous Financial Networks
3:15 PM3:45 PMCoffee Break
3:45 PM4:30 PMPeter Carr
Variable Volatility and Financial Failure
4:30 PM5:00 PMSveinn Olafsson
Change-point detection for Levy processes
6:00 PM   Conference Dinner

Sunday, May 21

Best Western Plus Pepper Tree Inn
3850 State Street
Santa Barbara
Start End  
8:30 AM9:00 AMContinental Breakfast with coffee & tea
9:00 AM9:45 AMAlexandra Chronopoulou
Hedging in fractional stochastic volatility models
9:45 AM10:30 AMYuri Saporito
Stochastic Control and Differential Games with Path-Dependent Controls
10:30 AM11:00 AMCoffee Break
11:00 AM11:45 AMRohini Kumar
Portfolio optimization in a short time horizon
11:45 AM12:30 PMMatt Lorig
Robust Replication of Variance-style Claims on Price Volatility
12:30 PM   The End