New Directions in Financial Mathematics and Mathematical Economics

Videos from BIRS Workshop 14w5168

, Boston University and Dublin City University
- 09:45
Shortfall Aversion
Watch video | Download video: 201407070906-Guasoni.mp4 (145M)
, Fields Institute
- 10:23
Bringing Tobin back: asset price dynamics and portfolio selection in macroeconomics
Watch video | Download video: 201407070946-Grasselli.mp4 (82M)
, Carnegie Mellon University
- 16:30
Long Horizon Optimal Investment and Risk-Sensitive Control in Stochastic Volatility Models with Matrix Valued Factors
Watch video | Download video: 201407071548-Robertson.mp4 (119M)
, University of Michigan
- 09:42
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Watch video | Download video: 201407080904-Bayraktar.mp4 (132M)
, Centro de Investigación en Matemáticas
- 11:16
Games of singular control and stopping driven by spectrally one-sided Lévy processes
Watch video | Download video: 201407081050-Hernandez-Hernandez.mp4 (66M)
, Concordia University
- 11:49
Optimal measure transformation problems as- sociated with defaultable bonds, futures prices, and forward prices
Watch video | Download video: 201407081116-Hyndman.mp4 (112M)
, Worcester Polytechnic Institute
- 12:30
Funding without Tears. A Unified Approach to XVA
Watch video | Download video: 201407081150-Sturm.mp4 (131M)
, Johns Hopkins University
- 17:17
Dynamic Investment Under Counter-Party Risk
Watch video | Download video: 201407081636-Capponi.mp4 (134M)
, University of Glasgow
- 17:53
Peacocks, Lyrebirds and Increasing Risk in the Rothschild Stiglitz Sense
Watch video | Download video: 201407081719-Ewald.mp4 (99M)
, Carnegie Mellon University
- 09:47
Who should sell stocks?
Watch video | Download video: 201407090908-Muhle-Karbe.mp4 (105M)
, Worcester Polytechnic Institute
- 12:05
Portfolio Choice with Liquid and Illiquid Assets
Watch video | Download video: 201407091133-Bichuch.mp4 (87M)
, University of California, Santa Barbara
- 09:48
Dynamic R&D Games
Watch video | Download video: 201407100906-Ludkovski.mp4 (120M)
, Carleton University
- 10:28
Mean field game modeling for stochastic economic growth
Watch video | Download video: 201407100948-Huang.mp4 (125M)
, Princeton University
- 12:17
Portfolio Asymptotics for Local-Stochastic Volatility Models
Watch video | Download video: 201407101135-Lorig.mp4 (116M)
, Princeton University
- 17:55
Energy Production and Mean Field Games
Watch video | Download video: 201407101717-Sircar.mp4 (95M)
, University of Sydney
- 10:27
Control with Partial Information
Watch video | Download video: 201407110945-Papanicolaou.mp4 (102M)
, Ecole Polytechnique Fédérale de Lausanne
- 11:50
Asymmetric Information and Inventory Concerns in Over-the-Counter Markets
Watch video | Download video: 201407111111-Praz.mp4 (127M)
, Technical University Berlin
- 12:20
An equilibrium model for commodity spot and forward prices
Watch video | Download video: 201407111150-Papapantoleon.mp4 (75M)