Schedule for: 18w5080 - Stochastic Analysis and its Applications
Beginning on Sunday, May 13 and ending Friday May 18, 2018
All times in Oaxaca, Mexico time, CDT (UTC-5).
| Sunday, May 13 | |
|---|---|
| 14:00 - 23:59 | Check-in begins (Front desk at your assigned hotel) |
| 19:30 - 22:00 | Dinner (Restaurant Hotel Hacienda Los Laureles) |
| 20:30 - 21:30 | Informal gathering (Hotel Hacienda Los Laureles) |
| Monday, May 14 | |
|---|---|
| 07:30 - 08:45 | Breakfast (Restaurant at your assigned hotel) |
| 08:45 - 09:00 | Introduction and Welcome (Conference Room San Felipe) |
| 09:00 - 09:45 | Umut Çetin: Diffusion transformations, Black-Scholes equation and optimal stopping (Conference Room San Felipe) |
| 09:45 - 10:30 | Teemu Pennanen: Convex duality in nonlinear optimal transport (Conference Room San Felipe) |
| 10:30 - 11:00 | Coffee Break (Conference Room San Felipe) |
| 11:00 - 11:45 | Marcel Nutz: Convergence to the Mean Field Game Limit: A Case Study (Conference Room San Felipe) |
| 11:50 - 12:40 | Goncalo dos Reis: Large Deviations for McKean Vlasov Equations and Importance Sampling (Conference Room San Felipe) |
| 12:40 - 13:05 | Giorgia Callegaro: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications (Conference Room San Felipe) |
| 13:05 - 13:30 | Group Photo (Hotel Hacienda Los Laureles) |
| 13:30 - 15:00 | Lunch (Restaurant Hotel Hacienda Los Laureles) |
| 15:00 - 15:45 | Josef Teichmann: Reservoir Computing, Regularity Structures and learning of Dynamics in Finance (Conference Room San Felipe) |
| 15:45 - 16:30 | Christa Cuchiero: Markovian representations of stochastic Volterra processes (Conference Room San Felipe) |
| 16:30 - 16:50 | Coffee Break (Conference Room San Felipe) |
| 16:50 - 19:00 | Free Time (Hotel Hacienda Los Laureles) |
| 19:00 - 21:00 | Dinner (Restaurant Hotel Hacienda Los Laureles) |
| Tuesday, May 15 | |
|---|---|
| 07:30 - 09:00 | Breakfast (Restaurant at your assigned hotel) |
| 09:00 - 09:45 | Mihai Sirbu: Optimal investment and consumption with labor income or liability streams (Conference Room San Felipe) |
| 09:45 - 10:30 | Thibaut Mastrolia: Optimal make-take fees for market making regulation (Conference Room San Felipe) |
| 10:30 - 11:00 | Coffee Break (Conference Room San Felipe) |
| 11:00 - 11:45 | Kim Weston: Incomplete Equilibrium with Stochastic Interest Rates (Conference Room San Felipe) |
| 11:50 - 12:40 | Scott Robertson: Equilibrium with Heterogeneous Information (Conference Room San Felipe) |
| 12:40 - 13:10 | Michail Anthropelos: Optimal investment and derivative demand and pricing under price impact (Conference Room San Felipe) |
| 13:30 - 15:00 | Lunch (Restaurant Hotel Hacienda Los Laureles) |
| 15:00 - 15:45 | Misha Shkolnikov: Particles interacting through their hitting times: neuron firing, supercooling and systemic risk (Conference Room San Felipe) |
| 15:45 - 16:10 | Tomoyuki Ichiba: An Infinite-dimensional McKean-Vlasov Stochastic Equation (Conference Room San Felipe) |
| 16:10 - 16:30 | Coffee Break (Conference Room San Felipe) |
| 16:30 - 19:00 | Free Time (Hotel Hacienda Los Laureles) |
| 19:00 - 21:00 | Dinner (Restaurant Hotel Hacienda Los Laureles) |
| Wednesday, May 16 | |
|---|---|
| 07:30 - 09:00 | Breakfast (Restaurant at your assigned hotel) |
| 09:00 - 09:45 | Sergio Pulido: Optimal investment in an endogenous price impact model (Conference Room San Felipe) |
| 09:45 - 10:30 | Antoine Jacquier: Pricing and Hedging in rough volatility models (Conference Room San Felipe) |
| 10:30 - 11:00 | Coffee Break (Conference Room San Felipe) |
| 11:00 - 11:45 | Julio Backhoff Veraguas: Martingale Benamou-Brenier: a probabilistic perspective (Conference Room San Felipe) |
| 11:50 - 12:15 | Tongseok Lim: Various formulations of martingale optimal transport problem in multi dimension (Conference Room San Felipe) |
| 12:15 - 12:40 | Jan Obloj: Computational Methods for Martingale Optimal Transport problems (Conference Room San Felipe) |
| 12:40 - 13:05 | Daniel Lacker: Weak approximation by adapted process (Conference Room San Felipe) |
| 13:05 - 13:30 | Erick Treviño Aguilar: On the partial hedging of American options (Conference Room San Felipe) |
| 13:30 - 15:30 | Lunch (Restaurant Hotel Hacienda Los Laureles) |
| 15:30 - 19:00 | Free Afternoon (Oaxaca) |
| 19:00 - 21:00 | Dinner (Restaurant Hotel Hacienda Los Laureles) |
| Thursday, May 17 | |
|---|---|
| 07:30 - 09:00 | Breakfast (Restaurant at your assigned hotel) |
| 09:00 - 09:45 | Martin Larsson: Short- and long-term relative arbitrage in stochastic portfolio theory (Conference Room San Felipe) |
| 09:45 - 10:30 | Johannes Ruf: Filtration shrinkage, the structure of deflators, and the failure of market completeness (Conference Room San Felipe) |
| 10:30 - 11:00 | Coffee Break (Conference Room San Felipe) |
| 11:00 - 11:45 | Soumik Pal: Multiplicative Schrödinger problem in stochastic portfolio theory (Conference Room San Felipe) |
| 11:50 - 12:15 | Bruno Bouchard: Simple Transaction cost bounds (Conference Room San Felipe) |
| 12:15 - 12:40 | Daniel Hernández: Periodic strategies in optimal execution with multiplicative impact (Conference Room San Felipe) |
| 12:40 - 13:05 | Stefano De Marco: Volatility derivatives in rough forward variance models (Conference Room San Felipe) |
| 13:05 - 13:30 | Blanka Horvath: Functional central limit theorems for rough volatility (Conference Room San Felipe) |
| 13:30 - 15:00 | Lunch (Restaurant Hotel Hacienda Los Laureles) |
| 15:00 - 15:45 | Mark Podolskij: High dimensional problems for continuous time models (Conference Room San Felipe) |
| 15:45 - 16:10 | Sigrid Källblad: Measure-valued martingales and optimality of solutions to the Skorokhod embedding problem (Conference Room San Felipe) |
| 16:10 - 16:30 | Coffee Break (Conference Room San Felipe) |
| 16:30 - 19:00 | Free Time (Hotel Hacienda Los Laureles) |
| 19:00 - 21:00 | Dinner (Restaurant Hotel Hacienda Los Laureles) |
| Friday, May 18 | |
|---|---|
| 07:30 - 09:00 | Breakfast (Restaurant at your assigned hotel) |
| 09:00 - 10:30 | Free Time (Hotel Hacienda Los Laureles) |
| 10:30 - 11:00 | Coffee Break (Conference Room San Felipe) |
| 11:00 - 12:00 | Free Time (Hotel Hacienda Los Laureles) |
| 12:00 - 14:00 | Lunch (Restaurant Hotel Hacienda Los Laureles) |
