Schedule
Friday, October 26, 2018
The Ballroom of Hermann Hall (Building HH)
8:30 – 8:45 am Registration
8:45 – 9:00 am Welcome remarks
9:00 – 9:40 am Paul Glasserman, Information-Driven Price and Volatility Cycles
9:40 - 9:45 Break
9:45 – 10:25 am Dmitry Kramkov, An optimal transport problem with backward martingale constraints motivated by insider trading
10:25 – 10:45 am Coffee Break
10:45 – 11:25 am Lan Zhang, The Five Trolls Under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data
11:25 - 11:30 am Break
11:30 am – 12:10 pm Jerome Detemple, Optimal Investment Strategies for Power Generation: the Value of Green Energy
12:10 – 2:00 pm Lunch (attendees on their own)
2:00 – 2:40 pm Kasper Larsen, Smart TWAP trading in continuous-time equilibria
2:40 - 2:45 pm Break
2:45 – 3:25 pm Ibrahim Ekren, Equilibrium option price with competing market makers
3:25 – 3:45 pm Coffee Break
3:45 – 4:25 pm Ruoting Gong, Small-time Asymptotics for Levy-Based Models
4:25 - 4:30 pm Break
4:30 – 5:10 pm Daniel Lacker, Competitive optimal investment under relative performance criteria
5:10 - 5:15 pm Break
5:15 – 5:55 pm Stanislav Uryasev, Risk Management with POE, VaR, CVaR, and bPOE: Applications in Finance
Saturday, October 27, 2018
Main Auditorium of Pritzker Science Center (Building PS)
9:00 – 9:40 am Roger Lee, Cumulant Formulas for Implied Volatility
9:40 - 9:45 am Break
9:45 – 10:25 am Jim Gatheral, Diamonds: A quant's best friend
10:25 – 10:45 am Coffee Break
10:45 – 11:25 am Kevin Webster, Leland Strategy with both market and limit orders
11:25 – 11:30 am Break
11:30 am – 12:10 pm Peter Carr, Interpreting Implied Volatility
12:10 – 12:25pm Anthony Malizzio, DISENT
12:25 – 2:00 pm Lunch (provided) & Poster Session
2:00 – 2:20 pm Florian Stebegg, Fine Properties of Skorokhod Embedding
2:20 – 2:40 pm Kevin Ou, TBA
2:40 – 3:00 pm Zongxi Li, Portfolio Feedback
3:00 – 3:20 pm Weijie Pang, XVA Valuation under market illiquidity
3:20 – 3:40 pm Coffee Break
3:40 – 4:20 pm Mykhaylo Shkolnikov, Particles interacting through the hitting times: neuron firing, supercooling and systemic risk
4:20 – 4:25 pm Break
4:25 – 5:05 pm Jiongmin Yong, Recursive Utility, Dynamic Risk Measure, and Backward Stochastic Volterra Integral Equations
5:05 – 5:10 pm Break
5:10 – 5:50 pm Gu Wang, High-water Mark Fees with Stochastic Benchmark
Sunday, October 28, 2018
Main Auditorium of Pritzker Science Center (Building PS)
9:00 – 9:40 am Agostino Capponi, The term structure of liquidity
9:40 – 9:45 am Break
9:45 – 10:25 am Jose Figueroa-Lopez, Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
10:25 – 10:45 am Coffee Break
10:45 – 11:25 am Maxim Bichuch, Robust XVA
11:25 – 11:30am Break
11:30 am – 12:10 pm Alexander Lipton, Stochastic Processes in Domains with Boundaries and Some of Their Financial Applications
12:10 – 12:15 pm Break
12:15 – 12:55 pm Andrew Papanicolaou, Statistics of VIX futures and their applications to trading volatility exchange-traded products
12:55 – 1:00 pm Closing remarks
We gratefully acknowledge financial support from:
College of Science and Department of Applied Mathematics at Illinois Tech