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