Schedule

Friday, October 25, 2019: Questrom School of Business Room 208

8:30 - 8:50 Registration and breakfast

8:50 - 9:00 Welcome

9:00 - 9:45 Alexander Schied

Robustness in the optimization of risk measures

9:45 - 10:30 Hui Chen

Predation or Self-Defense? Endogenous Competition and Financial Distress

10:30 - 11:00 Coffee Break

11:00 - 11:45 Andreea Minca

(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks

11:45 - 12:30 Igor Cialenco

Fair Capital Risk Allocation

12:30 - 2:00 Lunch

2:00 - 2:45 Ruimeng Hu

Deep Fictitious Play for Stochastic Differential Games

2:45 - 3:30 Tim-Kam Leonard Wong

Universal Portfolio and Stochastic Portfolio Theory

3:30 - 4:00 Coffee Break

4:00 - 4:45 Oleksii Mostovyi

Optimal Consumption from Investment and Labor Income in a Unifying Framework of Admissibility

4:45 - 5:00 Break

5:00 - 6:00 PhD Session

5:00 - 5:30 Xiaofei Shi

Liquidity Risk and Asset Prices

5:30 - 6:00 Camilo Hernandez

A general theory of non-Markovian consistent planning

Saturday, October 26, 2019: Questrom School of Business Room 208

8:30 - 9:00 Registration and breakfast

9:00 - 9:45 Haoxiang Zhu

Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

9:45 - 10:30 Dylan Possamaī

Mean-field Consumers for Electricity Demand-Response Programs

10:30 - 11:00 Coffee Break

11:00 - 11:45 John Birge

Endogenous Connections and Risk Propagation in Financial Networks

11:45-12:30 Daniel Greenwald

Financial Fragility with SAM

12:30 - 2:00 Lunch

2:00 - 2:45 Serdar Kadıoğlu

Bayesian Deep Learning Based Exploration-Exploitation for Personalized Recommendations

2:45 - 3:30 Limin Zhang

Machine Learning in Mortgages

3:30 - 4:00 Coffee Break

4:00 - 4:45 Peter Carr

Adding Optionality

4:45 - 5:00 Break

5:00 - 6:00 PhD Session

5:00 - 5:30 Xin Zhang

Transport Plans with Domain Constraints

5:30 - 6:00 Jiacheng Zhang

Inverting the Markovian Projection, with an Application to Local Stochastic Volatility Models

Sunday, October 27, 2019: Questrom School of Business Room 208

8:30 - 9:00 Registration and breakfast

9:00 - 9:45 Marcel Nutz

Climate Change Adaptation under Heterogeneous Beliefs

9:45 - 10:30 Ludovic Tangpi

On Backward Propagation of Chaos

10:30 - 11:00 Coffee Break

11:00 - 11:45 Kavita Ramanan

Large deviations and concentration results for mean-field games

11:45 - 12:30 Mete Soner

Optimal Dividends