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