Program

7th Eastern Conference in Mathematical Finance

(October 20th to 22nd, 2023)

12:20 – 12:30 pm Welcome remarks from Alina Chertock, Head of Mathematics Department

12:30 – 1:10 pm Igor Cialenco, “On time consistency of dynamic risk and performance measures generated by distortion functions”

1:15 – 1:55 pm Faryan Amir-Ghassemi, “Hedge Fund Aggregate Performance and Best Ideas”

1:55 – 2:30 pm Coffee Break

2:30 – 3:10 pm Bahman Angoshtari, “Predictable Forward Performance Processes”

3:15 – 3:55 pm Gökçe Dayanıklı, “Mean Field Models to Regulate Carbon Emissions in Electricity Production”

3:55 – 4:15 pm Break

4:15 – 4:40: pm Vedant Choudary, “FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs”

4:45 – 5:10 pm April Nellis, "A neural network approach to high-dimensional optimal switching problems with jumps in energy markets"

5:10 – 5:40 pm Break (dinner served)

5:40 – 6:05 pm Kevin Zhang, “A Probabilistic Approach to Discounted Infinite Horizon Mean-Field Games”

6:10 – 6:35 pm Lu Vy, “A unified approach to informed trading via Monge-Kantorovich duality”

6:35 – 8:30 pm poster session

8:30 – 9:10 am Bin Zou, “Equilibrium Loss Reporting for a Risk-Averse Insured of Deductible Insurance”

9:15 – 9:55 am Kim Weston, “A multi-agent targeted trading equilibrium with transaction costs”

9:55 - 10:30 am Coffee Break

10:30 – 11:10 am Jiongmin Yong , “Stochastic Linear-Quadratic Optimal Control Problems in Large Time Horizons --- Turnpike Properties”

11:15 – 11:55 am Silvana Pesenti, “Uncertainty Propagation and Dynamic Robust Risk Measures”

11:55 am - 1:30 pm Lunch (Participants on their own)

1:30 – 2:10 pm Emma Hubert, “Stackelberg games and moral hazard with constraints: a stochastic target approach”

2:15 - 2:55 pm Adriana Ocejo Monge, “The effect of fees on optimal allocation and utility of payoff with financial guarantees”

2:55 - 3:30 pm Coffee Break

3:30 – 4:10 pm Anna Bykhovskaya, "High-Dimensional Canonical Correlation Analysis"

4:15 – 4:55 pm Qi Feng, “Deep Signature Algorithm for Multi-dimensional Path-Dependent Options”

5:00 – 5:40 pm Ibrahim Ekren, "Second order PDEs on the Wasserstein space"

8:30 – 9:10 am Konstantinos Spiliopoulos, “Normalization effects and mean field theory for deep neural networks”

9:15 – 9:55 am Zach Feinstein, “Implied Volatility of the Constant Product Market Maker in Decentralized Finance”

9:55 - 10:30 am Coffee Break

10:30 – 11:10 am Camilo Hernandez , “Propagation of chaos for Schrödinger problems with interacting particles”

11:15 – 11:30 am Closing remarks

We gratefully acknowledge our support from the National Science Foundation