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Workshop on Knightian Uncertainty and Risk Measures
( 1 - 5 Jul 2013)

Venue: IMS Auditorium

Organizing Committee · Visitors and Participants · Overview · Activities · Venue

 

Monday, 1 Jul 2013

09:45am - 09:55am

Registration

09:55am - 10:00am

Opening remarks

10:00am - 10:50am

Model uncertainty and risk aggregation

Paul Embrechts, ETH Zurich, Switzerland

10:50am - 11:10am

--- Coffee Break ---

11:10am - 12:00nn

Superhedging under model uncertainty

Samuel Drapeau, Humboldt Universität zu Berlin, Germany

12:00nn - 01:30pm

--- Lunch ---

01:30pm - 02:20pm

On a stochastic Fubini theorem

Martin Schweizer, ETH Zurich, Switzerland

02:20pm - 03:10pm

Backward stochastic partial differential equations and their application to stochastic black-scholes formula

Qi Zhang, Fudan University, China

Tuesday, 2 Jul 2013

09:45am - 10:00am

Registration

10:00am - 10:50am

Portfolio optimization and stochastic volatility asymptotics

Jean-Pierre Fouque, University of California at Santa Barbara, USA

10:50am - 11:10am

--- Coffee Break ---

11:10am - 12:00nn

Asset pricing under probability distortions

Jianming Xia, Chinese Academy of Sciences, China

12:00nn - 01:30pm

--- Lunch Reception at IMS ---

02:00pm - 03:30pm

A Theory of Bankruptcy Stays

Darrell Duffie, Stanford University, USA

Venue: AS2/03-12, Lim Tay Boh Seminar Room, Faculty of Arts and Social Sciences

*Note: The talk is followed by a reception

Wednesday, 3 Jul 2013

01:15pm - 01:30pm

Registration

01:30pm - 02:20pm

Second order BSDE's

Mete Soner, ETH Zurich, Switzerland

02:20pm - 03:10pm

Optimal investment and consumption with capital gain taxes

Min Dai, National University of Singapore

03:10pm - 03:40pm

--- Coffee Break ---

Thursday, 4 Jul 2013

09:45am - 10:00am

Registration

10:00am - 10:50am

Comparative and qualitative robustness for law-invariant risk measures

Alexander Schied, University of Mannheim, Germany

10:50am - 11:10am

--- Coffee Break ---

11:10am - 12:00nn

Mean or median: an implication for BIS trading book capital requirements

Xianhua Peng, The Hong Kong University of Science and Technology, Hong Kong

12:00nn - 01:30pm

--- Lunch ---

01:30pm - 02:20pm

Martingale optimal transport and robust hedging in continuous time

Yan Dolinsky, ETH Zurich, Switzerland

02:20pm - 03:10pm

Good deal bounds with convex constraints

Takuji Arai, Keio University, Japan

03:10pm - 03:40pm

--- Coffee Break ---

04:00pm - 05.30pm

Public Lecture: Regulatory Boundaries for the Banking System

Darrell Duffie, Stanford University, USA

Venue: LT12, Faculty of Arts and Social Sciences

Friday, 5 Jul 2013

09:45am - 10:00am

Registration

10:00am - 10:50am

First passage times of two-dimensional Brownian motion

Steven Kou, National University of Singapore

10:50am - 11:10am

--- Coffee Break ---

11:10am - 12:00nn

G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

Shige Peng, Shandong University, China

12:00nn - 12:05pm

Closing remarks


Organizing Committee · Visitors and Participants · Overview · Activities · Venue

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