New Directions in Financial Mathematics and Mathematical Economics
Videos from BIRS Workshop
Paolo Guasoni, Boston University and Dublin City University
Monday Jul 7, 2014 09:06 - 09:45
Shortfall Aversion
Matheus Grasselli, McMaster University
Monday Jul 7, 2014 09:46 - 10:23
Bringing Tobin back: asset price dynamics and portfolio selection in macroeconomics
Scott Robertson, Carnegie Mellon University
Monday Jul 7, 2014 15:48 - 16:30
Long Horizon Optimal Investment and Risk-Sensitive Control in Stochastic Volatility Models with Matrix Valued Factors
Erhan Bayraktar, University of Michigan
Tuesday Jul 8, 2014 09:04 - 09:42
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Daniel Hernandez, Research Center for Mathematics
Tuesday Jul 8, 2014 10:50 - 11:16
Games of singular control and stopping driven by spectrally one-sided Lévy processes
Cody Hyndman, Concordia University
Tuesday Jul 8, 2014 11:16 - 11:49
Optimal measure transformation problems as- sociated with defaultable bonds, futures prices, and forward prices
Stephan Sturm, Worcester Polytechnic Institute
Tuesday Jul 8, 2014 11:50 - 12:30
Funding without Tears. A Unified Approach to XVA
Agostino Capponi, Johns Hopkins University
Tuesday Jul 8, 2014 16:36 - 17:17
Dynamic Investment Under Counter-Party Risk
Christian Ewald, University of Glasgow
Tuesday Jul 8, 2014 17:19 - 17:53
Peacocks, Lyrebirds and Increasing Risk in the Rothschild Stiglitz Sense
Johannes Muhle-Karbe, Carnegie Mellon University
Wednesday Jul 9, 2014 09:08 - 09:47
Who should sell stocks?
Maxim Bichuch, Worcester Polytechnic Institute
Wednesday Jul 9, 2014 11:33 - 12:05
Portfolio Choice with Liquid and Illiquid Assets
Mike Ludkovski, UC Santa Barbara
Thursday Jul 10, 2014 09:06 - 09:48
Dynamic R&D Games
Minyi Huang, Carleton Univ.
Thursday Jul 10, 2014 09:48 - 10:28
Mean field game modeling for stochastic economic growth
Matt Lorig, Princeton University
Thursday Jul 10, 2014 11:35 - 12:17
Portfolio Asymptotics for Local-Stochastic Volatility Models
Ronnie Sircar, Princeton University
Thursday Jul 10, 2014 17:17 - 17:55
Energy Production and Mean Field Games
Andrew Papanicolaou, University of Sydney
Friday Jul 11, 2014 09:45 - 10:27
Control with Partial Information
Remy Praz, Ecole Polytechnique Fédérale de Lausanne
Friday Jul 11, 2014 11:11 - 11:50
Asymmetric Information and Inventory Concerns in Over-the-Counter Markets
Antonis Papapantoleon, Technical University Berlin
Friday Jul 11, 2014 11:50 - 12:20
An equilibrium model for commodity spot and forward prices
