Schedule for: 18w5080 - Stochastic Analysis and its Applications

Arriving in Oaxaca, Mexico on Sunday, May 13 and departing Friday May 18, 2018
Sunday, May 13
14:00 - 23:59 Check-in begins (Front desk at your assigned hotel)
19:30 - 22:00 Dinner (Restaurant Hotel Hacienda Los Laureles)
20:30 - 21:30 Informal gathering (Hotel Hacienda Los Laureles)
Monday, May 14
07:30 - 08:45 Breakfast (Restaurant at your assigned hotel)
08:45 - 09:00 Introduction and Welcome (Conference Room San Felipe)
09:00 - 09:45 Umut Çetin: Diffusion transformations, Black-Scholes equation and optimal stopping (Conference Room San Felipe)
09:45 - 10:30 Teemu Pennanen: Convex duality in nonlinear optimal transport (Conference Room San Felipe)
10:30 - 11:00 Coffee Break (Conference Room San Felipe)
11:00 - 11:45 Marcel Nutz: Convergence to the Mean Field Game Limit: A Case Study (Conference Room San Felipe)
11:50 - 12:40 Goncalo dos Reis: Large Deviations for McKean Vlasov Equations and Importance Sampling (Conference Room San Felipe)
12:40 - 13:05 Giorgia Callegaro: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications (Conference Room San Felipe)
13:05 - 13:30 Group Photo (Hotel Hacienda Los Laureles)
13:30 - 15:00 Lunch (Restaurant Hotel Hacienda Los Laureles)
15:00 - 15:45 Josef Teichmann: Reservoir Computing, Regularity Structures and learning of Dynamics in Finance (Conference Room San Felipe)
15:45 - 16:30 Christa Cuchiero: Markovian representations of stochastic Volterra processes (Conference Room San Felipe)
16:30 - 16:50 Coffee Break (Conference Room San Felipe)
16:50 - 19:00 Free Time (Hotel Hacienda Los Laureles)
19:00 - 21:00 Dinner (Restaurant Hotel Hacienda Los Laureles)
Tuesday, May 15
07:30 - 09:00 Breakfast (Restaurant at your assigned hotel)
09:00 - 09:45 Mihai Sirbu: Optimal investment and consumption with labor income or liability streams (Conference Room San Felipe)
09:45 - 10:30 Thibaut Mastrolia: Optimal make-take fees for market making regulation (Conference Room San Felipe)
10:30 - 11:00 Coffee Break (Conference Room San Felipe)
11:00 - 11:45 Kim Weston: Incomplete Equilibrium with Stochastic Interest Rates (Conference Room San Felipe)
11:50 - 12:40 Scott Robertson: Equilibrium with Heterogeneous Information (Conference Room San Felipe)
12:40 - 13:10 Michail Anthropelos: Optimal investment and derivative demand and pricing under price impact (Conference Room San Felipe)
13:30 - 15:00 Lunch (Restaurant Hotel Hacienda Los Laureles)
15:00 - 15:45 Misha Shkolnikov: Particles interacting through their hitting times: neuron firing, supercooling and systemic risk (Conference Room San Felipe)
15:45 - 16:10 Tomoyuki Ichiba: An Infinite-dimensional McKean-Vlasov Stochastic Equation (Conference Room San Felipe)
16:10 - 16:30 Coffee Break (Conference Room San Felipe)
16:30 - 19:00 Free Time (Hotel Hacienda Los Laureles)
19:00 - 21:00 Dinner (Restaurant Hotel Hacienda Los Laureles)
Wednesday, May 16
07:30 - 09:00 Breakfast (Restaurant at your assigned hotel)
09:00 - 09:45 Sergio Pulido: Optimal investment in an endogenous price impact model (Conference Room San Felipe)
09:45 - 10:30 Antoine Jacquier: Pricing and Hedging in rough volatility models (Conference Room San Felipe)
10:30 - 11:00 Coffee Break (Conference Room San Felipe)
11:00 - 11:45 Julio Backhoff Veraguas: Martingale Benamou-Brenier: a probabilistic perspective (Conference Room San Felipe)
11:50 - 12:15 Tongseok Lim: Various formulations of martingale optimal transport problem in multi dimension (Conference Room San Felipe)
12:15 - 12:40 Jan Obloj: Computational Methods for Martingale Optimal Transport problems (Conference Room San Felipe)
12:40 - 13:05 Daniel Lacker: Weak approximation by adapted process (Conference Room San Felipe)
13:05 - 13:30 Erick Treviño Aguilar: On the partial hedging of American options (Conference Room San Felipe)
13:30 - 15:30 Lunch (Restaurant Hotel Hacienda Los Laureles)
15:30 - 19:00 Free Afternoon (Oaxaca)
19:00 - 21:00 Dinner (Restaurant Hotel Hacienda Los Laureles)
Thursday, May 17
07:30 - 09:00 Breakfast (Restaurant at your assigned hotel)
09:00 - 09:45 Martin Larsson: Short- and long-term relative arbitrage in stochastic portfolio theory (Conference Room San Felipe)
09:45 - 10:30 Johannes Ruf: Filtration shrinkage, the structure of deflators, and the failure of market completeness (Conference Room San Felipe)
10:30 - 11:00 Coffee Break (Conference Room San Felipe)
11:00 - 11:45 Soumik Pal: Multiplicative Schrödinger problem in stochastic portfolio theory (Conference Room San Felipe)
11:50 - 12:15 Bruno Bouchard: Simple Transaction cost bounds (Conference Room San Felipe)
12:15 - 12:40 Daniel Hernández: Periodic strategies in optimal execution with multiplicative impact (Conference Room San Felipe)
12:40 - 13:05 Stefano De Marco: Volatility derivatives in rough forward variance models (Conference Room San Felipe)
13:05 - 13:30 Blanka Horvath: Functional central limit theorems for rough volatility (Conference Room San Felipe)
13:30 - 15:00 Lunch (Restaurant Hotel Hacienda Los Laureles)
15:00 - 15:45 Mark Podolskij: High dimensional problems for continuous time models (Conference Room San Felipe)
15:45 - 16:10 Sigrid Källblad: Measure-valued martingales and optimality of solutions to the Skorokhod embedding problem (Conference Room San Felipe)
16:10 - 16:30 Coffee Break (Conference Room San Felipe)
16:30 - 19:00 Free Time (Hotel Hacienda Los Laureles)
19:00 - 21:00 Dinner (Restaurant Hotel Hacienda Los Laureles)
Friday, May 18
07:30 - 09:00 Breakfast (Restaurant at your assigned hotel)
09:00 - 10:30 Free Time (Hotel Hacienda Los Laureles)
10:30 - 11:00 Coffee Break (Conference Room San Felipe)
11:00 - 12:00 Free Time (Hotel Hacienda Los Laureles)
12:00 - 14:00 Lunch (Restaurant Hotel Hacienda Los Laureles)