Friday 10/30

 

Session/Topic

8:00 - 9:00am

Breakfast and Openinig Remarks

 

 

Chair: Yacine Ait-Sahalia

Session: Financial Engineering on Weather and Emissions

9:00 - 9:30

Wolfgang Haerdle

Shape Invariant Modelling and Risk Patterns in Brain Analysis

9:30- 10:00

Rene Carmona

Pricing Options on CO2 Emissions

10:00 - 10:30

Brenda Lopez

Pricing of temperature risk

10:30 - 11:00

Coffee Break

 

 

Chair: Vladimir Spokoiny

Session: Financial Ecnometrics I

11:00 - 11:30

Yacine Ait-Sahalia

Jump Clustering in Financial Markets

11:30 - 12:00noon

Lei Qi

Non-Gaussian QMLE for GARCH models

12:00- 2:00p

Lunch (Sherrerd Hall Atrium)

 

 

Chair: Ostap Okhrin

Session: Financial Risk, Liquidity, and Integration

2:00 - 2:30

Markus K. Brunnermeier

Co-Var

2:30 - 3:00

Ulrich Horst & Gokhan Cebiroglu

Hidden Liquidity and the Optimal Use of Iceberg Orders

3:00 - 3:30

Wei Xiong

Index Investing and the Financialization of Commodities

3:30 - 4:00

Coffee Break

 

 

Chair: Jianqing Fan

Session: Nonparamatric Estimation and Model Selection

4:00 - 4:30

Melanie Schienle

Nonparametric Estimation of Individual Risk Behavior in Euler Equations

4:30 - 5:00

Vladimir Spokoiny

Saddle point model selection

5:00 - 5:30

Michael Kupper

Risk Preferences and their Robust Representations

 

 

 

 

 

 

Saturday 10/31

 

Session/Topic

8:00 - 9:00am

Breakfast

 

 

Chair: Ronnie Sircar

Session: Risk Control and Hedging

9:00 - 9:30

Patrick Cheridito

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

9:30- 10:00

Santiago Moreno

Risk Minimization via Catalogues in a Multi-Agency, Multiagent Model

10:00 - 10:30

Birgit Rudloff

Hedging and Pricing under Transaction Costs

10:30 - 11:00

Coffee Break

 

 

Chair: Santiago Moreno

Session: Financial Mathematics

11:00 - 11:30

Ronnie Sircar

Games with Exhaustible Resources

11:30 - 12:00noon

Peter Kratz

Optimal liquidation in dark pools

12:00 – 12:30

Gregor Heyne

Cross hedging with stochastic correlation

12:30 – 2:30

Lunch

 

 

Chair: Rene Carmona

Session: Statistical Methods in Finance

2:30 - 3:00

Ostap Okhrin

Time-varying Hierarchical Archimedean Copulae and their Applications

3:00 - 3:30

Song Song

Bootstrap Partial Linear Quantile Regression with Confidence Bands

3:30 - 4:00

Coffee Break

 

 

Chair:Wolfgang Haerdle

Session: Financial Econometrics II

4:00 - 4:30

Dacheng Xiu

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

4:30 - 5:00

Jianqing Fan

Risk Assessment and Asset Allocation with Gross Exposure Constraints for Vast Portfolios

5:00 - 5:15

Concluding Remarks