November 30
| 10:00-10:40 | Alexander Schied | Cornell University | Optimal portfolio liquidation and predatory trading [slides] |
| 10:50-11:30 | Gordan Zitkovic | University of Texas | A
perspective on the stochastic equilibrium problem [slides] |
| 11:40-12:20 | Jean Jacod | Universite Paris VI | Volatility and Jumps in Presence of Microstructure Noise (joint with Yacine Ait-Sahalia) [slides] |
| 2:00-2:40 | Rene Carmona | Princeton University | Market Designs for Emission Trading Schemes [slides] |
| 2:50-3:30 | Thaleia Zariphopoulou | University of Texas | Stochastic pdes in portfolio choice [slides] |
| 4:00-4:40 | Steve Kou | Columbia University | What Is a Good
External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures [slides] |
| 4:50-5:30 | Ken Kim | Columbia University | Moment Explosions and Stationary Distributions in Affine Diffusion Models [slides] |
December 1
| 9:00-9:40 | Steven E. Shreve | Carnegie Mellon University | Futures Trading with Transaction Costs [slides] |
| 9:50-10:30 | Peter Carr | NYU and Bloomberg | Static Hedging under Zero Drift CEV [slides] |
| 11:00-11:40 | Paolo Guasoni | Boston University | Portfolios and Risk Premia for the Long Run |
| 11:50-12:30 | Kasper Larsen | Carnegie Mellon University | Continuity of utility-maximization with respect to preferences |
| 2:10-2:50 | Dilip Madan | University of Maryland | Equilibrium Asset Pricing with Non-Gaussian Factors and Exponential Utility [slides] |
| 3:00-3:40 | Rama Cont | Columbia University | Recovering Credit
Portfolio Loss Rates from CDO Tranches: Solution of an inverse problem by intensity control [slides] |
| 3:50-4:30 | Ronnie Sircar | Princeton University | Twists and Turns in the Skew and Term Structure:Calibration 2.0 of the Implied Volatility Surface [slides] |