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Schedule

Program

All talks will be held in Friend Center 004.

Tuesday, July 12th

8:25 - 8:55am Breakfast Outside Friend 004
8:55 - 9:00 Welcome / Opening Remarks
9:00 - 9:30 Min Dai Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching
9:30 - 10:00 David Beßlich Irreversible Investment Problems with Demand Shocks
10:00 - 10:30 Coffee Break
10:30 - 11:00 Guanxing Fu Mean Field Games with Singular Controls
11:00 - 11:30 Chen Yang Stochastic Representation for Nonlocal Problems with its Application in the Pricing of Dual-purpose Fund
11:30 - 1:30pm Lunch Sherrerd Hall Atrium
1:30 - 2:00 Ankush Agarwal Rare Event Simulation Related to Financial Risks: Efficient Estimation and Sensitivity Analysis
2:00 - 2:30 Huang Shan Opaque Bank Assets and Optimal Equity Capital
2:30 - 3:00 Coffee Break
3:00 - 3:30 Ulrich Horst A Principal-agent Model of Trading Under Market Impact
3:30 - 4:00 Hui Shao Gini Curves and Bracket Incomes
6:00 - 8:00 Cocktail Reception Sherrerd Hall Atrium

Wednesday, July 13th

8:30 - 9:00am Breakfast Outside Friend 004
9:00 - 9:30 Delphine Lautier Equilibrium Relations Between the Spot and Futures Markets for Commodities: An Infinite Horizon Model
9:30 - 10:00 Cong Qin Exhaustible Resources with Production Adjustment Costs
10:00 - 10:30 Coffee Break
10:30 - 11:00 Franziska Schulz Energy Market Forecasts Using Functional Data Analysis
11:00 - 11:30 Dörte Kreher On a Functional Convergence Theorem for Interpolated Markov Chains to an Infinite Dimensional Diffusion
11:30 - 2:00pm Lunch Sherrerd Hall Atrium
2:00 - 2:30 Moritz Voss Hedging with Stochastic Price Impact
2:30 - 3:00 Coffee Break
3:00 - 3:30 Zhou Chao Stochastic Control for a Class of Nonlinear Kernels and Applications
3:30 - 4:00 René Carmona Bank Run Models and Mean Field Games of Timing
6:30 - 9:00 Dinner (by invitation) Palmer House