Details
Event Description
The 2007 Carnegie Mellon, Columbia, Cornell and Princeton (CCCP) Mathematical Finance Workshop intends to bring together researchers in mathematical finance for the exchange of ideas and the discussion of emerging problems in the field. This year's workshop will be held in the Friend Center Convocation Room, RM 113. Sponsors include the Bendheim Center for Finance, the Department of Operations Research & Financial Engineering (ORFE), Morgan Stanley, and the National Science Foundation.
Speakers
- Peter Carr, (New York University and Bloomberg)
- Rene Carmona, (Princeton University)
- Rama Cont, (Columbia University)
- Paolo Guasoni, (Boston University)
- Jean Jacod, (Universite Paris VI)
- Steve Kou, (Columbia University)
- Ken Kim, (Columbia University)
- Kasper Larsen, (Carnegie Mellon University)
- Dilip Madan, (University of Maryland)
- Alexander Schied, (Cornell University)
- Steven E. Shreve, (Carnegie Mellon University)
- Ronnie Sircar, (Princeton University)
- Thaleia Zariphopoulou, (University of Texas)
- Gordan Zitkovic, (University of Texas)
Committees
Organizing Committee
Rene Carmona
Patrick Cheridito
Erhan Cinlar
| Time | Speaker | Institution | Title |
|---|---|---|---|
| 10:00-10:40 | Alexander Schied | Cornell University | Optimal portfolio liquidation and predatory trading |
| 10:50-11:30 | Gordan Zitkovic | University of Texas | A perspective on the stochastic equilibrium problem |
| 11:40-12:20 | Jean Jacod | Universite Paris VI | Volatility and Jumps in Presence of Microstructure Noise (joint with Yacine Ait-Sahalia) |
| 2:00-2:40 | Rene Carmona | Princeton University | Market Designs for Emission Trading Schemes |
| 2:50-3:30 | Thaleia Zariphopoulou | University of Texas | Stochastic pdes in portfolio choice |
| 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 |
| 4:50-5:30 | Ken Kim | Columbia University | Moment Explosions and Stationary Distributions in Affine Diffusion Models |
| Time | Speaker | Institution | Title |
|---|---|---|---|
| 9:00-9:40 | Steven E. Shreve | Carnegie Mellon University | Futures Trading with Transaction Costs |
| 9:50-10:30 | Peter Carr | NYU and Bloomberg | Static Hedging under Zero Drift CEV |
| 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 |
| 3:00-3:40 | Rama Cont | Columbia University | Recovering Credit Portfolio Loss Rates from CDO Tranches: Solution of an inverse problem by intensity control |
| 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 |
Event Category
Conferences