Institute for Mathematical Sciences Event Archive
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Workshop on Knightian Uncertainty and Risk Measures
( 1 - 5 Jul 2013)
Venue: IMS Auditorium
Organizing Committee · Visitors and Participants · Overview · Activities · Venue
09:45am - 09:55am |
Registration |
09:55am - 10:00am |
Opening remarks |
10:00am - 10:50am |
Model uncertainty and risk aggregation Paul Embrechts, ETH Zurich, Switzerland |
10:50am - 11:10am |
--- Coffee Break --- |
11:10am - 12:00nn |
Superhedging under model uncertainty Samuel Drapeau, Humboldt Universität zu Berlin, Germany |
12:00nn - 01:30pm |
--- Lunch --- |
01:30pm - 02:20pm |
On a stochastic Fubini theorem Martin Schweizer, ETH Zurich, Switzerland |
02:20pm - 03:10pm |
Qi Zhang, Fudan University, China |
Tuesday, 2 Jul 2013 |
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09:45am - 10:00am |
Registration |
10:00am - 10:50am |
Portfolio optimization and stochastic volatility asymptotics Jean-Pierre Fouque, University of California at Santa Barbara, USA |
10:50am - 11:10am |
--- Coffee Break --- |
11:10am - 12:00nn |
Asset pricing under probability distortions Jianming Xia, Chinese Academy of Sciences, China |
12:00nn - 01:30pm |
--- Lunch Reception at IMS --- |
02:00pm - 03:30pm |
Darrell Duffie, Stanford University, USA Venue: AS2/03-12, Lim Tay Boh Seminar Room, Faculty of Arts and Social Sciences *Note: The talk is followed by a reception |
Wednesday, 3 Jul 2013 |
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01:15pm - 01:30pm |
Registration |
01:30pm - 02:20pm |
Mete Soner, ETH Zurich, Switzerland |
02:20pm - 03:10pm |
Optimal investment and consumption with capital gain taxes Min Dai, National University of Singapore |
03:10pm - 03:40pm |
--- Coffee Break --- |
Thursday, 4 Jul 2013 |
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09:45am - 10:00am |
Registration |
10:00am - 10:50am |
Comparative and qualitative robustness for law-invariant risk measures Alexander Schied, University of Mannheim, Germany |
10:50am - 11:10am |
--- Coffee Break --- |
11:10am - 12:00nn |
Mean or median: an implication for BIS trading book capital requirements Xianhua Peng, The Hong Kong University of Science and Technology, Hong Kong |
12:00nn - 01:30pm |
--- Lunch --- |
01:30pm - 02:20pm |
Martingale optimal transport and robust hedging in continuous time Yan Dolinsky, ETH Zurich, Switzerland |
02:20pm - 03:10pm |
Good deal bounds with convex constraints Takuji Arai, Keio University, Japan |
03:10pm - 03:40pm |
--- Coffee Break --- |
04:00pm - 05.30pm |
Public Lecture: Regulatory Boundaries for the Banking System Darrell Duffie, Stanford University, USA |
Friday, 5 Jul 2013 |
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09:45am - 10:00am |
Registration |
10:00am - 10:50am |
First passage times of two-dimensional Brownian motion Steven Kou, National University of Singapore |
10:50am - 11:10am |
--- Coffee Break --- |
11:10am - 12:00nn |
G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE Shige Peng, Shandong University, China |
12:00nn - 12:05pm |
Closing remarks |
Organizing Committee · Visitors and Participants · Overview · Activities · Venue
