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Advances in Mathematical Finance and Optimal Transport

Partially supported by: ETH Zürich, University of Vienna and Austrian Science Fund (FWF), START grant Y782 and Y1235

27 June 2022 - 30 June 2022

Invited Speakers

[table view]

David Proemel

Universität Mannheim
Talk: Model-free portfolio theory: a rough path approach

Catherine Rainer

Brest University
Talk: Absorption Paths and Equilibria in Quitting Games (common work with Galit Ashkenazi-Golan, Eilon Solan, and Ilia Krasikov)

Mathieu Rosenbaum

École Polytechnique
Talk: Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach

Birgit Rudloff

Vienna University of Economics and Business
Talk: Epic Math battles: Nash versus Pareto

Mykhaylo Skolnikov

Princeton University
Talk: Free boundary problems with blow-ups: probabilistic solutions and applications

Mete Soner

Princeton University
Talk: Knightian Uncertainty, Viability and Arbitrage

Sara Svaluto-Ferro

University of Verona
Talk: Signature based models: theory and calibration

Ludovic Tangpi

Princeton University
Talk: Optimal Investment in a large population of competitive and heterogenous agents

Kim Weston

Rutgers University
Talk: Equilibrium Existence in a Limited Participation Economy

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