CRM: Centro De Giorgi
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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

Timetable

Weeks: [Mon 27 Jun - Thu 30 Jun]
Date Time Speaker Room
Mon 27 Jun 8:15- 9:10 Registration Aula Dini
9:10- 9:15 Welcome address Prof. Malchiodi Aula Dini
9:15- 10:00 Ambrosio, Luigi
"On some variational problems involving functions with bounded Hessian" 		Aula Dini
10:00- 10:45 Soner, Mete
"Knightian Uncertainty, Viability and Arbitrage" 		Aula Dini
10:45- 11:15 Coffee break Aula Dini
11:15- 12:00 Obloj, Jan
"OT Methodology for non-parametric calibration of financial models" 		Aula Dini
12:00- 14:30 Lunch Aula Dini
14:30- 15:15 Biagini, Sara
"Robust portfolio choice with sticky wages" 		Aula Dini
15:15- 16:00 Proemel, David
"Model-free portfolio theory: a rough path approach" 		Aula Dini
16:00- 16:30 Coffee break Aula Dini
16:30- 17:15 Di Nunno, Giulia
"Fully dynamic risk measures and horizon risk" 		Aula Dini
17:15- 18:00 Tangpi, Ludovic
"Optimal Investment in a large population of competitive and heterogenous agents" 		Aula Dini
Tue 28 Jun 9:15- 10:00 Friz, Peter
"Rough SDEs, Rough Semimartingales" 		Aula Dini
10:00- 10:45 Svaluto-Ferro, Sara
"Signature based models: theory and calibration" 		Aula Dini
10:45- 11:15 Coffee break Aula Dini
11:15- 12:00 Bayer, Christian
"Optimal stopping with signatures" 		Aula Dini
12:00- 12:45 Gerhold, Stefan
"On the non-Markov property: Gaussian processes and beyond" 		Aula Dini
12:45- 14:30 Lunch Aula Dini
14:30- 15:15 Skolnikov , Mykhaylo
"Free boundary problems with blow-ups: probabilistic solutions and applications" 		Aula Dini
15:15- 16:00 Cont, Rama
"A model-free approach to continuous-time finance" 		Aula Dini
16:00- 16:30 Coffee break Aula Dini
16:30- 17:15 Czichowsky, Christoph
"Rough volatility and portfolio optimisation under transaction costs" 		Aula Dini
17:15- 18:00 Muhle-Karbe, Johannes
"Stochastic Liquidity as a Proxy for Nonlinear Price Impact" 		Aula Dini
Wed 29 Jun 9:15- 10:00 Kardaras, Constantinos
"Estimation of growth in fund models" 		Aula Dini
10:00- 10:45 Karatzas, Ioannis
"Conservative Diffusions as Entropic Flows of steepest Descent" 		Aula Dini
10:45- 11:15 Coffee break Aula Dini
11:15- 12:00 Rudloff, Birgit
"Epic Math battles: Nash versus Pareto" 		Aula Dini
12:00- 12:45 Weston , Kim
"Equilibrium Existence in a Limited Participation Economy" 		Aula Dini
12:45- 14:30 Lunch Aula Dini
14:30- 15:15 Cvitanic, Jaksa
"Truth-Incentive Surveys" 		Aula Dini
14:30- 15:15 Rainer, Catherine
"Absorption Paths and Equilibria in Quitting Games (common work with Galit Ashkenazi-Golan, Eilon Solan, and Ilia Krasikov)" 		Aula Dini
15:15- 16:00 Coffee break Aula Dini
Thu 30 Jun 9:15- 10:00 Källblad, Sigrid
"Controlled measure valued martingales: a viscosity solution approach" 		Aula Dini
10:00- 10:45 Backhoff Veraguas, Julio
"On the martingale projection of a Brownian motion given initial and terminal marginals." 		Aula Dini
10:45- 11:15 Coffee break Aula Dini
11:15- 12:00 McCann, Robert
"On the Monopolist's Problem Facing Consumers with Nonlinear Price Preferences" 		Aula Dini
12:00- 12:45 Kramkov, Dmitry
""Backward martingale transport in pseudo-Euclidean spaces and Fitzpatrick functions."" 		Aula Dini
12:45- 13:00 Closing remarks by Walter Schachermayer Aula Dini