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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

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