Robust Methods in Probability & Finance
(June 19  23, 2017)
On financial markets one never observes the same data twice; market configurations are subject to change across time. This poses some specific challenges to inference, prediction, and optimal control in financial contexts. Classically, strong model assumptions are needed, while current research aims at methods which are robust with respect to model misspecification. This issue lies at the heart of the envisaged workshops, and the program of the workshops will reflect recent developments in this direction.
The last decade saw a rise of robust methods in probability and finance resulting in new numerical and theoretical challenges. Interestingly, these challenges bring together methodologies from PDEs, probability, stochastic analysis, and control theory. Mathematically speaking, robustness typically translates into nonlinearity showing up as a defining feature. Examples in this direction are nonlinear expectations, nonlinear PDEs, and Hinfinity optimal stochastic control. Finance has a long tradition of fruitful interactions between these areas. Numerical results often build the first step for subsequent theoretical analysis (and vice versa), thus fitting specifically into ICERM's orientation towards computational and experimental research.
Topics of particular interest are dynamic and robust methods in the following areas: filtering, prediction, optimal control, calibration, pricing, risk management, and machine learning.
This workshop is held under the auspicies of the VIMSS program, in collaboration with the University of Freiburg.
Organizing Committee
 Tomasz R. Bielecki
(Illinois Institute of Technology)  Patrick Dondl
(University of Freiburg)  Philipp Harms
(University of Freiburg)  Eva LutkebohmertHoltz
(University of Freiburg)  Marcel Nutz
(Columbia University)  Thorsten Schmidt
(University of Freiburg)

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Friday  June 23, 2017  

Time  Description  Speaker  Location  Abstracts  Slides 
9:00  9:40  Workshop Recap/ Research Session Overview  Workshop Organizers  11th Floor Lecture Hall  
9:40  10:10  Coffee Break  11th Floor Collaborative Space  
10:10  12:30  Research Session  11th Floor Lecture Hall  
12:30  2:15  Break for Lunch / Free Time  
2:15  3:30  Research Session  11th Floor Lecture Hall  
3:30  4:00  Coffee Break  11th Floor Collaborative Space  
4:00  4:45  Research Session  11th Floor Lecture Hall 