Organizing Committee
Abstract

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 H-infinity 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 VI-MSS program, in collaboration with the University of Freiburg.

Note: four of the original organizers from this workshop held a follow-up workshop in Freiburg, Germany.

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Confirmed Speakers & Participants

Talks will be presented virtually or in-person as indicated in the schedule below.

  • Speaker
  • Poster Presenter
  • Attendee
  • Virtual Attendee

Workshop Schedule

Monday, June 19, 2017
TimeEventLocationMaterials
8:30 - 8:55am EDTRegistration121 South Main Street Providence RI 11th Floor Collaborative Space 
8:55 - 9:00am EDTWelcome - ICERM Director11th Floor Lecture Hall 
9:00 - 9:40am EDTRobust Asymptotic Growth in the Presence of Stability - Scott Robertson, Questrom School of Business, Boston University11th Floor Lecture Hall
9:50 - 10:30am EDTAdaptive Robust Control Under Model Uncertainty - Igor Cialenco, Illinois Institute of Technology11th Floor Lecture Hall
10:30 - 11:00am EDTCoffee Break11th Floor Collaborative Space 
11:00 - 11:40am EDTMini course I - Pathwise integration for functionals of paths with finite quadratic variation and applications in mathematical finance - Rama Cont, Imperial College London11th Floor Lecture Hall 
11:50 - 12:30pm EDTMini course II - Pathwise integration for functionals of paths with finite quadratic variation and applications in mathematical finance - Rama Cont, Imperial College London11th Floor Lecture Hall 
12:30 - 2:15pm EDTBreak for Lunch / Free Time  
2:15 - 2:55pm EDTSupply and Shorting in Speculative Markets - Marcel Nutz, Columbia University11th Floor Lecture Hall
3:05 - 3:45pm EDTFrom the master equation to mean field game limits, fluctuations, and large deviations - Daniel Lacker, Brown University11th Floor Lecture Hall
3:45 - 4:15pm EDTCoffee/Tea Break11th Floor Collaborative Space 
4:15 - 4:55pm EDTWhat is accomplished by successful non-stationary stochastic prediction - Glenn Shafer, Rutgers University11th Floor Lecture Hall
5:00 - 6:30pm EDTWelcome Reception11th Floor Collaborative Space 
Tuesday, June 20, 2017
TimeEventLocationMaterials
9:00 - 9:40am EDTMini course III - Pathwise integration for functionals of paths with finite quadratic variation and applications in mathematical finance - Rama Cont, Imperial College London11th Floor Lecture Hall 
9:50 - 10:30am EDTMini course IV - Pathwise integration for functionals of paths with finite quadratic variation and applications in mathematical finance - Rama Cont, Imperial College London11th Floor Lecture Hall 
10:30 - 11:00am EDTCoffee Break11th Floor Collaborative Space 
11:00 - 11:40am EDTModel risk in term structure modeling - Philipp Harms, University of Freiburg11th Floor Lecture Hall
11:50 - 12:45pm EDTContributed Talks - Yavor Stoev, University of Michigan Tolulope Fadina, University of Freiburg Po-Keng Cheng, The State University of New York at Stony Brook Wenjian Liu, City University of New York11th Floor Lecture Hall 
12:45 - 2:15pm EDTBreak for Lunch / Free Time  
2:15 - 2:55pm EDTOverview of the Stochastic Theory of Portfolios (I) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:05 - 3:45pm EDTOverview of the Stochastic Theory of Portfolios (II) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:45 - 4:15pm EDTCoffee Break11th Floor Collaborative Space 
Wednesday, June 21, 2017
TimeEventLocationMaterials
9:50 - 10:30am EDTData-driven nonlinear expectations - Samuel Cohen, University of Oxford11th Floor Lecture Hall
10:30 - 11:00am EDTCoffee Break11th Floor Collaborative Space 
11:00 - 11:40am EDTDependence between components of multivariate Markov chains - Markov consistency and Markov Structures - Tomasz Bielecki, Illinois Institute of Technology11th Floor Lecture Hall
11:50 - 12:30pm EDTContributed Talks - Stephan Sturm, WPI Hyungbin Park, Worcester Polytechnic Institute Junbeom Lee, National University of Singapore11th Floor Lecture Hall 
12:20 - 12:30pm EDTGroup Photo11th Floor Lecture Hall 
12:40 - 2:15pm EDTBreak for Lunch / Free Time  
2:15 - 2:55pm EDTOverview of the Stochastic Theory of Portfolios (III) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:05 - 3:45pm EDTOverview of the Stochastic Theory of Portfolios (IV) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:45 - 4:15pm EDTCoffee Break11th Floor Collaborative Space 
4:15 - 4:55pm EDTRisk-Averse Designs, Robustness, and Stochastic Games - Tamer Basar, University of Illinois at Urbana-Champaign11th Floor Lecture Hall
Thursday, June 22, 2017
TimeEventLocationMaterials
9:00 - 9:40am EDTRobust feedback switching control - dynamic programming and viscosity solutions and ergodicity - Erhan Bayraktar, University of Michigan11th Floor Lecture Hall
9:50 - 10:30am EDTMean-field optimization problems and non-anticipative optimal transport - Beatrice Acciaio, LSE11th Floor Lecture Hall
10:30 - 11:00am EDTCoffee Break11th Floor Collaborative Space 
11:00 - 11:40am EDTA Mean Field Competition - Yuchong Zhang, Columbia University11th Floor Lecture Hall
11:50 - 12:45pm EDTContributed Talks - Florian Stebegg, Columbia University Haoran Wang, The University of Texas at Austin Ning Ning, University of California, Santa Barbara Tushar Vaidya, Singapore University of Technology and Design11th Floor Lecture Hall 
12:30 - 2:15pm EDTBreak for Lunch / Free Time  
2:15 - 2:55pm EDTNonlinear affine processes - Thorsten Schmidt, University of Freiburg11th Floor Lecture Hall
3:05 - 3:45pm EDTConstrained Optimal Transport - Ibrahim Ekren, ETH Zurich11th Floor Lecture Hall
3:45 - 4:15pm EDTCoffee Break11th Floor Collaborative Space 
4:15 - 4:55pm EDTSynchronization of the circadian rhythm: a MFG model for jet lag - René Carmona, Princeton University11th Floor Lecture Hall 
Friday, June 23, 2017
TimeEventLocationMaterials
9:00 - 9:40am EDTWorkshop Recap/ Research Session Overview - Workshop Organizers11th Floor Lecture Hall 
9:40 - 10:10am EDTCoffee Break11th Floor Collaborative Space 
10:10 - 12:30pm EDTResearch Session11th Floor Lecture Hall 
12:30 - 2:15pm EDTBreak for Lunch / Free Time  
2:15 - 3:30pm EDTResearch Session11th Floor Lecture Hall 
3:30 - 4:00pm EDTCoffee Break11th Floor Collaborative Space 
4:00 - 4:45pm EDTResearch Session11th Floor Lecture Hall 

Lecture Videos

Synchronization of the circadian rhythm: a MFG model for jet lag

René Carmona
Princeton University
June 22, 2017
Robust Methods in Probability & Finance
Play

Constrained Optimal Transport

Ibrahim Ekren
ETH Zurich
June 22, 2017
Robust Methods in Probability & Finance
Play     Abstract

A Mean Field Competition

Yuchong Zhang
Columbia University
June 22, 2017
Robust Methods in Probability & Finance
Play     Abstract

Robust feedback switching control - dynamic programming and viscosity solutions and ergodicity

Erhan Bayraktar
University of Michigan
June 22, 2017
Robust Methods in Probability & Finance
Play     Abstract     Slides

Risk-Averse Designs, Robustness, and Stochastic Games

Tamer Basar
University of Illinois at Urbana-Champaign
June 21, 2017
Robust Methods in Probability & Finance
Play     Abstract

Dependence between components of multivariate Markov chains - Markov consistency and Markov Structures

Tomasz Bielecki
Illinois Institute of Technology
June 21, 2017
Robust Methods in Probability & Finance
Play     Abstract

Data-driven nonlinear expectations

Sam Cohen
University of Oxford
June 21, 2017
Robust Methods in Probability & Finance
Play     Abstract

Model risk in term structure modeling

Philipp Harms
University of Freiburg
June 20, 2017
Robust Methods in Probability & Finance
Play     Abstract

What is accomplished by successful non-stationary stochastic prediction

Glenn Shafer
Rutgers University
June 19, 2017
Robust Methods in Probability & Finance
Play     Abstract     Slides

From the master equation to mean field game limits, fluctuations, and large deviations

Daniel Lacker
Brown University
June 19, 2017
Robust Methods in Probability & Finance
Play     Abstract     Slides

Supply and Shorting in Speculative Markets

Marcel Nutz
Columbia University
June 19, 2017
Robust Methods in Probability & Finance
Play     Abstract     Slides

Robust Asymptotic Growth in the Presence of Stability

Scott Robertson
Boston University
June 19, 2017
Robust Methods in Probability & Finance
Play     Abstract