Organizing Committee
- Tomasz Bielecki
Illinois Institute of Technology - Patrick Dondl
Albert-Ludwigs-Universität Freiburg - Philipp Harms
University of Freiburg - Eva Lutkebohmert-Holtz
University of Freiburg - Marcel Nutz
Columbia University - Thorsten Schmidt
University of Freiburg
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.

Confirmed Speakers & Participants
Talks will be presented virtually or in-person as indicated in the schedule below.
- Speaker
- Poster Presenter
- Attendee
- Virtual Attendee
-
Beatrice Acciaio
London School of Economics
-
Tamer Basar
University of Illinois at Urbana-Champaign
-
Erhan Bayraktar
University of Michigan
-
Tomasz Bielecki
Illinois Institute of Technology
-
Justin Calareso
Rose-Hulman institute of Technology
-
René Carmona
Princeton University
-
Zhizhong Chen
Brown University
-
Tao Chen
Illinois Institute of Technology
-
Po-Keng Cheng
The State University of New York at Stony Brook
-
Igor Cialenco
Illinois Institute of Technology
-
Sam Cohen
University of Oxford
-
Rama Cont
Imperial College London
-
Patrick Dondl
Albert-Ludwigs-Universität Freiburg
-
Ibrahim Ekren
ETH Zurich
-
Tolulope Fadina
University of Freiburg
-
Shibi Feng
Illinois Institute of Technology
-
Wendell Fleming
Brown University
-
Miguel Angel Garrido Garcia
Columbia University
-
Christoph Gerhart
University of Freiburg
-
Ruoting Gong
Illinois Institute of Technology
-
Sandrine Gümbel
University of Freiburg
-
Jia Guo
University of Michigan
-
Philipp Harms
University of Freiburg
-
Yicong Huang
Illinois Institute of Technology
-
Ioannis Karatzas
Columbia University
-
Donghan Kim
Columbia University
-
Daniel Lacker
Brown University
-
Junbeom Lee
National University of Singapore
-
Taehee Lee
Brown University
-
Yan Li
Brown University
-
Eva Lutkebohmert-Holtz
University of Freiburg
-
Ning Ning
University of California, Santa Barbara
-
Stefano Novello
Imperial College London
-
Marcel Nutz
Columbia University
-
Weijie Pang
Worcester Polytechnic Institute
-
Hyungbin Park
Worcester Polytechnic Institute
-
Ethan Petersen
Rose-Hulman Institute of Technology
-
Scott Robertson
Boston University
-
Patchara Santawisook
WPI
-
Thorsten Schmidt
University of Freiburg
-
Glenn Shafer
Rutgers Business School
-
Konstantinos Spiliopoulos
Boston University
-
Florian Stebegg
Columbia University
-
Yavor Stoev
University of Michigan
-
Stephan Sturm
WPI
-
Tushar Vaidya
Singapore University of Technology and Design
-
Haoran Wang
The University of Texas at Austin
-
Gu Wang
Worcester Polytechnic Institute
-
Ruoyu Wu
Brown University
-
Yan Xu
carnegie mellon university
-
Jiaxuan Ye
Worcester Polytechnic Institute
-
Yuchong Zhang
Columbia University
Workshop Schedule
Monday, June 19, 2017
Tuesday, June 20, 2017
Wednesday, June 21, 2017
Thursday, June 22, 2017
Friday, June 23, 2017
Time | Event | Location | Materials |
---|---|---|---|
9:00 - 9:40am EDT | Workshop Recap/ Research Session Overview - Workshop Organizers | 11th Floor Lecture Hall | |
9:40 - 10:10am EDT | Coffee Break | 11th Floor Collaborative Space | |
10:10 - 12:30pm EDT | Research Session | 11th Floor Lecture Hall | |
12:30 - 2:15pm EDT | Break for Lunch / Free Time | ||
2:15 - 3:30pm EDT | Research Session | 11th Floor Lecture Hall | |
3:30 - 4:00pm EDT | Coffee Break | 11th Floor Collaborative Space | |
4:00 - 4:45pm EDT | Research Session | 11th Floor Lecture Hall |