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.

Confirmed Speakers & Participants

Workshop Schedule

Monday, June 19, 2017
TimeEventLocationMaterials
8:30 - 8:55Registration121 South Main Street Providence RI 11th Floor Collaborative Space 
8:55 - 9:00Welcome - ICERM Director11th Floor Lecture Hall 
9:00 - 9:40Robust Asymptotic Growth in the Presence of Stability - Scott Robertson, Questrom School of Business, Boston University11th Floor Lecture Hall
9:50 - 10:30Adaptive Robust Control Under Model Uncertainty - Igor Cialenco, Illinois Institute of Technology11th Floor Lecture Hall
10:30 - 11:00Coffee Break11th Floor Collaborative Space 
11:00 - 11:40Mini 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 - 12:30Mini 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 - 2:15Break for Lunch / Free Time  
2:15 - 2:55Supply and Shorting in Speculative Markets - Marcel Nutz, Columbia University11th Floor Lecture Hall
3:05 - 3:45From the master equation to mean field game limits, fluctuations, and large deviations - Daniel Lacker, Brown University11th Floor Lecture Hall
3:45 - 4:15Coffee/Tea Break11th Floor Collaborative Space 
4:15 - 4:55What is accomplished by successful non-stationary stochastic prediction - Glenn Shafer, Rutgers University11th Floor Lecture Hall
5:00 - 6:30Welcome Reception11th Floor Collaborative Space 
Tuesday, June 20, 2017
TimeEventLocationMaterials
9:00 - 9:40Mini 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 - 10:30Mini 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 - 11:00Coffee Break11th Floor Collaborative Space 
11:00 - 11:40Model risk in term structure modeling - Philipp Harms, University of Freiburg11th Floor Lecture Hall
11:50 - 12:45Contributed 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 - 2:15Break for Lunch / Free Time  
2:15 - 2:55Overview of the Stochastic Theory of Portfolios (I) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:05 - 3:45Overview of the Stochastic Theory of Portfolios (II) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:45 - 4:15Coffee Break11th Floor Collaborative Space 
Wednesday, June 21, 2017
TimeEventLocationMaterials
9:50 - 10:30Data-driven nonlinear expectations - Samuel Cohen, University of Oxford11th Floor Lecture Hall
10:30 - 11:00Coffee Break11th Floor Collaborative Space 
11:00 - 11:40Dependence between components of multivariate Markov chains - Markov consistency and Markov Structures - Tomasz Bielecki, Illinois Institute of Technology11th Floor Lecture Hall
11:50 - 12:30Contributed Talks - Stephan Sturm, WPI Hyungbin Park, Worcester Polytechnic Institute Junbeom Lee, National University of Singapore11th Floor Lecture Hall 
12:20 - 12:30Group Photo11th Floor Lecture Hall 
12:40 - 2:15Break for Lunch / Free Time  
2:15 - 2:55Overview of the Stochastic Theory of Portfolios (III) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:05 - 3:45Overview of the Stochastic Theory of Portfolios (IV) - Ioannis Karatzas, Columbia University11th Floor Lecture Hall
3:45 - 4:15Coffee Break11th Floor Collaborative Space 
4:15 - 4:55Risk-Averse Designs, Robustness, and Stochastic Games - Tamer Basar, University of Illinois at Urbana-Champaign11th Floor Lecture Hall
Thursday, June 22, 2017
TimeEventLocationMaterials
9:00 - 9:40Robust feedback switching control - dynamic programming and viscosity solutions and ergodicity - Erhan Bayraktar, University of Michigan11th Floor Lecture Hall
9:50 - 10:30Mean-field optimization problems and non-anticipative optimal transport - Beatrice Acciaio, LSE11th Floor Lecture Hall
10:30 - 11:00Coffee Break11th Floor Collaborative Space 
11:00 - 11:40A Mean Field Competition - Yuchong Zhang, Columbia University11th Floor Lecture Hall
11:50 - 12:45Contributed 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 - 2:15Break for Lunch / Free Time  
2:15 - 2:55Nonlinear affine processes - Thorsten Schmidt, University of Freiburg11th Floor Lecture Hall
3:05 - 3:45Constrained Optimal Transport - Ibrahim Ekren, ETH Zurich11th Floor Lecture Hall
3:45 - 4:15Coffee Break11th Floor Collaborative Space 
4:15 - 4:55Synchronization of the circadian rhythm: a MFG model for jet lag - René Carmona, Princeton University11th Floor Lecture Hall 
Friday, June 23, 2017
TimeEventLocationMaterials
9:00 - 9:40Workshop Recap/ Research Session Overview - Workshop Organizers11th Floor Lecture Hall 
9:40 - 10:10Coffee Break11th Floor Collaborative Space 
10:10 - 12:30Research Session11th Floor Lecture Hall 
12:30 - 2:15Break for Lunch / Free Time  
2:15 - 3:30Research Session11th Floor Lecture Hall 
3:30 - 4:00Coffee Break11th Floor Collaborative Space 
4:00 - 4:45Research Session11th Floor Lecture Hall 

Lecture Videos

A Mean Field Competition

Yuchong Zhang
Columbia University
June 22, 2017

Risk-Averse Designs, Robustness, and Stochastic Games

Tamer Basar
University of Illinois at Urbana-Champaign
June 21, 2017

Robust Asymptotic Growth in the Presence of Stability

Scott Robertson
Questrom School for Business, Boston University
June 19, 2017