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Organizers:
Marco
Avellaneda
Courant Institute of Mathematical Sciences
New York University
avellane@cims.nyu.edu
http://www.math.nyu.edu/faculty/avellane/
and
Rama
CONT
Centre de Mathématiques Appliquées
École Polytechnique
Rama.Cont@polytechnique.fr
http://www.cmap.polytechnique.fr/~rama/
Some of the most interesting themes in quantitative finance and econometrics have to do with model specification in the broadest sense, including the statistical analysis of market data from multiasset, multicurrency markets with a high number of state variables but also indirect identification of models from option prices ("model calibration"). The statistical analysis of the distribution of returns often requires advanced techniques, such as nonlinear regression (ARCH/GARCH), nonstationary modeling of time series (to take into account seasonal effects), neural networks and datamining. In addition to the statistical analysis of multivariate returns, quantitative modeling is also concerned with derivatives and relativevalue analysis, which require working with socalled "riskadjusted" probability distributions. In fact, prices observed at any given time contain "forward looking" information about future cash flows in the form of market prices of traded options.
This means that the models that are used to price and hedge derivatives must be determined partially from econometric information and partially by solving "inverse problems" (in the sense of going from prices to parameters) that reflect current market prices. Inverse problems in assetpricing theory comprise diverse questions in finance, such as the construction of smooth forward rate curves from interest rate futures, swaps and bond price data, the calculation of "volatility surfaces" from observation of option prices and more generally implying parameters of more complex models from observed option prices. These inverse problems are illposed, i.e., exhibit sensitive dependence to input data. This workshop will be centered on robust techniques and algorithms for solving such problems in different market contexts (e.g., fixed income/capital markets derivatives, credit derivatives, commodities market models, etc.), their theoretical foundations, their economic interpretation and the interplay of model identification problems with risk management issues.
Mathematical Areas of Relevance:




MONDAY,
APRIL
12 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 


8:30  Coffee and Registration  Reception Room EE/CS 3176 

9:15  Douglas N. Arnold, Scot Adams, and Organizers  Welcome and Introduction  
9:30  Marco
Avellaneda New York University 
A MarketInduced Mechanism for Stock Pinning on Option Expiration Dates Slides:
PinningSlides.pdf


10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Alexandre
d'Aspremont University of California, Berkeley 
A Moment Approach to the Static Arbitrage Problem on Baskets Slides: pdf 

11:50  

12:00  Lunch
Break 

1:30  Thaleia
Zariphopoulou University of Texas at Austin 
Optimal Investments in Markets with Stochastic Opportunity Sets Slides:
zariphopoulou1.pdf 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
3:30  
3:40  IMA
Tea and more (with POSTER SESSION)


TUESDAY,
APRIL
13 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  Hans
Föllmer Humboldt Universität zu Berlin 
Convex Risk Measures and Robust Optimization Problems Slides: pdf 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Victor
Isakov Wichita State University 

11:50  

12:00  Lunch
Break 

1:30  Rama
CONT Ecole Polytechnique, France 
Recovering Pricing Models from Option Prices: A Statistical Approach to an IllPosed Inverse Problem Paper: pdf 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  Raphael
Douady Riskdata 
Hedge Fund Performance and Risk Profile Analysis: NonLinear Statistics and Risk Factor Identification  
3:50  Discussion


4:00  Coffee Break  Reception Room EE/CS 3176  
4:30  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
WEDNESDAY,
APRIL
14 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  Nicole
EL KAROUI Centre de Mathématiques Appliquées Ecole Polytechnique 
Max Plus Decomposition of Supermartingale with Application to Portfolio Insurance Slides:
IMA2004.pdf
IMARisk04_3.pdf 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  Craig
Alan Friedman Standard and Poor's and New York University's Courant Institute of Mathematical Sciences 
A Financial Approach to Machine Learning with Applications to Credit Risk 

11:50  

12:00  Lunch
Break 

1:30  Michael
Stutzer Leeds School of Business 
Slides: pdf 

2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
THURSDAY,
APRIL 15 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  Peter
Tankov Ecole Polytechnique, France 
NonParametric Calibration of JumpDiffusion OptionPricing Models 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  JeanPierre
Fouque North Carolina State University 
Multiscale Stochastic Volatility Slides: pdf 

11:50  

12:00  Lunch
Break 

1:30  Hélyette
Geman University Paris Dauphine & ESSEC 
Pure Jump Lévy Processes for Asset Price Modelling Articles:
Pure
Jump Lévy Processes for Asset Price Modelling.pdf


2:20  

2:30  Coffee Break  Reception Room EE/CS 3176  
3:00  SECOND CHANCES, i.e., speakers of the day respond to further questions, suggestions, reframe their main points, look toward future directions.  
3:30  walk along the Mississippi, weather permitting  
6:00  Workshop Dinner  BONA Vietnamese Restaurant 802 Washington Ave S.E. Minneapolis 

FRIDAY,
APRIL 16 All talks are in Lecture Hall EE/CS 3180 unless otherwise noted. 

9:00  Coffee  Reception Room EE/CS 3176  
9:30  Francesco
Rapisarda Banca IMI 
Smiles and Baskets: Multidimensional Dynamics for Basket Options Slides:
pdf 

10:20  

10:30  Coffee Break  Reception Room EE/CS 3176  
11:00  David
S. Bates University of Iowa and NBER 

11:50  
12:00  Lunch
Break 

1:30  Peter
W. Glynn Stanford University 
Parameter Estimation Methods for Discretely Observed Markov Processes Slides: pdf 

2:20  

3:00  Coffee and End of Workshop  Reception Room EE/CS 3176 
NAME  DEPARTMENT  AFFILIATION 

Vilen Abramov  Department of Mathematics  Kent State University 
Scot Adams  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Inkyung Ahn  Department of Mathematics  Korea University 
Samuel Albert  BRAM  
Greg Anderson  School of Mathematics  University of Minnesota, Twin Cities 
Douglas Arnold  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Donald Aronson  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Marco Avellaneda  Courant Institute of Mathematical Sciences  New York University 
Gerard Awanou  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
HeeJeong Baek  Department of Mathematics  Seoul National University 
Karen Ball  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Antar Bandyopadhyay  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Peter Bank  Department of Mathematics  HumboldtUniversität 
David Bates  Department of Finance  The University of Iowa 
Maury Bramson  School of Mathematics  University of Minnesota, Twin Cities 
Olga Brezhneva  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Rene Carmona  Operations Research and Financial Engineering  Princeton University 
James Carson  RisQuant Energy  
Yangho Choi  Department of Applied Mathematics and Computer Science  The University of Iowa 
Pin Chung  Investment and Risk Management  Chung ALM 
Rama Cont  Centre de Mathématiques Appliquées  École Polytechnique 
Alexandre d'Aspremont  Department of Management Science and Engineering  Stanford University 
John Dodson  Risk Management Department  American Express 
Raphael Douady  Courant Institute of Mathematical Sciences  New York University 
Nicole El Karoui  Laboratoire de Probabilites et Modeles aleatoires  École Polytechnique 
David Fan  University of Minnesota, Twin Cities  
Hans Foellmer  Institut für Mathematik  HumboldtUniversität 
JeanPierre Fouque  Department of Mathematics  North Carolina State University 
Shmuel Friedland  Department of Mathematics, Statistics, and Computer Science  University of Illinois, Chicago 
Craig Friedman  Risk SolutionsQuantitative Analytics  New York University 
Tim Garoni  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Helyette Geman  ESSEC  
Peter Glynn  Department of Management Science and Engineering  Stanford University 
Yevgeny Goncharov  Department of Mathematics  University of Michigan 
Victor Goodman  Department of Mathematics  Indiana University 
Anne Gundel  Institute for Mathematics  HumboldtUniversität 
Haiming Guo  Department of Mathematics  University of Maryland 
ChuanHsiang Han  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
David Heath  Department of Mathematical Sciences  Carnegie Mellon University 
Truman Hornet  University of Minnesota, Twin Cities  
Victor Isakov  Department of Mathematics & Statistics  Wichita State University 
Naresh Jain  School of Mathematics  University of Minnesota, Twin Cities 
Lili Ju  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
ByeongKook Kang  Risk Management Department  Samsung Securities Co. 
Mohammad Khan  Department of Mathematics  Kent State University 
Alan King  Thomas J. Watson Research Center  IBM 
Hyejin Ku  Department of Mathematics & Statistics  York University 
Thomas Kurtz  Department of Mathematics  University of Wisconsin, Madison 
Hun Kwon  Department of Mathematics  The University of Iowa 
Bernard Lapeyre  CERMICS  École Nationale des PontsetChaussées 
Pawel Lasiecki  Department of Statistics  University of California, Berkeley 
Jeong Lee  Department of Mathematics  Seoul National University 
Kiseop Lee  Department of Mathematics  University of Louisville 
Wei Li  Department of Finance  The University of Iowa 
Rodrigo Lievano  Department of FMIS  University of Minnesota 
Juyoung Lim  Department of Mathematics  University of Texas, Austin 
Richard McGehee  School of Mathematics  University of Minnesota, Twin Cities 
Oana Mocioalca  Department of Mathematics  Purdue University 
Hamid Mohtadi  Department of Applied Economics  University of Minnesota, Twin Cities 
Haewon Nam  Institute of Mathematics and Statistics  University of Minnesota, Twin Cities 
Gary Nan Tie  Investment Department  The St. Paul Companies 
Amir Niknejad  Department of Mathematics  University of Illinois, Chicago 
Jerome Pansera  Department of Mathematics  The University of Iowa 
Thomas Peters  Department of Computer Science  University of Connecticut 
Huyen Pham  Laboratoire de Probabilités et Modèles Aléatoires  Université de Paris VII (Denis Diderot) 
Lea Popovic  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Francesco Rapisarda  Product and Business Development Group  Banca IMI 
Grzegorz Rempala  Department of Mathematics  University of Louisville 
Fadil Santosa  Institute for Mathematics and its Applications  University of Minnesota, Twin Cities 
Yalcin Sarol  Department of Mathematics  Purdue University 
Arnd Scheel  School of Mathematics  University of Minnesota, Twin Cities 
Rituparna Sen  Department of Statistics  University of Chicago 
Mihai Sirbu  Department of Mathematical Sciences  Carnegie Mellon University 
Seongjoo Song  Department of Statistics  Purdue University 
Srdjan Stojanovic  Department of Mathematical Sciences  University of Cincinnati 
Michael Stutzer  Department of Finance  University of Colorado 
Peter Tankov  Centre de Mathématiques Appliquées  École Polytechnique 
Ryosuke Wada  Department of Economics  Otaru University of Commerce 
Hong Wang  Department of Civil Engineering  University of Minnesota, Twin Cities 
Hui Wang  Division of Applied Mathematics  Brown University 
Lihe Wang  Department of Mathematics  The University of Iowa 
Xiaodi Wang  Department of Mathematics  Western Connecticut State University 
Ananda Weerasinghe  Department of Mathematics  Iowa State University 
Lixin Wu  School of Mathematics  Claremont Graduate University 
Fan Yang  Department of Statistics  University of Minnesota, Twin Cities 
Hongtao Yang  Department of Mathematics  University of LouisianaLafayette 
Yuhong Yang  Department of Statistics  Iowa State University 
Yuhua Yu  Department of Mathematics  Purdue University 
Thaleia Zariphopoulou  Department of Mathematics  University of Texas, Austin 
Ofer Zeitouni  School of Mathematics  University of Minnesota, Twin Cities 
Yong Zeng  Department of Mathematics & Statistics  University of Missouri 
Tao Zhang  Department of Mathematics  Purdue University 
Jun Zhao  Institute of Mathematics and its Application  University of Minnesota, Twin Cities 
Gady Zohar  Faculty of IE and Management  TechnionIsrael Institute of Technology 
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