Talks

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School on Mathematical Finance
Monday, 16 January 2012
Time Speaker Title Resources
09:15 to 09:30 Director, ICTS Introduction to the school
09:30 to 10:25 Freddy Delbaen Introductory Lecture
10:25 to 10:35 -- Break
10:35 to 11:30 Ronnie Sircar Overview
11:30 to 12:00 -- Tea and Snacks
12:00 to 13:00 Mrinal K. Ghosh Discrete time finance
13:00 to 14:30 -- Lunch
14:30 to 15:30 Mrinal K. Ghosh Discrete time finance
15:30 to 16:00 -- Break
16:00 to 17:05 Freddy Delbaen Introductory Lecture
17:05 to 18:05 Mrinal K. Ghosh Discrete time finance
Tuesday, 17 January 2012
Time Speaker Title Resources
09:30 to 10:25 Rajeeva Karandikar Review of basic probability leading up to stochastic calculus
10:25 to 10:35 -- Break
10:35 to 11:30 Rajeeva Karandikar Review of basic probability leading up to stochastic calculus
11:30 to 12:00 -- Tea and Snacks
12:00 to 13:00 Rajeeva Karandikar Review of basic probability leading up to stochastic calculus
13:00 to 14:30 -- Lunch
14:30 to 15:30 -- Review of basic probability leading up to stochastic calculus
15:30 to 16:00 -- Break
16:00 to 17:05 Rajeeva Karandikar Review of basic probability leading up to stochastic calculus
17:05 to 18:05 Rajeeva Karandikar Review of basic probability leading up to stochastic calculus
Wednesday, 18 January 2012
Time Speaker Title Resources
09:30 to 10:25 Mrinal K. Ghosh Continuous time finance
10:25 to 10:35 -- Break
10:35 to 11:30 Mrinal K. Ghosh Continuous time finance
11:30 to 12:00 -- Tea and Snacks
12:00 to 13:00 Mrinal K. Ghosh Continuous time finance
13:00 to 14:30 -- Lunch
14:30 to 15:30 Dilip Madan Levy and Sato processes calibrated and applied to problems of capital allocation and risk management using the theories of conic finance and nonlinear expectations
15:30 to 16:00 -- Break
16:00 to 17:00 Freddy Delbaen Colloquium
Thursday, 19 January 2012
Time Speaker Title Resources
09:30 to 10:30 Dilip Madan Levy and Sato processes calibrated and applied to problems of capital allocation and risk management using the theories of conic finance and nonlinear expectations
10:30 to 10:45 -- Break
10:45 to 11:45 Peter Carr FX Options: challenges and opportunites
11:45 to 12:15 -- Tea and Snacks
12:15 to 13:15 Peter Carr FX Options: challenges and opportunites
13:15 to 14:45 -- Lunch
14:45 to 15:45 Dilip Madan Levy and Sato processes calibrated and applied to problems of capital allocation and risk management using the theories of conic finance and nonlinear expectations
15:45 to 16:15 -- Break
16:15 to 17:15 Freddy Delbaen Monetary utility functions and capital requirements
Friday, 20 January 2012
Time Speaker Title Resources
09:30 to 10:30 Dilip Madan Lévy and Sato processes calibrated and applied to problems of capital allocation and risk management using the theories of conic finance and nonlinear expectations
10:30 to 10:45 -- Break
10:45 to 11:45 Peter Carr FX Options: challenges and opportunites
11:45 to 12:15 -- Tea and Snacks
12:15 to 13:15 Peter Carr FX Options: challenges and opportunites
13:15 to 14:45 -- Lunch
14:45 to 15:45 Freddy Delbaen Monetary utility functions and capital requirements
15:45 to 16:15 -- Break
16:15 to 17:15 -- Open discussion
Saturday, 21 January 2012
Time Speaker Title Resources
09:30 to 10:30 Dilip Madan Lévy and Sato processes calibrated and applied to problems of capital allocation and risk management using the theories of conic finance and nonlinear expectations
10:30 to 10:45 -- Break
10:45 to 11:45 Peter Carr FX Options: challenges and opportunites
11:45 to 12:15 -- Tea and Snacks
12:15 to 13:15 Dmitry Kramkov Arbitrage-Free Pricing, Optimal Investment and Equilibrium
13:15 to 14:45 -- Lunch
14:45 to 15:45 Freddy Delbaen Monetary utility functions and capital requirements
15:45 to 16:15 -- Break
16:15 to 19:30 -- Open discussion
19:30 to 20:30 -- Conference Banquet at Khyber
Sunday, 22 January 2012
Time Speaker Title Resources
-- Trip to Elephanta Caves
09:30 to 12:00 -- Heritage Walk
Monday, 23 January 2012
Time Speaker Title Resources
09:30 to 10:30 Kay Giesecke Credit risk with point processes
10:30 to 10:45 -- Break
10:45 to 11:45 Nizar Touzi Optimal stochastic control and Backward SDEs
11:45 to 12:15 -- Tea and Snacks
12:15 to 13:15 Dmitry Kramkov Arbitrage-Free Pricing, Optimal Investment and Equilibrium
13:15 to 14:45 -- Lunch
14:45 to 15:45 Nizar Touzi Optimal stochastic control and Backward SDEs
15:45 to 16:15 -- Break
16:15 to 17:15 Kay Giesecke Credit risk with point processes
Tuesday, 24 January 2012
Time Speaker Title Resources
09:30 to 10:30 Freddy Delbaen Monetary utility functions and capital requirements
10:30 to 10:45 -- Break
10:45 to 11:45 Nizar Touzi Optimal stochastic control and Backward SDEs
11:45 to 12:15 -- Tea and Snacks
12:15 to 13:15 Dmitry Kramkov Arbitrage-Free Pricing, Optimal Investment and Equilibrium
13:15 to 14:45 -- Lunch
14:45 to 15:45 Kay Giesecke Credit risk with point processes
15:45 to 16:15 -- Break
16:15 to 18:00 Nizar Touzi Optimal stochastic control and Backward SDEs
19:00 to 20:30 -- Concert by Pt. Hari Prasad Chaurasia
19:30 to 20:30 -- Dinner at West Canteen
Wednesday, 25 January 2012
Time Speaker Title Resources
09:30 to 10:30 Kay Giesecke Credit risk with point processes
10:30 to 10:45 -- Break
10:45 to 11:45 Nizar Touzi Optimal stochastic control and Backward SDEs
11:45 to 12:15 -- Tea and Snacks
12:15 to 13:15 Dmitry Kramkov Arbitrage-Free Pricing, Optimal Investment and Equilibrium
13:15 to 14:45 -- Lunch
14:45 to 15:45 Kay Giesecke Credit risk with point processes
15:45 to 16:15 -- Break
16:15 to 17:15 Nizar Touzi Optimal stochastic control and Backward SDEs
Thursday, 26 January 2012
Time Speaker Title Resources
09:30 to 10:10 Freddy Delbaen BSDE with unbounded terminal value: the boundary case
10:10 to 10:20 -- Break
10:20 to 11:00 Kay Giesecke Large portfolio asymptotics for loss from default
11:00 to 11:30 -- Break
11:30 to 12:10 Dmitry Kramkov Integral representation of martingales and endogenous completeness of financial models