Modeling, Learning and Understanding: Modern Challenges between Financial Mathematics, Financial Technology and Financial Economics
Videos from BIRS Workshop
Ulrich Horst, Humboldt University Berlin
Monday Nov 11, 2024 09:07 - 09:40
Optimal trade execution under endogenous order flow
Thibaut Mastrolia, UC Berkeley
Monday Nov 11, 2024 09:40 - 10:09
Transaction fees and auction market design
Stéphane Crépey, University Paris Cité
Monday Nov 11, 2024 11:12 - 11:45
Statistical learning of value-at-risk and expected shortfall
Tolulope Fadina, University of Illinois Urbana-champaign
Monday Nov 11, 2024 11:45 - 12:19
A framework for measures of risk under uncertainty
Carole Bernard, Vrije Universiteit Brussel
Monday Nov 11, 2024 13:32 - 14:00
Risk sharing under ambiguity
Yufei Zhang, Imperial College London
Tuesday Nov 12, 2024 11:33 - 12:07
$\alpha$-potential games: a new paradigm for $N$-player games
Xunyu Zhou, Columbia University
Tuesday Nov 12, 2024 13:31 - 14:06
Generative AI for diffusion models by q-Learning
Anastasis Kratsios, McMaster and Vector Institute
Tuesday Nov 12, 2024 14:06 - 14:33
Exponential expression rates for neural operator approximations to the solution operator of certain FBSDEs
Anran Hu, Columbia University
Tuesday Nov 12, 2024 14:34 - 15:14
Optimization and learning for mean-field games via occupation measure
Daniel Hernandez, Research Center for Mathematics
Wednesday Nov 13, 2024 09:13 - 09:32
Portfolio optimization with path constraints
Silvana Pesenti, University of Toronto
Wednesday Nov 13, 2024 09:33 - 10:01
Portfolio choice with $\alpha$-Bregman Wasserstein penalisation
Dylan Possamaï, ETH Zürich
Wednesday Nov 13, 2024 10:02 - 10:37
Randomness and early termination: what makes a game exciting?
Matheus Grasselli, McMaster University
Wednesday Nov 13, 2024 11:33 - 12:07
From debt crisis to financial crashes (and back)
Mathieu Lauriere, NYU Shanghai
Thursday Nov 14, 2024 09:05 - 09:19
Deep learning for Stackelberg mean field games via single-level reformulation
Marko Weber, National University of Singapore
Thursday Nov 14, 2024 09:22 - 09:36
General equilibrium with unhedgeable fundamentals and heterogeneous agents
Julian Sester, National University of Singapore
Thursday Nov 14, 2024 09:41 - 09:55
Uncertainty-aware calibration of affine models
Gokce Dayanikli, University of Illinois Urbana-Champaign
Thursday Nov 14, 2024 10:17 - 10:33
Cooperation, competition, and common pool resources in mean field games
Anne MacKay, Université de Sherbrooke
Thursday Nov 14, 2024 11:02 - 11:35
Continuous-time Markov chain approximations for an optimal stopping problem with discontinuous reward function
Dena Firoozi, HEC Montréal - Université de Montréal
Thursday Nov 14, 2024 11:35 - 12:05
Hilbert-Space Valued LQ Mean Field Games
Geneviève Gauthier, HEC Montreal
Thursday Nov 14, 2024 13:31 - 14:03
Enhancing deep hedging of options with implied volatility surface feedback information
Xiaofei Shi, University of Toronto
Thursday Nov 14, 2024 14:04 - 14:32
Reinforced-GANs for financial-market equilibria
René Aïd, Université Paris Dauphine–PSL
Thursday Nov 14, 2024 15:33 - 16:08
Continuous-time persuasion by filtering
Haosheng Zhou, UCSB
Thursday Nov 14, 2024 16:08 - 16:38
Stochastic differential games on graphs
Yang Yang, University of Calgary
Thursday Nov 14, 2024 16:38 - 17:07
Stochastic path-dependent volatility models for price-storage dynamics in natural gas markets and discrete-time swing option pricing
Sebastian Jaimungal, University of Toronto
Friday Nov 15, 2024 09:03 - 09:36
Kullback-Leibler barycentre of stochastic processes
Jinniao Qiu, University of Calgary
Friday Nov 15, 2024 09:37 - 10:11
A particle consensus approach to solving nonconvex-nonconcave min-max problems
