This event is part of Decision Making and Uncertainty View Details

Advances in Optimal Decision Making under Uncertainty

New Directions, Methods, and Applications

Description

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This workshop will bring together experts and young researchers interested in the most recent developments of mathematical finance and insurance in both academia and industry. Experts will present state of the art topics in among others, fintech, high-frequency trading, robo-advising, risk measures, market impact and optimal execution, reinsurance, and commodity and energy markets. Talks on recent theoretical advances in BSDE systems, robust optimization in pricing and hedging, relaxed control in reinforcement learning, and decision-making under non-standard criteria will be also presented.

Organizer

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T Z
Thaleia Zariphopoulou University of Texas at Austin

Speakers

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H A
Hansjoerg Albrecher University of Lausanne
E A
Elisa Alos Universitat Pompeu Fabra
F B
Francesca Biagini University of Munich
A C
Agostino Capponi Columbia University
D D
Darrell Duffie Stanford University
P E
Paul Embrechts ETH Zurich
J F
Jean-Pierre Fouque University of California, Santa Barbara
X G
Xin Guo University of California, Berkeley
S J
Sebastian Jaimungal University of Toronto
S K
Sigrid Källblad KTH Royal Institute of Technology, Stockholm
S K
Steven Kou Boston University
M L
Morton Lane University of Illinois at Urbana-Champaign
S N
Sergey Nadotchiy Illinois Institute of Technology
J O
Jan Obloj University of Oxford
H P
Huyen Pham University of Paris 6 and CNRS
C R
Christoph Reisinger University of Oxford
A R
Alberto Rossi Georgetown University
J R
Johannes Ruf London School of Economics
J S
Jose Scheinkman Columbia University
M S
Moris Strub Southern University of Science and Technology
L T
Ludovic Tangpi Princeton University
N T
Nizar Touzi École Polytechnique
X Z
Xunyu Zhou Columbia University
G Z
Gordan Zitkovic University of Texas, Austin
S Z
Stefan Zohren University of Oxford

Schedule

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Monday, March 28, 2022
9:20-9:30 CDT
Opening Remarks
9:30-10:20 CDT
Optimal forest preservation over time and space in the Brazilian Amazon

Speaker: Jose A. Scheinkman (Columbia University)

10:30-10:50 CDT
Coffee break
10:50-11:40 CDT
Mean Field Game of Mutual Holding and systemic risk

Speaker: Nizar Touzi (Ecole Polytechnique)

11:55-12:45 CDT
Controlled measure-valued martingales: a viscosity solution approach

Speaker: Sigrid Källblad (KTH Royal Institute of Technology, Stockholm)

12:55-14:30 CDT
Lunch
14:30-15:20 CDT
Exploratory Control with Tsallis Entropy for Latent Factor Models

Speaker: Sebastian Jaimungal (University of Toronto)

15:30-15:50 CDT
Coffee break
15:50-16:40 CDT
Some new results on non-Markovian quadratic systems of BSDE.

Speaker: Gordan Zitkovic (The University of Texas at Austin)

Tuesday, March 29, 2022
9:30-10:20 CDT
Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach

Speaker: Xin Guo (University of California, Berkeley)

10:30-10:50 CDT
Coffee break
10:50-11:40 CDT
Differential learning methods for solving fully nonlinear PDEs

Speaker: Huyen Pham (Université de Paris 7)

11:55-12:45 CDT
Analysis and implementation of policy gradient methods for continuous-time stochastic control

Speaker: Christoph Reisinger (University of Oxford)

12:55-14:30 CDT
Lunch
14:30-15:20 CDT
Policy Evaluation, Policy Gradient, and Actor-Critic Learning in Continuous Time and Space

Speaker: Xunyu Zhou (Columbia University)

15:30-15:50 CDT
Coffee break
15:50-16:40 CDT
Optimal investment in a large population of competitive and heterogeneous agents

Speaker: Ludovic Tangpi (Princeton University)

Wednesday, March 30, 2022
9:30-10:20 CDT
Risk optimization under What-If constraints

Speaker: Paul Embrechts (ETH Zurich)

10:30-10:50 CDT
Coffee break
10:50-11:40 CDT
Optimal ratcheting of dividends in insurance

Speaker: Hansjoerg Albrecher (Université de Lausanne)

11:55-12:45 CDT
“Optimization” for Natural Catastrophe (Re)insurance Underwriting – Practice and Theory

Speaker: Morton Lane (Lane Financial)

12:55-14:30 CDT
Lunch
14:30-15:20 CDT
Bitcoin Mining and Electricity Consumption

Speaker: Steven Kou (Boston University)

15:30-15:50 CDT
Coffee break
15:50-16:40 CDT
Mean Field Game and Mean Field Control Q-Learning

Speaker: Jean-Pierre Fouque (University of California, Santa Barbara (UCSB))

Thursday, March 31, 2022
9:30-10:20 CDT
(Cancelled) Reduced form framework under model uncertainty

Speaker: Francesca Biagini (University of Munich)

10:30-10:50 CDT
Coffee break
10:50-11:40 CDT
Wasserstein distributionally robust decision problems

Speaker: Jan Obloj (University of Oxford)

11:55-12:45 CDT
The Growth-Optimal Portfolio in Fund Models

Speaker: Johannes Ruf (London School of Economics)

12:55-14:30 CDT
Lunch
14:30-15:20 CDT
A Malliavin calculus approach to volatility modelling

Speaker: Elisa Alòs (Universitat Pompeu Fabra)

15:30-15:50 CDT
Coffee break
Friday, April 1, 2022
9:30-10:20 CDT
Market fragmentation and strategic avoidance of price impact

Speaker: Darrell Duffie (Stanford University)

10:30-10:50 CDT
Coffee break
10:50-11:40 CDT
Optimal brokerage contracts in Almgren-Chriss model

Speaker: Sergey Nadotchiy (Illinois Institute of Technology)

11:55-12:45 CDT
Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications

Speaker: Moris Strub (Southern University of Science and Technology)

12:55-14:30 CDT
Lunch
14:30-15:20 CDT
Robo-Advising

Speaker: Alberto Rossi (Georgetown University)

15:30-15:50 CDT
Coffee break
15:50-16:40 CDT
Goal-Based Portfolio Investing

Speaker: Agostino Capponi (Columbia University)


Videos

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Optimal forest preservation over time and space in the Brazilian Amazon

Jose A. Scheinkman
March 28, 2022

Mean Field Game of Mutual Holding and systemic risk

Nizar Touzi
March 28, 2022

Controlled measure-valued martingales: a viscosity solution approach

Sigrid Källblad
March 28, 2022

Exploratory Control with Tsallis Entropy for Latent Factor Models

Sebastian Jaimungal
March 28, 2022

Some new results on non-Markovian quadratic systems of BSDE.

Gordan Zitkovic
March 28, 2022

Mean-Field Multi-Agent Reinforcement Learning: A Decentralized Network Approach

Xin Guo
March 29, 2022

Differential learning methods for solving fully nonlinear PDEs

Huyen Pham
March 29, 2022

Analysis and implementation of policy gradient methods for continuous-time stochastic control

Christoph Reisinger
March 29, 2022

Policy Evaluation, Policy Gradient, and Actor-Critic Learning in Continuous Time and Space

Xunyu Zhou
March 29, 2022

Optimal investment in a large population of competitive and heterogeneous agents

Ludovic Tangpi
March 29, 2022

Risk optimization under What-If constraints

Paul Embrechts
March 30, 2022

Optimal ratcheting of dividends in insurance

Hansjoerg Albrecher
March 30, 2022

“Optimization” for Natural Catastrophe (Re)insurance Underwriting – Practice and Theory

Morton Lane
March 30, 2022

Bitcoin Mining and Electricity Consumption

Steven Kou
March 30, 2022

Mean Field Game and Mean Field Control Q-Learning

Jean-Pierre Fouque
March 30, 2022

Wasserstein distributionally robust decision problems

Jan Obloj
March 31, 2022

The Growth-Optimal Portfolio in Fund Models

Johannes Ruf
March 31, 2022

A Malliavin calculus approach to volatility modelling

Elisa Alòs
March 31, 2022

Market fragmentation and strategic avoidance of price impact

Darrell Duffie
April 1, 2022

Optimal brokerage contracts in Almgren-Chriss model

Sergey Nadotchiy
April 1, 2022

Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications

Moris Strub
April 1, 2022

Robo-Advising

Alberto Rossi
April 1, 2022

Goal-Based Portfolio Investing

Agostino Capponi
April 1, 2022