## Description

Back to topMean field theories, Mean Field Games, and Mean Field Control are theoretical concepts which can naturally be brought to bear in applications to financial engineering. The workshop will examine how they influenced the development of financial mathematics theoretical works and the implementation of financial engineering solutions to problems involving large ensembles of individuals or robots optimizing their behaviors in uncertain and complex environments.

Applications will include contract theory, cyber currency mining, high frequency trading, systemic risk, and recents developments in the applications of machine learning techniques to the numerical solutions of some of these problems.

## Organizers

Back to top## Speakers

Back to top## Schedule

Back to top**Speaker: **Nizar Touzi (Ecole Polytechnique)

**Speaker: **Ulrich Horst (Humboldt University Berlin)

**Speaker: **Ludovic Tangpi (Princeton University)

**Speaker: **Marcel Nutz (Columbia University)

**Speaker: **Max Reppen (Boston University)

**Speaker: **Xin Guo (University of California, Berkeley)

**Speaker: **Dylan Possamai (ETH Zürich)

**Speaker: **Huyên Pham (University of Paris 6 and CNRS)

**Speaker: **Peter Tankov (ENSAE)

**Speaker: **Luciano Campi (University of Milan)

**Speaker: **Mathieu Laurière (Google Brain, Paris)

**Speaker: **Daniel Lacker (Columbia University)

**Speaker: **Sebastian Jaimungal (University of Toronto)

**Speaker: **Thaleia Zariphopoulou (University of Texas at Austin)

**Speaker: **Alvaro Cartea (University of Oxford)

**Speaker: **Laura Leal (Princeton University)

**Speaker: **Alexander Aurell (Princeton University)

**Speaker: **Arvind Shrivats (Princeton University)

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

**Speaker: **Sergey Nadtochiy (Illinois Institute of Technology)

**Speaker: **Emma Hubert (Princeton University)

**Speaker: **Roxana Dumitrescu (King’s College)

**Speaker: **Erhan Bayraktar (University of Michigan)

## Videos

Back to topPortfolio liquidation under endogenous order flow – from single player models to mean-field games

Ulrich Horst

December 6, 2021

Large population games in the weak formulation and their mean field game limits

Ludovic Tangpi

December 6, 2021

Stability of entropic optimal transport and convergence of Sinkhorn’s algorithm

Marcel Nutz

December 6, 2021

Interbank lending with benchmark rates: pareto optima for a class of singular control games

Xin Guo

December 6, 2021

Mean field games with absorption and common noise with a model of bank run

Luciano Campi

December 7, 2021

Inverting the Markovian projection, and local stochastic volatility models

Daniel Lacker

December 7, 2021

Mean-field games in Ito-diffusion markets with common noise under forward performance criteria

Thaleia Zariphopoulou

December 8, 2021

Principal agent mean field games in Renewable Energy Certificate (REC) markets

Arvind Shrivats

December 8, 2021

Consistency of MLE for partially observed diffusions: application to market microstructure modeling

Sergey Nadtochiy

December 9, 2021

Contract theory with a mean-field of agents: application to electricity demand response

Emma Hubert

December 9, 2021

A propagation of chaos result for a class of mean-field reflected BSDEs with jumps

Roxana Dumitrescu

December 9, 2021