Conference Program

Abstracts and biographical information on each speaker are available (if provided by the presenter) below. Additional materials (slides, reference materials) will also be made available on this page.

All sessions will meet in Mary Gates Hall (MGH), room 231.

Click here to download a PDF of the conference program.

Friday, March 24, 2017

8:30 - 9:00	Registration and Breakfast. Welcoming Remarks at 8:50.
9:00 - 9:45	Daniel Lacker - Mean field game limits, fluctuations, and large deviations [slides]
9:45 - 10:30	Thaleia Zariphopoulou - Mean-field and $n$-agent games for optimal investment under relative performance criteria [slides]
10:30 - 11:00	Coffee Break
11:00 - 11:45	Markus Pelger - Estimating Latent Asset Pricing Factors from Large-Dimensional Data [slides]
11:45 - 12:30	Rohini Kumar - Portfolio optimization in a short time horizon [slides]
12:30 - 2:00	Lunch (not provided)
2:00 - 2:45	Xin Guo - Mean-Field games of singular controls, with application [slides]
2:45 - 3:30	Andrey Sarantsev - A Model of Systemic Risk [slides]
3:30 - 4:00	Coffee Break
4:00 - 4:30	Ruimeng Hu - Optimal Portfolio under Fractional Stochastic Environment [slides]
4:30 - 5:00	Ruoxuan Xiong - State-Varying Factor Models of Large Dimension [slides]
5:00 - 5:30	Cong Wu - Controlled McKean-Vlasov Equations and Related Master Equations [slides]

Saturday, March 25, 2017
8:30 - 9:00	Breakfast
9:00 - 9:45	Jean-Pierre Fouque - Systemic risk and stochastic games with delay [slides]
9:45 - 10:30	Zachary Feinstein - Financial contagion with multiple illiquid assets [slides]
10:30 - 11:00	Coffee Break
11:00 - 11:45	Jaksa Cvitanic - Asset pricing under optimal contracts [slides]
11:45 - 12:30	Leonard Wong - Cover’s universal portfolio and stochastic portfolio theory [slides]
12:30 - 2:00	Lunch (not provided)
2:00 - 2:45	Jianfeng Zhang - A Martingale Approach for Fractional Brownian Motions [slides]
2:45 - 3:30	Mykhaylo Shkolnikov - A predictor of systemic risk and particle systems interacting through hitting times
3:30 - 4:00	Coffee Break
4:00 - 4:30	Haoran Wang - Optimal liquidation with market parameter shift: a forward approach
4:30 - 5:00	Weston Barger - Approximate pricing of European and Barrier claims in a local-stochastic volatility setting [slides]
5:00 - 5:30	Joon Seok Lee - Mean field games with bounded velocity
5:30 - 6:00	Panel Discussion: Future Trends and Open Problems [summary]