This workshop focuses on new approaches to robustify financial modeling: robust finance (serious model uncertainty is quantified), stochastic portfolio theory and large financial markets (effects of large markets are quantified), robust calibration (classical calibration techniques are combined with econometric techniques).
The workshop opens the academic year 2015/2016, which Walter Schachermayer will spend at the Institute of Theoretical Studies, and it is therefore supported by the Institute of Theoretical Studies. The workshop is also supported by the Fondation Natixis and the SMAI by means of the Grand Prix Louis Bachelier awarded to Josef Teichmann.
Registration is now closed!
- Organizers: Christa Cuchiero, Josef Teichmann and Walter Schachermayer.
- Time: September 16-18, 2015
- Location: Semper Aula HG G 60 at the Department of Mathematics at ETHZ.
- Confirmed speakers: Beatrice Acciaio (London School of Economics), Mathias Beiglbock (University of Vienna), Fred Espen Benth (Oslo university), Rama Cont (Imperial College London), Christa Cuchiero (University of Vienna), Christoph Czichowsky (London School of Economics), Yan Dolinsky (Hebrew University Jerusalem), Damir Filipovic (Ecole Polytechnique federale de Lausanne), Elise Gourier (Princeton University), David Hobson (University of Warwick), Antoine Jacquier (Imperial College London), Jan Kallsen (Kiel University), Ioannis Karatzas (Columbia University New York), Kostas Kardaras (London School of Economics), Doerte Kreher (HU Berlin), Marcel Nutz (Columbia University New York), Soumik Pal (University of Washington), Mathieu Rosenbaum (Universite Pierre et Marie Curie), Walter Schachermayer (University of Vienna), Thorsten Schmidt (Freiburg University), Mete Soner (ETH Zurich), Josef Teichmann (ETH Zurich).
- Details on the location on the second floor (G-floor) of ETH main building can be found here.
- A detailed schedule of the workshop can be found here, and the corresponding Abstracts.
- The conference dinner for speakers will take place on Thursday evening at Sorell Hotel Zurichberg.
- The Welcome reception will take place on Wednesday evening directly after the last lecture at Institute of Theoretical Studies.
Slides of talks
