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Humboldt - Princeton ConferenceRisk Patterns in Economics, Statistics, Finance and Medicine28.10.2011 - 29.10.2011 |
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| Lecturer | Institution | Talk |
|---|---|---|
| Yacine Ait-Sahalia | Princeton | The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency |
| Dirk Becherer | Humboldt | Robust Hedging of Financial Risk |
| Maxim Bichuch | Princeton | Pricing a Contingent Claim Liability Using Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs |
| Rene Carmona | Princeton | Mean Field Games versus Control of McKean-Vlasov Dynamics: the Case of Linear Quadratic Models |
| Patrick Cheridito | Princeton | Systemic Risk Charges |
| Michael Coulon | Princeton | Structural Modeling of Electricity Spot Prices |
| Nikolaus Hautsch | Humboldt | Quantifying Time-Varying Marginal Systemic Risk Contributions |
| Hauke Heekeren | FU-Berlin | Neural Processing of Risk |
| Ulrich Horst | Humboldt | Forward-Backward SDEs for Expected Utility Maximization |
| Martin Keller-Ressel | TU-Berlin | Convex Order of Discrete Realized Variance and Applications to Options on Variance |
| Yuan Liao | Princeton | High Dimensional Covariance Matrix Estimation in Approximate Factor Model |
| Andrija Mihoci | Humboldt | Locally Adjusted Multiplicative Error Models for Intraday Micro Forecasts |
| Maria Grith | Humboldt | An Axiomatic and Data Driven View on the EPK Paradox |
| Andrew Papanicolaou | Princeton | Nonlinear Filters For Hidden Markov Models Of Regime Change With Fast Mean-Reverting States |
| Antonis Papapantoleon | TU-Berlin | On Tractable LIBOR Models with Default Risk |
| Markus Reiss | Humboldt | Efficient Volatility and Covariation Estimation under Microstructure Noise |
| Philippe Rigollet | Princeton | Sparse estimation by exponential weighting |
| Birgit Rudloff | Princeton | An Algorithm to Calculate Coherent Risk Measures in Markets with Transaction Costs |
| Stephan Stahlschmidt | Humboldt | Chasing Criminals with the Lasso: Graphical Models and Sex-related Homicides |
| Stephan Sturm | Princeton | From Smile Asymptotics to Market Risk Measures |
Schedule
| Time | Friday, 28 Oct. 2011 | Saturday, 29 Oct. 2011 |
|---|---|---|
| Venue | Heilig-Geist-Kapelle, School of Business and Economics, Spandauer Strasse 1, 10178 Berlin | Room 125, School of Business and Economics, Spandauer Strasse 1, 10178 Berlin |
| 09:00-09:45 | Yacine Ait-Sahalia | Ulrich Horst |
| 09:45-10:30 | Markus Reiss | Rene Carmona |
| 10:30-11:00 | Coffee break | Coffee break |
| 11:00-11:30 | Maxim Bichuch | Maria Grith |
| 11:30-12:00 | Andrija Mihoci | Michael Coulon |
| 12:00-14:00 | Lunch | Lunch (at the Garnison Bräu) |
| 14:00-14:45 | Patrick Cheridito | Dirk Becherer |
| 14:45-15:30 | Nikolaus Hautsch | Philippe Rigollet |
| 15:30-16:15 | Birgit Rudloff | Hauke Heekeren |
| 16:15-16:45 | Coffee break | Coffee break |
| 16:45-17:15 | Martin Keller-Ressel | Andrew Papanicolaou |
| 17:15-17:45 | Stephan Sturm | Antonis Papapantoleon |
| 17:45-18:15 | Stephan Stahlschmidt | Yuan Liao |
| 19:00 | Boat and Gala dinner | Farewell party(by invitation only) |
The boat dinner: cruise route.
To register for the conference please fill in the registration form.
Organization and Contact Information:
Our sponsors:
Humboldt - Princeton Conference 2009: Perceiving and Measuring Financial Risk:
| Please download the conference poster to announce the conference at your department. | |
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CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin Wirtschaftswissenschaftliche Fakultät Spandauer Str. 1 10178 Berlin |
Phone: +49(0)30-2093-5630 Fax: +49(0)30-2093-5649 E-Mail: 
Last updated: 4th July 2012 |