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Princeton - Humboldt 2009

Princeton - Humboldt 2009

Perceiving and Measuring Financial Risk: Credit, Energy and Illiquidity

30.10.2009 - 31.10.2009

Coorganizers


Lecturer Institution Talk
Rene Carmona Princeton Cap-and-Trade Systems
Ronnie Sircar Princeton Games with Exhaustible Resources
Jianqing Fan Princeton Risk assessment and Portfolio Selection
Yacine Aït-Sahalia Princeton Jump Clustering in Financial Markets
Patrick Cheridito Princeton Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
Birgit Rudloff Princeton Hedging and Pricing under Transaction Costs
Markus K. Brunnermeier Princeton Co-Var
Lei Qi Princeton Non-Gaussian QMLE for GARCH models
Wei Xiong Princeton Index Investing and the Financialization of Commodities
Dacheng Xiu Princeton Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data
Wolfgang Härdle Humboldt Shape Invariant Modelling and Risk Patterns in Brain Analysis
Vladimir Spokoiny Humboldt Saddle point model selection
Santiago Moreno Humboldt Risk Minimization via Catalogues in a Multi-Agency, Multiagent Model
Melanie Schienle Humboldt Nonparametric Estimation of Individual Risk Behavior in Euler Equations
Ostap Okhrin Humboldt Time-varying Hierarchical Archimedean Copulae and their Applications
Song Song Humboldt Bootstrap Partial Linear Quantile Regression with Confidence Bands
Brenda Lopez Humboldt Pricing of Temperature Risk
Peter Kratz Humboldt Optimal liquidation in dark pools
Gregor Heyne Humboldt Cross hedging with stochastic correlation
Ulrich Horst & Gökhan Cebiroglu Humboldt Hidden Liquidity and the Optimal Use of Iceberg Orders


Schedule


Friday 10/30

 

Session/Topic

8:00 - 9:00am

Breakfast and Openinig Remarks

 

 

Chair: Yacine Ait-Sahalia

Session: Financial Engineering on Weather and Emissions

9:00 - 9:30

Wolfgang Haerdle

Shape Invariant Modelling and Risk Patterns in Brain Analysis

9:30- 10:00

Rene Carmona

Pricing Options on CO2 Emissions

10:00 - 10:30

Brenda Lopez

Pricing of temperature risk

10:30 - 11:00

Coffee Break

 

 

Chair: Vladimir Spokoiny

Session: Financial Ecnometrics I

11:00 - 11:30

Yacine Ait-Sahalia

Jump Clustering in Financial Markets

11:30 - 12:00noon

Lei Qi

Non-Gaussian QMLE for GARCH models

12:00- 2:00p

Lunch (Sherrerd Hall Atrium)

 

 

Chair: Ostap Okhrin

Session: Financial Risk, Liquidity, and Integration

2:00 - 2:30

Markus K. Brunnermeier

Co-Var

2:30 - 3:00

Ulrich Horst & Gokhan Cebiroglu

Hidden Liquidity and the Optimal Use of Iceberg Orders

3:00 - 3:30

Wei Xiong

Index Investing and the Financialization of Commodities

3:30 - 4:00

Coffee Break

 

 

Chair: Jianqing Fan

Session: Nonparamatric Estimation and Model Selection

4:00 - 4:30

Melanie Schienle

Nonparametric Estimation of Individual Risk Behavior in Euler Equations

4:30 - 5:00

Vladimir Spokoiny

Saddle point model selection

5:00 - 5:30

Michael Kupper

Risk Preferences and their Robust Representations

 

 

 

 

 

 

Saturday 10/31

 

Session/Topic

8:00 - 9:00am

Breakfast

 

 

Chair: Ronnie Sircar

Session: Risk Control and Hedging

9:00 - 9:30

Patrick Cheridito

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

9:30- 10:00

Santiago Moreno

Risk Minimization via Catalogues in a Multi-Agency, Multiagent Model

10:00 - 10:30

Birgit Rudloff

Hedging and Pricing under Transaction Costs

10:30 - 11:00

Coffee Break

 

 

Chair: Santiago Moreno

Session: Financial Mathematics

11:00 - 11:30

Ronnie Sircar

Games with Exhaustible Resources

11:30 - 12:00noon

Peter Kratz

Optimal liquidation in dark pools

12:00 – 12:30

Gregor Heyne

Cross hedging with stochastic correlation

12:30 – 2:30

Lunch

 

 

Chair: Rene Carmona

Session: Statistical Methods in Finance

2:30 - 3:00

Ostap Okhrin

Time-varying Hierarchical Archimedean Copulae and their Applications

3:00 - 3:30

Song Song

Bootstrap Partial Linear Quantile Regression with Confidence Bands

3:30 - 4:00

Coffee Break

 

 

Chair:Wolfgang Haerdle

Session: Financial Econometrics II

4:00 - 4:30

Dacheng Xiu

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

4:30 - 5:00

Jianqing Fan

Risk Assessment and Asset Allocation with Gross Exposure Constraints for Vast Portfolios

5:00 - 5:15

Concluding Remarks

 








The participation in the conference is free thanks to our sponsors:

Quantitative Products Laboratory, a joint research institute of Deutsche Bank AG, Humboldt-Universität and Technical University, Berlin
 
  
 
Collaborative Research Center 649: Economic Risk of Humboldt-Universität zu Berlin
 
 
Wirtschaftswissenschaftliche Gesellschaft, Humboldt-Universität zu Berlin

 

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Humboldt-Universität zu Berlin
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Phone: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649
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