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Humboldt-Princeton Conference 2011

Humboldt - Princeton Conference

Risk Patterns in Economics, Statistics, Finance and Medicine

28.10.2011 - 29.10.2011

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


 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:

Bendheim Center for Finance at Princeton University
Collaborative Research Center 649: Economic Risk of Humboldt-Universität zu Berlin
Research Training Group Stochastic Analysis & Applications
The Department of Operations Research & Financial Engineering at Princeton University
Weierstrass Institute for Applied Analysis and Stochastics (WIAS)
Wirtschaftswissenschaftliche Gesellschaft, Humboldt-Universität zu Berlin

Humboldt - Princeton Conference 2009: Perceiving and Measuring Financial Risk:

Please download the conference poster to announce the conference at your department.


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