August 19 - 22, 2013
HIM Lecture Hall, Poppelsdorfer Allee 45
Organizers:
Evstigneev and Schenk-Hoppé
Description:
The focus of the workshop was on new approaches and recent developments in the area of stochastic models for market dynamics and equilibrium. Its main emphasis was on research directions and approaches that could respond to the fundamental challenge of modern mathematics-based economics and finance: the development of new paradigms of theoretical analysis in economic and finance, as well as of market models that would be suitable for practical quantitative applications.
The scope of the workshop was very broad and included the following topics: behavioral and evolutionary models of markets, game theory and information; ambiguity and investment, risk management and trading; decentralized trade and random matching; von Neumann-Gale dynamical systems; detection problems and their applications in finance; ...
Monday, August 19
| 09:30 - 10:00 | Peter Hammond: Rational Decisions in Enlivened Trees |
| 10:00 - 10:30 | Jan Wenzelburger: Risk sharing in a financial market with endogenous option prices |
| 10:30 - 11:00 | Coffee |
| 11:00 - 11:45 | Thorsten Hens (with Rabah Amir, Igor V. Evstigneev and Klaus R. Schenk-Hoppé): Financial markets - behavioral equilibrium and evolutionary dynamics |
| 11:45 - 12:30 | Yeneng Sun (with Darrell Duffie and Lei Qiao): Continuous-time independent random matching |
| 12:30 - 14:30 | Lunch break |
| 14:30 - 15:00 | M. Ali Khan (with Nobusumi Sagara): The bang-bang, purification and convexity principles in infinite dimensions: Additional characterizations of the saturation property |
| 15:00 - 15:30 | Yongchao Zhang (with M. Ali Khan): On sufficiently diffused information and finite-player games with private information |
| 15:30 - 16:00 | Rabah Amir (with Luciano De Castro): A new approach to existence of pure-strategy Nash equilibrium |
| 16:00 - 16:30 | Coffee |
Tuesday, August 20
| 09:30 - 10:00 | Jan Werner: On the possibility of speculative trade under ambiguity |
| 10:00 - 10:30 | Beth Allen: Budget based competitive equilibrium |
| 10:30 - 11:00 | Coffee |
| 11:00 - 11:45 | Luciano De Castro: Correlation of types in Bayesian games |
| 11:45 - 12:30 | Rabee Tourky (with Idione Meneghel): Interface between order structures and decomposability: applications to Bayesian games |
| 12:30 - 14:30 | Lunch break |
| 14:30 - 15:15 | Yuri Kifer: A survey on game options |
| 15:15 - 16:00 | Hans Foellmer: Spatial risk measures: Local specification, aggregation, and phase transition |
| 16:00 - 16:30 | Coffee |
Wednesday, August 21
| 09:30 - 10:00 | Sébastien Lleo (with Mark Davis and Grzegorz Andruszkiewicz): Taming Animal Spirits: Risk Management with Behavioural Factors |
| 10:00 - 10:30 | Miklós Rásonyi: Optimal Investment under Behavioural Criteria |
| 10:30 - 11:00 | Coffee |
| 11:00 - 11:30 | Deniz Dizdar (with Benny Moldovanu): Surplus Division and Efficient Matching |
| 11:30 - 12:00 | Alberto A. Pinto (with A. Araujo, M. Choubdar, W. Maldonado and D. Pinheiro): Stationary sunspot equilibrium as limit of expectations coordination failures |
| 12:00 - 12:30 | Bernard Cornet (with Alain Chateauneuf): Pricing securities via non-additive risk-neutral probabilities |
| 12:30 - 14:45 | Lunch break |
| 14:45 - 15:15 | Ulrich Horst (with Paulwin Graewe and Eric Sere): Smooth Solutions to Portfolio Liquidation Problems under Price-sensitive Market Impact |
| 15:15 - 15:45 | Jinniao Qiu (with Paulwin Graewe and Ulrich Horst): Backward Stochastic Differential Evolutionary Systems with Singular Conditions and Optimal Portfolio Liquidation |
| 16:00 - 16:30 | Coffee |
Thursday, August 22
| 10:00 - 10:30 | Yakar Kannai (with Joachim Rosenmueller and Oren Mangoubi): Strategic financial games |
| 10:30 - 11:00 | Coffee |
| 11:00 - 11:45 | Kenshi Miyabe and Akimichi Takemura: The emergence of probability from randomness and games |
| 11:45 - 12:30 | Igor V. Evstigneev (with Klaus R. Schenk-Hoppé): Von Neumann-Gale dynamical systems - New applications and solutions to old problems |
| 12:30 - 14:30 | Lunch |
| 14:30 - 15:15 | Albert Shiryaev: Detection problems and their applications in finance I |
| 15:15 - 16:00 | Mikhail Zhitlukhin (with Albert Shiryaev and William T. Ziemba): Detection problems and their applications in finance II |
Person |
Affiliation |
Period of stay |
| Husnain Fateh Ahmad | University of Iowa | |
| Beth Allen | University of Minnesota | |
| Rabah Amir | University of Iowa | |
| Stefan Ankirchner | Universität Bonn | |
| Leonid Bogachev | University of Leeds | |
| Luciano de Castro | Northwestern University | |
| Bernard Cornet | Paris School of Economics, U. Paris 1 and University of Kansas | |
| Yifan Dai | University of Iowa | |
| Sabine Elmiger | University of Zürich | |
| Igor Evstigneev | University of Manchester | |
| James C. L. Fung | University of Leeds | |
| Hans Föllmer | Humboldt Universität zu Berlin | |
| Adriana Gama-Velazquez | University of Iowa | |
| Peter J. Hammond | University of Warwick | |
| Thorsten Hens | University of Zurich | |
| Ulrich Horst | Humboldt-Universität Berlin | |
| Sang Hu | The Chinese University of Hong Kong | |
| Yakar Kannai | Weizmann Institute of Science | |
| Mohammed Ali Khan | John Hopkins University | |
| Yuri Kifer | The Hebrew University | |
| Gechun Liang | King's College London | |
| Sebastien Lleo | Reims Management School | |
| Kenshi Miyabe | University of Tokyo | |
| Alberto Pinto | University of Porto | |
| Jinniao Qiu | Humboldt-Universität zu Berlin | |
| Miklos Rasonyi | University of Edinburgh | |
| Klaus Reiner Schenk-Hoppé | University of Leeds | |
| Albert Shiryaev | Steklov Mathematical Institute Academy of Sciences of Russia | |
| Anastasiia Sokko | University of Zurich | |
| Yeneng Sun | National University of Singapore | |
| Rabee Tourky | The University of Queensland | |
| Tongya Wang | The University of Leeds | |
| Jan Wenzelburger | TU Kaiserslautern | |
| Katarzyna Werner | University of Manchester | |
| Jan Werner | University of Minnesota | |
| Le Xu | National University of Singapore | |
| Yongchao Zhang | Shanghai University of Finance and Economics | |
| Mikhail Zhitlukhin | The University of Manchester | |
| Shengchao Zhuang | The Chinese University of Hong Kong |