UCL-Rome Workshop on Stochastic and Partial Differential Equation Methods in Finance and Economics
Luiss, Rome, Italy, 20-22 May 2019
Room 401, Dipartimento di Economia e Finanza, Viale Romania 32
Program
Monday 20 May |
||
14:45-15:00 | Carlo Marinelli | Opening |
15:00-16:00 | Sara Biagini | An Orlicz space approach to utility maximization: an overview and some recent developments |
16:00-16:30 | Coffee break | |
16:30-17:30 | Stefano D'Addona | Macrofinance models with heterogeneous agents |
17:30-18:30 | Guido Germano | Fluctuation identities and pricing of path-dependent options |
Tuesday 21 May |
||
09:30-10:00 | Gianluca Cappa | On the existence and uniqueness of a mild solution for the Hamilton-Jacobi-Bellman equation on a half-plane in Hilbert space |
10:00-11:00 | Daniel Schwarz | Quadratic backward stochastic differential equations arising in equilibrium models |
11:00-11:30 | Coffee break | |
11:30-12:30 | Carlo Marinelli | Semilinear perturbation of Kolmogorov operators, obstacle problems, and American option pricing |
12:30-14:30 | Lunch | |
14:30-15:30 | Marco Scarsini | The buck-passing game |
15:30-16:00 | Carolyn Phelan | Numerical pricing methods for α-quantile and perpetual early-exercise options |
16:00-16:30 | Coffee break | |
16:30-17:00 | Margherita Zanella | A pricing formula for delayed claims: appreciating the past to value the future |
17:00-17:30 | Benjamin Loveless | Numerical inversion of the z-transform with applications to the pricing of discretely monitored exotic options |
17:30-18:00 | Giovanni Zanco | Spatial dependence in mean-field limits of interacting systems |
18:00-18:30 | Francesco Cesarone | Risk parity with expectiles |
19:30 | Social dinner | Ristorante Pizzeria Taverna Rossini, Viale Gioacchino Rossini 60-62 |
Wednesday 22 May |
||
09:00-10:00 | Camilo Garcia-Trillos | Mean-reflected backward stochastic differential equations |
10:00-11:00 | Alessio Porretta | Mean field games and Nash equilibria in large populations |
11:00-11:30 | Coffee break | |
11:30-12:30 | Piermarco Cannarsa | First-order mean-field games system: state constraints and long-time behaviour |
12:30 | Lunch |
The UCL Rome Regional Partnership Fund aims to support UCL academics collaborating with colleagues based at institutions in Rome. This workshop brings together researchers from UCL and various universities in Rome who work on different areas of stochastic and PDE methods motivated by problems in finance and economics. The format of the workshop is, for experienced researchers, to give a broad perspective on an area of research, discussing also current developments and, potentially, major open problems; for junior participants, to showcase their results in shorter talks. Participation is free of charge and open to anyone.