This event is part of Distributed Solutions to Complex Societal Problems View Details

Applications to Financial Engineering

December 6 — 9, 2021

Description

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Mean field theories, Mean Field Games, and Mean Field Control are theoretical concepts which can naturally be brought to bear in applications to financial engineering. The workshop will examine how they influenced the development of financial mathematics theoretical works and the implementation of financial engineering solutions to problems involving large ensembles of individuals or robots optimizing their behaviors in uncertain and complex environments.

Applications will include contract theory, cyber currency mining, high frequency trading, systemic risk, and recents developments in the applications of machine learning techniques to the numerical solutions of some of these problems.

Organizers

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B A
Beatrice Acciaio ETH-Zurich
R C
René Carmona Operations Research and Financial Engineering, Princeton University

Speakers

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A A
Alexander Aurell Princeton University
E B
Erhan Bayraktar University of Michigan
L C
Luciano Campi University of Milan
A C
Alvaro Cartea University of Oxford
R D
Roxana Dumitrescu King’s College
J F
Jean-Pierre Fouque University of California, Santa Barbara
X G
Xin Guo University of California, Berkeley
U H
Ulrich Horst Humboldt University Berlin
E H
Emma Hubert Princeton University
S J
Sebastian Jaimungal University of Toronto
D L
Daniel Lacker Columbia University
M L
Mathieu Laurière Google Brain, Paris
L L
Laura Leal Princeton University
S N
Sergey Nadtochiy Illinois Institute of Technology
M N
Marcel Nutz Columbia University
H P
Huyên Pham University of Paris 6 and CNRS
D P
Dylan Possamai ETH Zürich
M R
Max Reppen Boston University
L T
Ludovic Tangpi Princeton University
P T
Peter Tankov ENSAE
N T
Nizar Touzi Ecole Polytechnique
T Z
Thaleia Zariphopoulou University of Texas at Austin

Schedule

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Monday, December 6, 2021
9:30-10:15 CST
Mean field game of mutual holding

Speaker: Nizar Touzi (Ecole Polytechnique)

10:15-11:00 CST
Portfolio liquidation under endogenous order flow – from single player models to mean-field games

Speaker: Ulrich Horst (Humboldt University Berlin)

11:30-12:15 CST
Large population games in the weak formulation and their mean field game limits

Speaker: Ludovic Tangpi (Princeton University)

13:45-14:30 CST
Stability of entropic optimal transport and convergence of Sinkhorn’s algorithm

Speaker: Marcel Nutz (Columbia University)

14:30-15:15 CST
Stochastic optimal control, free boundaries, and neural networks

Speaker: Max Reppen (Boston University)

15:45-16:30 CST
Interbank lending with benchmark rates: pareto optima for a class of singular control games

Speaker: Xin Guo (University of California, Berkeley)

Tuesday, December 7, 2021
9:30-10:15 CST
Mean-field games and contract theory

Speaker: Dylan Possamai (ETH Zürich)

10:15-11:00 CST
Optimal bidding strategies for digital advertising

Speaker: Huyên Pham (University of Paris 6 and CNRS)

11:30-12:15 CST
A mean-field game of energy transition

Speaker: Peter Tankov (ENSAE)

13:45-14:30 CST
Mean field games with absorption and common noise with a model of bank run

Speaker: Luciano Campi (University of Milan)

14:30-15:15 CST
Mean field MDP and mean field RL

Speaker: Mathieu Laurière (Google Brain, Paris)

15:45-16:30 CST
Inverting the Markovian projection, and local stochastic volatility models

Speaker: Daniel Lacker (Columbia University)

Wednesday, December 8, 2021
9:30-10:15 CST
Deep Learning for Principal-Agent Mean Field Games

Speaker: Sebastian Jaimungal (University of Toronto)

10:15-11:00 CST
Mean-field games in Ito-diffusion markets with common noise under forward performance criteria

Speaker: Thaleia Zariphopoulou (University of Texas at Austin)

11:30-12:15 CST
Optimal Execution with Stochastic Delay

Speaker: Alvaro Cartea (University of Oxford)

13:45-14:15 CST
Optimal Execution with Quadratic Variation Inventories

Speaker: Laura Leal (Princeton University)

14:15-14:45 CST
Stochastic Dynamic Graphon Games The Linear-Quadratic Case

Speaker: Alexander Aurell (Princeton University)

14:45-15:15 CST
Principal agent mean field games in Renewable Energy Certificate (REC) markets

Speaker: Arvind Shrivats (Princeton University)

15:45-16:30 CST
Mean Field Game and Mean Field Control Q-Learning

Speaker: Jean-Pierre Fouque (University of California, Santa Barbara)

Thursday, December 9, 2021
9:30-10:15 CST
Consistency of MLE for partially observed diffusions: application to market microstructure modeling

Speaker: Sergey Nadtochiy (Illinois Institute of Technology)

10:15-11:00 CST
Contract theory with a mean-field of agents: application to electricity demand response

Speaker: Emma Hubert (Princeton University)

11:30-12:15 CST
A propagation of chaos result for a class of  mean-field reflected BSDEs with jumps

Speaker: Roxana Dumitrescu (King’s College)

12:15-13:00 CST
Countercyclical Unemployment Benefits: General Equilibrium Analysis of Transition Dynamics

Speaker: Erhan Bayraktar (University of Michigan)


Videos

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Mean field game of mutual holding

Nizar Touzi
December 6, 2021

Portfolio liquidation under endogenous order flow – from single player models to mean-field games

Ulrich Horst
December 6, 2021

Large population games in the weak formulation and their mean field game limits

Ludovic Tangpi
December 6, 2021

Stability of entropic optimal transport and convergence of Sinkhorn’s algorithm

Marcel Nutz
December 6, 2021

Stochastic optimal control, free boundaries, and neural networks

Max Reppen
December 6, 2021

Interbank lending with benchmark rates: pareto optima for a class of singular control games

Xin Guo
December 6, 2021

Mean-field games and contract theory

Dylan Possamai
December 7, 2021

Optimal bidding strategies for digital advertising

Huyên Pham
December 7, 2021

A mean-field game of energy transition

Peter Tankov
December 7, 2021

Mean field games with absorption and common noise with a model of bank run

Luciano Campi
December 7, 2021

Mean field MDP and mean field RL

Mathieu Laurière
December 7, 2021

Inverting the Markovian projection, and local stochastic volatility models

Daniel Lacker
December 7, 2021

Deep Learning for Principal-Agent Mean Field Games

Sebastian Jaimungal
December 8, 2021

Mean-field games in Ito-diffusion markets with common noise under forward performance criteria

Thaleia Zariphopoulou
December 8, 2021

Optimal Execution with Stochastic Delay

Alvaro Cartea
December 8, 2021

Optimal Execution with Quadratic Variation Inventories

Laura Leal
December 8, 2021

Stochastic Dynamic Graphon Games The Linear-Quadratic Case

Alexander Aurell
December 8, 2021

Principal agent mean field games in Renewable Energy Certificate (REC) markets

Arvind Shrivats
December 8, 2021

Mean Field Game and Mean Field Control Q-Learning

Jean-Pierre Fouque
December 8, 2021

Consistency of MLE for partially observed diffusions: application to market microstructure modeling

Sergey Nadtochiy
December 9, 2021

Contract theory with a mean-field of agents: application to electricity demand response

Emma Hubert
December 9, 2021

A propagation of chaos result for a class of  mean-field reflected BSDEs with jumps

Roxana Dumitrescu
December 9, 2021

Countercyclical Unemployment Benefits: General Equilibrium Analysis of Transition Dynamics

Erhan Bayraktar
December 9, 2021

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