1^st Eastern Conference on Mathematical Finance

Friday-Sunday, March 18^th - 20^th, 2016

Department of Mathematical Sciences
Worcester Polytechnic Institute

We gratefully acknowledge critical financial and administrative support from Worcester Polytechnic Institute.

The Eastern Conference on Mathematical Finance (ECMF) aims to bring together researchers in the area of Mathematical Finance at Eastern US schools on a regular basis. Our inaugural meeting at WPI in Worcester Massachusetts will begin at 3pm Friday March 18^th, ending early afternoon Sunday 20^th.

More photo can be found here.

Registration:
While the participation is free, we would request that the participants register in advance so that we can adapt the conference venue to suit the expected number of participants.

Schedule and Titles:

Schedule and Titles can be found here. Participants can be found here.

Here is the tentative workshop schedule:





The presentations will take place in Room 104 in Salisbury Labs (SL) and Room 219 in Atwater Kent Labs (AK). SL is building number 29 and AK is building number 4 on this map.

Hamed Amini, University of Miami, "Systemic Risk in Stochastic Financial Networks"

Erhan Bayraktar, University of Michigan, "Risk Sensitive Control of the Lifetime Ruin Problem"

Rene Carmona, Princeton University, "Mean Field Games: Theory and Applications"

Peng-Chu Chen, Purdue University, "The Impact of Network Topology and Uncertainty in Systemic Risk"

Alexandra Chronopoulou, University of Illinois at Urbana-Champaign, "Long Memory and Roughness in Stochastic Volatility Models"

Igor Cialenco, Illinois Institute of Technology, "Time Consistency of Dynamic Risk and Performance Measures"

Arash Fahim, Florida State University, "Robust Hedging under Portfolio Constraints"

Zach Feinstein, Washington University in St. Louis, "Systemic Risk Measures for Network Models"

Olympia Hadjiliadis, Hunter College of the City University of New York, "Applications of Drawdowns to Risk Measures and Quickest Detection"

Anna Kruglova, Massachusetts Institute of Technology, "Speculative Floating Oil"

Rohini Kumar, Wayne State University, Discussant

Roger Lee, University of Chicago, "How Leverage Transforms a Volatility Skew: Asymptotics for Continuous and Jump Dynamics"

Tim Leung, Columbia University, "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options"

Oleksii Mostovyi, University of Connecticut, Discussant

Andrew Papanicolaou, New York University, "Numerical Methods for Backward SDEs for Control with Partial Information"

Hyungbin Park, Worcester Polytechnic Institute, "Sensitivity Analysis on Long-term Cash Flows"

Pierre Patie, Cornell University, "Spectral Theory for Markov Semigroups: New Developments and Option Pricing"

Camelia Pop, University of Minnesota, "Obstacle Problems Defined by Stable Levy Processes"

Marcel Rindisbacher, Boston University, "Dynamic Noisy Rational Expectations Equilibrium with Information Production and Beliefs-Based Speculation"

Gustavo Schwenkler, Boston University, Discussant

Ronnie Sircar, Princeton University, Discussant

Kim Weston, Carnegie Mellon University, "Stability of Utility Maximization in Nonequivalent Markets"

Leon Zhang, Boston University, "An Analytical Expansion Scheme for Forward-Backward Stochastic Differential Equations"

Directions, Parking and Accommodations:

You can find directions here and parking map here. If you want to use campus parking, please provide all necessary information on the registration form by March 6 and we will mail you your parking permit.

WPI provides an extensive list of nearby hotels, but our recommended hotels are the Marriott Courtyard Worcester and the Hilton Garden Inn Worcester. Both of these are within walking distance of the meeting room, but the Marriott is much closer. Please ask for the preferential WPI rates.

The Worcester Regional Airport (ORH) handles only a small number of flights. Most visitors to Worcester fly into Logan International Airport (BOS) in Boston. Other options include Providence, Rhode Island (PVD), Manchester, New Hampshire (MHT), and Bradley near Hartford, Connecticut (BDL).

Worcester Airport Limousine (800-660-0992), Knight's Airport Limousine (800-822-5456), provide door-to-door transport from nearby airports to locations in and around Worcester. Call them to compare pricing. A discounted WPI rate might be available. While Worcester has Amtrak and commuter rail access (from Boston), most people coming from the south prefer to take Amtrak to Providence and then a shuttle (Michael's M&B Shuttle, 978-455-5279) to Worcester. As this route is not regularily served by the shuttle and done only for WPI, do not forget to mention that you are visiting WPI. Worcester his also in the center of an extensive local bus network (Peter Pan Bus and Greyhound).

There are many options for food near campus. WPI's Campus Center offers a small food court with a few mainstream options. Highland Street offers 8 restaurants on a 1/4 mile stretch: Subway, Sahara (Lebanese), Tech Pizza, Sole Proprietor (seafood), Boynton (upscale pub food), Thai Time, Dragon Dynasty (Chinese), Boomers Subs and Pizza. In particular, if you have a car, try out the many restaurants on Shrewsbury Street. Here is a list of area dining.

WPI has Internet access via eduroam, if your home institutions support eduroam you are all set. Alternatively we will provide temporary passwords for internet access at the registration.

Coffee will be served during Breaks. Friday evening's conference dinner has to be paid for by the participants, details will follow. The reception on Saturday evening will include a buffet and a cash bar.

If you need further assistance, please contact ecmf@wpi.edu.

Organizers: Agostino Capponi, Andreea Minca, Ronnie Sircar, Stephan Sturm
Local Organization: Marcel Blais, Weijie Pang, Hyungbin Park, Stephan Sturm, Gu Wang, Xuwei Yang