UCL Computer Science
Dr Guido Germano


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


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

Luiss, Dipartimento di Economia e Finanza, Villa de Heritz, Viale Romania 32, Roma, 20/5/2019

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.