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.