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Week: 27 June 2022 - 3 July 2022

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Courses

Date Time Speaker Room 30 June 2022 9:15 - 10:00 Sigrid Källblad 'Controlled measure valued martingales: a viscosity solution approach' Aula Dini 10:00 - 10:45 Julio Backhoff Veraguas 'On the martingale projection of a Brownian motion given initial and terminal marginals.' Aula Dini 10:45 - 11:15 'Coffee break' Aula Dini 11:15 - 12:00 Robert McCann 'On the Monopolist's Problem Facing Consumers with Nonlinear Price Preferences' Aula Dini 12:00 - 12:45 Dmitry Kramkov '"Backward martingale transport in pseudo-Euclidean spaces and Fitzpatrick functions."' Aula Dini 12:45 - 13:00 'Closing remarks by Walter Schachermayer' Aula Dini 27 June 2022 8:15 - 9:10 'Registration' Aula Dini 9:10 - 9:15 'Welcome address Prof. Malchiodi ' Aula Dini 9:15 - 10:00 Luigi Ambrosio 'On some variational problems involving functions with bounded Hessian' Aula Dini 10:00 - 10:45 Mete Soner 'Knightian Uncertainty, Viability and Arbitrage' Aula Dini 10:45 - 11:15 'Coffee break' Aula Dini 11:15 - 12:00 Jan Obloj 'OT Methodology for non-parametric calibration of financial models' Aula Dini 12:00 - 14:30 'Lunch' Aula Dini 14:30 - 15:15 Sara Biagini 'Robust portfolio choice with sticky wages' Aula Dini 15:15 - 16:00 David Proemel 'Model-free portfolio theory: a rough path approach' Aula Dini 16:00 - 16:30 'Coffee break' Aula Dini 16:30 - 17:15 Giulia Di Nunno 'Fully dynamic risk measures and horizon risk' Aula Dini 17:15 - 18:00 Ludovic Tangpi 'Optimal Investment in a large population of competitive and heterogenous agents' Aula Dini 28 June 2022 9:15 - 10:00 Peter Friz 'Rough SDEs, Rough Semimartingales' Aula Dini 9:15 - 10:15 Dong Han Kim 'Intrinsic Diophantine approximation on circles and spheres' Sala Conferenze Centro De Giorgi 10:00 - 10:45 Sara Svaluto-Ferro 'Signature based models: theory and calibration' Aula Dini 10:30 - 11:30 Maria Jose Pacifico 'Uniqueness of equilibrium states for Lorenz attractors' Sala Conferenze Centro De Giorgi 10:45 - 11:15 'Coffee break' Aula Dini 11:15 - 12:00 Christian Bayer 'Optimal stopping with signatures' Aula Dini 11:45 - 12:45 Jacopo De Simoi 'Length spectrum of smooth convex billiards' Sala Conferenze Centro De Giorgi 12:00 - 12:45 Stefan Gerhold 'On the non-Markov property: Gaussian processes and beyond' Aula Dini 12:45 - 14:30 'Lunch' Aula Dini 14:30 - 15:15 Mykhaylo Skolnikov 'Free boundary problems with blow-ups: probabilistic solutions and applications' Aula Dini 15:15 - 16:00 Rama Cont 'A model-free approach to continuous-time finance' Aula Dini 16:00 - 16:30 'Coffee break' Aula Dini 16:30 - 17:15 Christoph Czichowsky 'Rough volatility and portfolio optimisation under transaction costs' Aula Dini 17:15 - 18:00 Johannes Muhle-Karbe 'Stochastic Liquidity as a Proxy for Nonlinear Price Impact' Aula Dini 29 June 2022 9:15 - 10:00 Constantinos Kardaras 'Estimation of growth in fund models' Aula Dini 10:00 - 10:45 Ioannis Karatzas 'Conservative Diffusions as Entropic Flows of steepest Descent' Aula Dini 10:45 - 11:15 'Coffee break' Aula Dini 11:15 - 12:00 Birgit Rudloff 'Epic Math battles: Nash versus Pareto' Aula Dini 12:00 - 12:45 Kim Weston 'Equilibrium Existence in a Limited Participation Economy' Aula Dini 12:45 - 14:30 'Lunch' Aula Dini 14:30 - 15:15 Catherine Rainer 'Absorption Paths and Equilibria in Quitting Games (common work with Galit Ashkenazi-Golan, Eilon Solan, and Ilia Krasikov)' Aula Dini 14:30 - 15:15 Jaksa Cvitanic 'Truth-Incentive Surveys' Aula Dini 15:15 - 16:00 'Coffee break' Aula Dini

Visits

Buddhima Kasun Fernando Akurugodage

Centro di ricerca matematica Ennio De Giorgi - Scuola Normale Superiore
1 October 2021 - 31 August 2023 (2020 Junior Visiting Positions)

Andrew Allan

ETH Zurich
26 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Daniel Bartl

University of Vienna
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Fabio Baschetti

Scuola Normale Superiore
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Giulio Bresciani

Scuola Normale Superiore
31 December 2021 - 30 December 2023 (2020 Junior Visiting Positions)

Lucio Maria Calcagnile

Scuola Normale Superiore
15 October 2021 - 14 October 2023 (2020 Junior Visiting Positions)

Francesco Campigli

Scuola Normale Superiore
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Federico Cannerozzi

Università di Milano
26 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Krzysztof Ciosmak

University of Oxford
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Nicola Cirone Muça

27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Giovanni Eugenio Comi

Scuola Normale Superiore di Pisa
1 April 2022 - 31 October 2022 (2020 Junior Visiting Positions)

Fanch Coudreuse

École normale supérieure de Lyon
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Alexis De Villeroché

École normale supérieure de Lyon
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Alessandro Doldi

Università degli Studi di Milano
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Mattia Fogagnolo

Università di Padova
14 September 2020 - 13 September 2022 (2020 Junior Visiting Positions)

Marco Frittelli

Università di Milano
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Matteo Gambara

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Guido Gazzani

Vienna University of Economics and Business
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Annemarie Grass

University of Wien
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Calypso Herrera

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Fritz Hiesmayr

Scuola Normale Superiore
20 September 2021 - 19 September 2023 (2020 Junior Visiting Positions)

Ruojun Huang

Centro di Ricerca Matematica Ennio De Giorgi
1 September 2020 - 31 August 2022 (2020 Junior Visiting Positions)

Florian Huber

University of Vienna
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Emma Hubert

Princeton University
26 June 2022 - 1 July 2022 (Advances in Mathematical Finance and Optimal Transport)

Anastasis Kratsios

McMaster University
26 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Seul Bee Lee

Centro di ricerca matematica Ennio De Giorgi - Scuola Normale Superiore
26 October 2020 - 25 October 2022 (2020 Junior Visiting Positions)

Marco LiCalzi

Università Ca' Foscari Venezia
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Andrea Macrì

Scuola Normale Superiore
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Federico Maglione

Scuola Normale Superiore
27 June 2022 - 29 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Janka Moeller

University of Vienna
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Naeem Muhammad

University of Rome La Sapienza
2 December 2013 - 6 December 2103 (Deterministic and Stochastic Dynamics in Economics and Finance)

Ariel Neufeld

Nanyang Technological University - NTU Singapore
27 June 2022 - 28 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Nicola Orru

University of Cagliari
30 June 2013 - 7 July 2913 (Linear and Nonlinear Hyperbolic Equations)

Francesco Palmurella

Scuola Normale Superiorela
6 June 2022 - 10 October 2022 (Special Riemannian Metrics and Curvature Functionals)

Godmund Pammer

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Mathurin Passard

École normale supérieure de Lyon
28 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Roberto Pirisi

Centro di Ricerca Matematica Ennio De Giorgi
1 July 2020 - 30 June 2022 (2020 Junior Visiting Positions)

Francesca Primavera

University of Vienna
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Bodgan Raita

Scuola Normale Superiore
1 October 2021 - 31 August 2023 (2020 Junior Visiting Positions)

Adele Ravagnani

Scuola Normale Superiore
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Daria Sakhanda

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Thorsten Schmidt

University of Freiburg
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Hou Songyan

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Dario Trevisan

Università di Pisa
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Milo Viviani

Scuola Normale Superiore
1 October 2020 - 30 September 2022 (2020 Junior Visiting Positions)

Kristof Wiedermann

Vienna University of Technology
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Hanna Wutte

ETH Zurich
26 June 2022 - 1 July 2022 (Advances in Mathematical Finance and Optimal Transport)

Qikun Xiang

Nanyang Technological University - NTU Singapore
27 June 2022 - 28 June 2022 (Advances in Mathematical Finance and Optimal Transport)

DAIYING YIN

Nanyang Technological University - NTU Singapore
27 June 2022 - 28 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Fenghui Yu

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Behnoosh Zamanlooy

27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)

Syang Zhou

ETH Zurich
27 June 2022 - 30 June 2022 (Advances in Mathematical Finance and Optimal Transport)