Institute for Mathematics and its Applications The Mathematics of the New Financial Systems IMA Hot Topics Workshop Description: The workshop will address the recent developments in the mathematics and the practical management of risk emanating from recent trends in the commodity markets, portfolio investment, and shocks to the financial system. Many problems arising from the analysis of commodities and energy markets, systemic risk of financial networks, modern portfolio management demand the development of new mathematical tools. These lead to challenges at the intersection of stochastic control and dynamic games, stochastic analysis, convex analysis as well as computational methods. Each day of the three-day workshop will be devoted to one of these three themes. A goal of the workshop will be to foster interactions between academia and industry. The IMA is an NSF-funded institute www.ima.umn.edu/2011-2012/SW5.17-19.12 May 17-19, 2012 Speakers and Panelists: Mireille Bossy (INRIA) Youngna Choi (Montclair State University) Michael Coulon (Princeton University) Nicole El Karoui (École Polytechnique) Paul Glasserman (Columbia University) Brenda Gonzalez-Hermosillo (IMF) Michael Gordy (Federal Reserve Board) Matheus Grasselli (Fields Institute) Ioannis Karatzas (Columbia University) Andrei Kirilenko (US CFTC) Michael Ludkovski (UC Santa Barbara) Enrique Mejorada (Public Service Enterprise Group Incorporated) Andreea Minca (Cornell University) Marek Musiela (BNP Paribas) Nadia Oudjane (Electricite de France (EDF)) Vassilios Papathanakos (INTECH Investment Management LLC) Chris Rogers (University of Cambridge) Mihai Sirbu (University of Texas at Austin) Carlos F. Tolmasky (Cargill, Inc.) Motohiro Yogo (Federal Reserve Bank of Minneapolis) René Carmona (ORFE Department, Princeton University) Jean-Pierre Fouque (Department of Statistics and Applied Probability, University of California - Santa Barbara) Kay Giesecke (Department of Management Science and Engineering, Stanford University) George Papanicolaou (Mathematics Department, Stanford University) Ronnie Sircar (ORFE Department, Princeton University) Thaleia Zariphopoulou (Oxford-Man Institute of Quantitative Finance, University of Oxford) Organizers:

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___ Print Room and Phone List from Discovery

Print Room Phone List (for the week or month) and make copies for desk in 3-176.

Institute for Mathematics and its Applications

The Mathematics of the New Financial Systems

IMA Hot Topics Workshop

Description:The workshop will address the recent developments in the mathematics and the practical management of risk emanating from recent trends in the commodity markets, portfolio investment, and shocks to the financial system. Many problems arising from the analysis of commodities and energy markets, systemic risk of financial networks, modern portfolio management demand the development of new mathematical tools. These lead to challenges at the intersection of stochastic control and dynamic games, stochastic analysis, convex analysis as well as computational methods.

Each day of the three-day workshop will be devoted to one of these three themes. A goal of the workshop will be to foster interactions between academia and industry.

The IMA is an NSF-funded institute

www.ima.umn.edu/2011-2012/SW5.17-19.12

May 17-19, 2012

Speakers and Panelists:Mireille Bossy (INRIA)

Youngna Choi (Montclair State University)��

Michael Coulon (Princeton University)��

Nicole El Karoui (École Polytechnique)��

Paul Glasserman (Columbia University)�

Brenda Gonzalez-Hermosillo (IMF)�

Michael Gordy (Federal Reserve Board)��

Matheus Grasselli (Fields Institute)�

Ioannis Karatzas (Columbia University)��