PROGRAM

  • 9:00 Welcome
  • 9:20 Hans Föllmer (Humboldt Universität): Couplings on Wiener space
  • 10:00 Marco Frittelli (Università di Milano): On Fairness of Systemic Risk Measures
  • In a previous paper, we have introduced a general class of systemic risk measures that allow random allocations to individual banks before aggregation of their risks. In the present paper, we address the question of fairness of these allocations and we propose a fair allocation of the total risk to individual banks. We show that the dual problem of the minimization problem which identify the systemic risk measure, provides a valuation of the random allocations which is fair both from the point of view of the society/regulator and from the individual financial institutions. The case with exponential utilities which allows for explicit computation is treated in details.

  • 10:40 Coffee break
  • 11:00 Paolo Baldi (Università di Roma Tor Vergata): Large Deviations et caetera
  • 11:40 Huyen Pham (Université Paris Diderot): Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach
  • 12:20 Wolfgang Runggalddier (Università di Padova): On approximation methods for mixed singular/non singular stochastic filtering problems
  • 13:00 Lunch break
  • 14:00 Paolo Guasoni (Dublin City University): Asset Prices in Segmented and Integrated Markets
  • 14:40 Freddy Delbaen (ETH Zürich): Mod-gaussian convergence for sums of trigonometric functions and similar problems
  • 15:20 Conclusions and coffee

PARTICIPANTS

  • Paolo Baldi (Università di Roma Tor Vergata)
  • Anna Battauz (Università Bocconi)
  • Fabio Bellini (Università di Milano-Bicocca)
  • Francesca Biagini (Universität München )
  • Sara Biagini (LUISS)
  • Giorgia Callegaro (Università di Padova)
  • Lucia Caramellino (Università di Roma Tor Vergata)
  • Francesco Cordoni
  • Vincenzo Costa (Università di Cassino)
  • Marzia De Donno (Università di Parma)
  • Freddy Delbaen (ETH Zürich)
  • Antonio Di Cesare (Bankitalia)
  • Cristina Di Girolami (Università di Pescara)
  • Salvatore Federico (Università di Siena)
  • Franco Flandoli (Scuola Normale Superiore)
  • Hans Föllmer (Humboldt Universität)
  • Marco Francischello (Imperial College)
  • Marco Frittelli (Università di Milano)
  • Rita Giuliano (Università di Pisa)
  • Fausto Gozzi (LUISS)
  • Paolo Guasoni (Dublin City University)
  • Giulia Livieri (Scuola Normale Superiore)
  • Cecilia Mancini (Università di Firenze)
  • Denise Massa (Università di Pisa)
  • Sabrina Mulinacci (Università di Bologna)
  • Eni Musta (TU Delft)
  • Huyen Pham (Université Paris Diderot)
  • Roberto RenĂ² (Università di Verona)
  • Marco Romito (Università di Pisa)
  • Wolfgang Runggaldier (Università di Padova)
  • Marco Tolotti (Università di Venezia)
  • Giacomo Toscano (Scuola Normale Superiore)
  • Dario Trevisan (Università di Pisa)
  • Tiziano Vargiolu (Università di Padova)
  • Danilo Vassallo (Scuola Normale Superiore)
Give a man a fish, and you feed him for a day. Teach a man to fish and you feed him for a lifetime
Give a man a fish, and you feed him for a day
Teach a man to fish and you feed him for a lifetime

Venue

Aula Magna

Dipartimento di Matematica

Università di Pisa

Largo Bruno Pontecorvo 5

56127 Pisa

Italia

 

Supported by Ludwig-Maximilians Universität München and Università di Pisa (Fondi di ateneo)