Stochastic Control & Financial Engineering

Stochastic Control & Financial Engineering

Methods and Numerics

June 20-23, 2023

Princeton University, Princeton-NJ

Financial engineering has historically been fertile ground for the development of advanced stochastic control techniques. This trend continues as models become ever more realistic and modern issues related to, for instance, fintech, robot advising and blockchain begin to emerge. In recent years, cutting edge techniques from large population games, mean field models and mean field games have been employed to tackle and model issues that were previously hard to analyze. To discuss recent progress in the area, the department of Operations Research and Financial Engineering and the Bendheim Center for Finance at Princeton University are organizing a workshop on the broad thematic of stochastic control, with funding from the National Science Foundation. Emphasis will be put on problems arising from (or related to) financial modeling, but purely theoretical advances will also be discussed.

We will bring together an interdisciplinary array of experts to discuss methods, modeling and numerical simulation issues in Stochastic Control and Financial Engineering. The workshop will also feature talks by early career researchers.

Invited Speakers

Erhan Bayraktar
University of Michigan
Agostino Capponi
Columbia University
Jean Pierre Fouque
University of California Santa Barbara
Xin Guo
University of California Berkeley
Sebastian Jaimungal
University of Toronto
Daniel Lacker
Columbia University
Andreea Minca
Cornell University
Sergey Nadtochiy
Illinois Institute of Technology
Dylan Possamai
ETH Zurich
Mehmet Sa─člam
University of Cincinnati
Daniela Tonon
Università degli Studi di Padova
Kim Weston
Rutgers University
Thaleia Zariphopoulou
University of Texas at Austin - Oxford-Man Institute
Xunyu Zhou
Columbia University

Organizing Committee

Emma Hubert
ORFE
Ludovic Tangpi
BCF, ORFE