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SIAM Conference on Financial Mathematics & Engineering Program SIAM Conference on Financial Mathematics & Engineering Sponsored by the SIAM Activity Group on Financial Mathematics and Engineering. The Activity Group on Financial Mathematics and Engineering focuses on research and practice in financial mathematics, computation, and engineering. Its goals are to foster collaborations among mathematical scientists, statisticians, computer scientists, computational scientists, and researchers and practitioners in finance and economics, and to foster collaborations in the use of mathematical and computational tools in quantitative finance in the public and private sector. The activity group promotes and facilitates the development of financial mathematics and engineering as an academic discipline. Society for Industrial and Applied Mathematics 3600 Market Street, 6th Floor Philadelphia, PA 19104-2688 U.S. Telephone: +1-215-382-9800 Fax: +1-215-386-7999 Conference E-mail: [email protected] • Conference Web: www.siam.org/meetings/ Membership and Customer Service: (800) 447-7426 (U.S. & Canada) or +1-215-382-9800 (worldwide) https://www.siam.org/conferences/CM/Main/fm19 2 SIAM Conference on Financial Mathematics and Engineering Table of Contents Model Risk and Uncertainty Child Care Program-At-A-Glance… Optimal Stopping Tourism Toronto recommends Babysitting ..........................See separate handout Optimal Transport Angels and Care.com for attendees interested in child care services. Care.com provides a General Information .............................2 Option Pricing and Hedging web-based resource to connect individuals Get-togethers ........................................4 Regulations and Finance with vetted babysitters and nannies. Attendees Invited Plenary Presentations ...............5 Risk Measures are responsible for making their own child Minitutorials .........................................6 Robust Finance care arrangements. Prizes ....................................................7 Statistical Finance Program Schedule ..............................11 Stochastic Control Corporate Members Poster Session ....................................15 Speaker and Organizer Index .............48 Stochastic Games and Affiliates Conference Budget…Inside Back Cover Stochastic Volatility SIAM corporate members provide their employees with knowledge about, access Systemic Risk Meeting Room Map ........…Back Cover to, and contacts in the applied mathematics and computational sciences community Organizing Committee SIAM Registration Desk through their membership benefits. Corporate Co-Chairs membership is more than just a bundle The SIAM registration desk is located in the of tangible products and services; it is an Agostino Capponi Myhal Atrium, Myhal Centre for Engineering expression of support for SIAM and its Columbia University, U.S. Innovation and Entrepreneurship, University programs. SIAM is pleased to acknowledge of Toronto. It is open during the following its corporate members and sponsors. In Sebastian Jaimungal hours: University of Toronto, Canada recognition of their support, non-member Tuesday, June 4 attendees who are employed by the following 7:30 a.m. - 5:30 p.m. organizations are entitled to the SIAM Organizing Committee member registration rate. Beatrice Acciaio Wednesday, June 5 London School of Economics, United 8:00 a.m. - 6:45 p.m. Corporate/Institutional Members Kingdom The Aerospace Corporation Francesca Biagini Thursday, June 6 Air Force Office of Scientific Research 8:00 a.m. - 6:30 p.m. University of Munich, Germany Amazon Kay Giesecke Friday, June 7 Argonne National Laboratory Stanford University, U.S. 8:00 a.m. - 1:30 p.m. Bechtel Marine Propulsion Laboratory Matheus Grasselli The Boeing Company McMaster University, Canada CEA/DAM Tim Leung All sessions are being held Cirrus Logic University of Washington, U.S. at the University of Toronto Department of National Defence (DND/ Vadim Linetsky June 4, 6:40 p.m. – 8:40 p.m. CSEC) Northwestern University, U.S. Networking/Welcome Reception and Poster DSTO- Defence Science and Technology Harvey Stein Session are being held at: Organisation, Edinburgh Bloomberg LP, U.S. Fields Atrium, Fields Institute for Research Exxon Mobil in Mathematical Sciences IDA Center for Communications Research, Conference Themes 222 College Street, Toronto, Ontario, M5T 3J1, Canada La Jolla Algorithmic Trading IDA Institute for Defense Analyses, Princeton Behavioral Finance June 4-7, Conference sessions are being IDA Institute for Defense Analyses, Bowie, Commodity Markets held at: Maryland Computational Finance Myhal Centre for Engineering Innovation Lawrence Berkeley National Laboratory and Entrepreneurship Credit Risk 55 St. George Street, Toronto, Ontario, M5S Lawrence Livermore National Labs Financial Technology 0C9, Canada Lockheed Martin Maritime Systems & Insurance Sensors Machine Learning Los Alamos National Laboratory Market Microstructure Max-Planck-Institute Mean Field Games Mentor Graphics SIAM Conferencece on on Financial Dynamical Mathematics Systems and and SIAM Engineering Workshop on Network Science 3 National Institute of Standards and Students who paid the Student Non-Member Job Postings Technology (NIST) Rate will be automatically enrolled as SIAM Please check https://jobs.siam.org/ regarding National Security Agency Student Members. Please go to my.siam.org to the availability of job postings. update your education and contact information Oak Ridge National Laboratory in your profile. If you attend a SIAM Sandia National Laboratories Academic Member Institution or are part of Poster Participant Schlumberger a SIAM Student Chapter you will be able to renew next year for free. Information Simons Foundation The poster session is scheduled for Tuesday, Join onsite at the registration desk, go to June 4 from 6:40 p.m. to 8:40 p.m. Poster United States Department of Energy https://www.siam.org/Membership/Join-SIAM presenters must set-up their poster material U.S. Army Corps of Engineers, Engineer to join online or download an application (with the Velcro provided) on the 3’ x 6’ Research and Development Center form, or contact SIAM Customer Service: poster boards in the Fields Atrium on June List current as of April 2019. Telephone: +1-215-382-9800 (worldwide); or 4 between the hours of 5:00 p.m. and 6:30 800-447-7426 (U.S. and Canada only) p.m. All materials must be posted by Tuesday, Fax: +1-215-386-7999 June 4, 6:40 p.m., the official start time of the Funding Agency session. Posters must be removed at the end Email: [email protected] SIAM and the Conference Organizing of the session by 8:40 p.m. Committee wish to extend their thanks and Postal mail: Society for Industrial and appreciation to the U.S. National Science Applied Mathematics, 3600 Market Street, Foundation for its support of this conference. 6th floor, Philadelphia, PA 19104-2688 U.S. SIAM Books and Journals Please stop by the SIAM books table to browse and purchase our selection of Standard Audio-Visual textbooks and monographs. Enjoy discounted Set-Up in Auditorium and prices and free shipping. Complimentary Classrooms copies of selected SIAM journals are available, as well. The books booth will be SIAM does not provide computers for staffed from 9:00 a.m. through 5:00 p.m. any speaker. When giving an electronic Tuesday, Wednesday and Thursday. The books presentation, speakers must provide their own table will not be open Friday, but the Titles computers. SIAM is not responsible for the Join SIAM and save! on Display list will be available to facilitate safety and security of speakers’ computers. online and phone orders using the conference Leading the applied A data (LCD) projector and screen will be discount. mathematics community . provided in all technical session meeting rooms. The data projectors support both VGA SIAM members save up to $140 on Table Top Displays full registration for the 2019 SIAM and HDMI connections. Presenters requiring Conference on Financial Mathematics and an alternate connection must provide their Canadian Imperial Bank of Commerce (CIBC) Engineering! Join your peers in supporting own adaptor. the premier professional society for applied mathematicians and computational scientists. Conference Sponsors SIAM members receive subscriptions to SIAM Internet Access Silver - June 5, morning coffee break sponsor Review, SIAM News and SIAM Unwrapped, The University of Toronto Myhal Centre for and enjoy substantial discounts on SIAM Engineering Innovation & Entrepreneurship books, journal subscriptions, and conference offers wireless internet access to attendees registrations. in the public space and classrooms at no Supporter If you are not a SIAM member and paid the additional charge. Non-Member rate to attend, you can apply the difference of $140 between what you paid and what a member paid towards a Registration Fee Includes SIAM membership. Contact SIAM Customer Admission to all technical sessions Service for details or join at the conference Networking/Welcome Reception Business Meeting (open to SIAG/FME registration desk. members) If you are a SIAM member, it only costs $15 Coffee breaks daily to join the SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME). Room set-ups and audio/visual equipment As a SIAG/FME member, you are eligible for Networking/Welcome Reception and Poster an additional $15 discount on this conference, Session so if you paid the SIAM member rate to 2019 Conference Bag Sponsor attend the conference, you might be eligible for a free SIAG/FME membership. Check at the registration
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