PIMS Summer School on The Economics and Mathematics of Systemic Risk and the Financial Networks

  • Start Date: 07/21/2014
  • End Date: 07/25/2014
Location: 

University of British Columbia

Description: 

Financial markets are not physical systems. The rules they operate are determined by regulation, and the operators try their best to influence and circumvent these regulations insofar as they thwart their own ends. Asset prices are modelled by stochastic processes, as if the randomness came from an outside source, but the markets themselves generate much of the noise. Risk is the downside of randomness. The program will focus on the way the markets generate and propagate risk, and what kind of regulation can mitigate it.

 

Organizers: 

* Rene Carmona (Princeton University)

* Ivar Ekeland (Université Paris Dauphine)

* George Papanicolaou (Stanford University)

 

 

Summer School Format:

The summer school will comprise six courses of 3 lectures each. 

 

The school is targeted for graduate students and young researchers interested in the theme of the program, and who have some background in probability, stochastic calculus and applied mathematics. Prospective participants have to complete a application process (See below).

 

 

The six courses will be given by

* Rama Cont (Imperial College, London) Channels of Contagion in Financial Systems 

* Darrell Duffie (Stanford University) Risk Sharing in Over-the-Counter Markets.

* Jean-Pierre Fouque (University of California, Santa Barbara) Diffusion Models for Systemic Risk

Paul Glasserman (Columbia University) Contingent Capital and Financial Networks

* Jean Charles Rochet (Swiss Finance Institution) Financial Stability

* Yuliy Sannikov (Princeton University) Economies with Financial Frictions: A Continuous Time Approach.

 

 

Students accepted to the school will be sent background material and references a few months beforehand. Please review the registration process below.

 

 

VISITORS: a number of senior visitors will be in residence at PIMS during July 2014, including Ivar Ekeland and Jean Charles Rochet. There will be seminars and other activities during that month. 

 

Other Information: 

Location:

PIMS UBC: Earth Sciences Building, 2207 Main Mall.

 

Accommodation:

Accommodation will be provided at UBC's Gage Tower apartments (standard, single rooms in shared apartments); there will be partial travel funding based on availability. To apply for accommodation and travel, please see the registration process below.  

 

Registration Process:

Registration for the Economics and Math Summer school is a two-setp process:

 

Step 1: Application Request: Individuals interested in participating in the Summer School should send an email to:econ-math-2014@pims.math.ca. The email should contain the following:

 

**Applicant's first, last name and gender

**Applicant's email address and institution

**Applicant's referee name and email

**Applicant's CV (as a pdf attachment)

**Applicants may choose to include a brief 250 word statement on how the summer school will benefit their research and current studies.

**Applicants must indicate whether they would like to be considered for accommodation at UBC and travel support. Applicants are expected to check-in on July 20th and check out on July 26th, 2014, respectively.

Application deadline: 11:59PST April 25, 2014;

Notice of acceptance: on or before May 1, 2014.

 

Step 2: Registration: Once your application has been accepted, you will be notified and directed to the Summer School registration page to register for the event. The Fee of $175 covers the conference package, lunch and coffee breaks.

 

Travel documentation

If you are an international participant and require a visa to attend this summer school, you can find relevant information here.

 

 

Workshop on Sytemic Risk: 

The summer school precedes a workshop of the same title. More information can be found here. Accepted summer school attendees are encouraged to register.

 

 

 

 

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