Mathematics

Diffusion Models for Systemic Risk 2

Speaker: 
Jean-Pierre Fouque
Date: 
Tue, Jul 22, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the Mean Field Game approach.

Khovanov homology

Author: 
Robin Koytcheff
Janis Lazovskis
Date: 
Thu, Jul 10, 2014
Location: 
PIMS, University of British Columbia
Conference: 
2014 West Coast Algebraic Topology Summer School
Abstract: 

Lecture notes on Khovanov homology.

Contingent Capital and Financial Networks 1

Speaker: 
Paul Glasserman
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lectures will cover two topics. The first is contingent capital in the form of debt that converts to equity when a bank 
nears financial distress. These instruments offer a potential solution to the problem of banks that are too big to fail by 
providing a credible alternative to a government bail-out. Their properties are, however, complex. I will discuss models for the analysis of contingent capital with particular emphasis on their incentive effects and the design of the conversion trigger. The second topic in these lectures is the problem of quantifying contagion and amplification in financial networks. In particular, I will focus on bounding the potential impact of network effects under the realistic condition that detailed information on the structure of the network is unavailable

Diffusion Models for Systemic Risk 1

Speaker: 
Jean-Pierre Fouque
Date: 
Mon, Jul 21, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

We will present inter-bank borrowing and lending models based on systems of coupled diffusions. First-passage models will 
be reviewed and applied to mean-field type models in order to illustrate systemic events and compute their probability via 
large deviation theory. Then, a game feature will be introduced and Nash equilibria will be derived or approximated using the 
Mean Field Game approach.

Over the Counter Markets

Author: 
Darrell Duffie
Date: 
Thu, Jul 17, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

This lecture is part of a series on "Risk Sharing in Over-the-Counter Markets"

Financial System Architecture

Author: 
Darrell Duffie
Date: 
Wed, Jul 16, 2014
Location: 
PIMS, University of British Columbia
Conference: 
The Economics and Mathematics of Systemic Risk and Financial Networks
Abstract: 

These lecture notes are part of a series on "Risk Sharing in Over-the-Counter Markets"

Duality Notes

Author: 
Dominic Culver
Mitchell Faulk
Date: 
Mon, Jul 7, 2014
Location: 
PIMS, University of British Columbia
Conference: 
West Coast Algebraic Topology Summer School
Abstract: 

These are notes for the Duality talk presented as part of the West Coast Algebraic Toplogy Summer School.

Verlinde Algebra

Author: 
Lee Cohn
Date: 
Fri, Jul 11, 2014
Location: 
PIMS, University of British Columbia
Conference: 
West Coast Algebraic Topology Summer School
Abstract: 

Lecture Notes on Verlinde Algebra

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