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MMF Program’s Bielecki, Cialenco, Chen, and Gong Take Part in SIAM Conference on Financial Mathematics and Engineering

Leaders of the Master of Mathematical Finance (MMF) program took part in the Society for Industrial and Applied Mathematics (SIAM) Conference on Financial Mathematics and Engineering, November 17-19 in Austin.

Tomasz Bielecki, professor of applied mathematics and MMF program director, and Igor Cialenco, associate professor of applied mathematics and MMF program co-director, organized two mini-symposia on Central Counterparties (CCPs). CCPs are corporate entities that all standardized over-the-counter derivatives must be cleared through. The mini-symposia focused on theoretical and practical aspects of derivatives CCP’s risk management and their impact on systemic risk and financial stability.

Cialenco also gave a talk, “Dynamic Model of Central Counterparty Risk,” in which he proposed a discrete time dynamic model for computation of various collateral amounts that are charged by a CCP to its members.

Assistant Professor of Applied Mathematics Tao Chen gave a talk, “Adaptive Robust Hedging under Model Uncertainty,” proposing a new methodology, adaptive robust control, for solving a discrete-time Markovian control problem subject to Knightian uncertainty.

Assistant Professor of Applied Mathematics Ruoting Gong organized a mini-symposium on “Stochastic Control Theory with Applications to Finance.”