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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.”