Bernoulli Center

Professor Darrell Duffie Bernoulli Lecture - Continuous-time random matching

29 May 2017

Organisers :

Darrell Duffie

Joint work with Lei Qiao and Yeneng Sun.

We show the existence of independent random matching of a large population in a continuous-time dynamical system, where the matching intensities could be general non-negative jointly continuous functions on the space of type distributions and the time line. In particular, we construct a ...

Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences

29 May - 02 June 2017

Organisers :

Luc Bauwens
Yuri Kabanov
Juan-Pablo Ortega

This conference is the last major event of the program “Stochastic dynamical models in mathematical finance, econometrics, and actuarial sciences”. Some of the top researchers in the fields represented in the semester will present their results. The speakers will cover a wide range of topics including stochastic calculus and processes, ...

Professor Robert Engle Bernoulli Lecture - Systemic Risk with Endogenous Cycles

01 June 2017

Organisers :

Robert Engle

When financial institutions are undercapitalized they are not only vulnerable to external shocks, but they may inadvertently generate such shocks. When financial institutions act to improve their capital structure, they may induce exactly the financial crisis that regulation seeks to prevent. The economics of systemic risk cycles will be discussed ...