18th Meeting of the Finance Theory Group

MIT Sloan School of Management

May 4-5, 2018

 

 

 

The 18th Finance Theory Group meeting will take place at MIT Sloan School of Management.

On Friday, May 4, there will be the FTG Special Event on Contract Theory in Honor of Nobel Prize Winners Oliver Hart and Bengt Holmstrom at the MIT's Samberg Conference Center. The address is 50 Memorial Drive. This is building E52 (map). To get there from the hotel, simply walk on Main street in the eastern direction for 3-4 minutes – the building will be on your right. Once you are inside the building, take the elevator to the 7th floor. There will be signs pointing to Samberg Conference Center as you get to the building.

On Saturday, May 5, there will be paper presentations. The location is classroom 276 of E62 (MIT Sloan School of Management). The address is 100 Main street (map). This building is next to E52, where the FTG special event is on Friday. Once you get into the building, take the elevator or stairs to the 2nd floor and find classroom 276.

If you plan to attend but have not registered yet, please go to https://financetheory.org/upcoming-events to officially register for the event. The fee for the entire Friday event is $180 for early registration and $200 for late registration. As usual, there is no fee for the Saturday regular meeting.

For online access, connect to “MIT guest” wi-fi network. There is no login or password.

Special conference rates have been arranged at Boston Marriott Cambridge (50 Broadway, Cambridge, MA). The rate is $269 per night. The deadline for making the reservation is Thursday, April 12th. You can make your reservation by following this reservation link.

Program

 

Friday, May 4, 2018

FTG Special Event on Contract Theory in Honor of Nobel Prize Winners Oliver Hart and Bengt Holmstrom
Location: MIT’s Samberg Conference Center, 7
th floor of E52 (50 Memorial Drive) 

 

Sessions on Recent Research on Contract Theory

1:30-2:50pm 

Finance and Control – presenter: Patrick Bolton; commentator: Jeffrey Zwiebel; chair: Philip Bond

2:50-3:10pm

Coffee Break

3:10-4:30pm 

Dynamic Financial Contracting – presenter: Peter DeMarzo; commentator: Jean-Charles Rochet; chair: Marcus Opp

4:30-4:50pm

Coffee Break

 

 

4:50-6:10pm

Panel discussion by Oliver Hart and Bengt Holmstrom: “Contract Theory – Past, Present, and Future/Progress and Challenges”
moderator: Adriano Rampini; introduction: Christine Parlour

6:15-7:00pm

Reception

7:00-9:30pm

Dinner

 

Saturday, May 5, 2018

 

Regular FTG Meeting
Location: Room 276 of E62 (100 Main Street)

7:45-8:30am

Breakfast and Coffee 

8:30-9:30am

Design of Macro-prudential Stress Tests
Dmitry Orlov, Pavel Zryumov, Andrzej Skrzypacz

9:30-9:50am

Coffee Break

9:50-10:50am

Dynamic Asset Allocation with Hidden Volatility
Felix Feng, Mark Westerfield

10:50-11:10am

Coffee Break

11:10-12:10pm

Trading in Crowded Markets
Stepan Gorban, Anna Obizhaeva, Yajun Wang

12:10-1:40pm

Lunch and business meeting

1:40-2:40pm

Demand Disagreement
Christian Heyerdahl-Larsen, Philipp Illeditsch

2:40-3:00pm

Coffee Break

3:00-4:00pm

Leverage Dynamics without Commitment
Peter DeMarzo, Zhiguo He

4:00 pm

Adjourn

Participants

 

Toni Ahnert (Bank of Canada)
Vladimir Asriyan (CREi)
Efstathios Avdis (Alberta)
Ulf Axelson (LSE)
Ana Babus (Wash U)
Snehal Banerjee (UCSD)
Bruno Biais (Toulouse)
Patrick Bolton (Columbia)
Philip Bond (Washington)
Yasser Boualam (UNC)
Matthieu Bouvard (McGill)
Bradyn Breon-Drish (UCSD)
Andrea Buffa (BU)
Mike Burkart (LSE)
Elena Carletti (Bocconi)
Archishman Chakraborty (Yeshiva)
Zhaohui Chen (Virginia)
Ing-Haw Cheng (Dartmouth)
Jonathan Cohn (UT Austin)
Will Cong (Chicago)
James Dana (Northeastern)
Amil Dasgupta (LSE)
Shaun Davies (Colorado)
Eduardo Davila (NYU)
Jesse Davis (UNC)
Peter DeMarzo (Stanford)
Jason Donaldson (Wash U)
Selman Erol (Carnegie Mellon)
Felix Feng (Notre Dame)
Michael Fishman (Northwestern)
Slava Fos (BC)
William Fuchs (UT Austin)
Simon Gervais (Duke)
Vincent Glode (Wharton)
Brett Green (UC Berkeley)



Dirk Hackbarth (BU)
Valentin Haddad (UCLA)
Oliver Hart (Harvard)
Zhiguo He (Chicago)
Benjamin Hebert (Stanford)
Bengt Holmstrom (MIT)
Yunzhi Hu (UNC)
Philipp Illeditsch (Carnegie Mellon)
Ohad Kadan (Wash U)
Ron Kaniel (Rochester)
Peter Kondor (LSE)
Yrjo Koskinen (Calgary)
John Kuong (INSEAD)
Mina Lee (Wash U)
Samuel Lee (Santa Clara)
Yaron Leitner (Philadelphia Fed)
Doron Levit (Wharton)
Richard Lowery (UT Austin)
Evgeny Lyandres (BU)
Igor Makarov (LSE)
Andrey Malenko (MIT)
Nadya Malenko (BC)
Ivan Marinovic (Stanford)
Egor Matveyev (MIT and Alberta)
Vincent Maurin (Stockholm)
Konstantin Milbradt (Northwestern)
Martin Oehmke (LSE)
Marcus Opp (Stockholm)
Dmitry Orlov (Rochester)
Emiliano Pagnotta (Imperial)
Cecilia Parlatore (NYU)
Christine Parlour (UC Berkeley)

Enrico Perotti (Amsterdam)
Tomasz Piskorski (Columbia)
Uday Rajan (Michigan)
Adriano Rampini (Duke)
Matthew Rhodes-Kropf (MIT)
Jean-Charles Rochet (Zurich)
Jacob Sagi (UNC)
Delphine Samuels (MIT)
Batchimeg Sambalaibat (Indiana)
Fenghua Song (Penn State)
Chester Spatt (Carnegie Mellon and MIT)
Kathryn Spier (Harvard)
Lars Stole (Chicago)
Gunter Strobl (Frankfurt)
Alireza Tahbaz-Salehi (Northwestern)
Anjan Thakor (Wash U)
James Thompson (Waterloo)
Giulio Trigilia (Rochester)
Victoria Vanasco (Stanford)
Felipe Varas (Duke)
S Viswanathan (Duke)
Vladimir Vladimirov (Amsterdam)
Yajun Wang (Maryland)
Brian Waters (Colorado)
Mark Westerfield (Washington)
Lucy White (BU)
Liyan Yang (Toronto)
Ming Yang (Duke)
Vijay Yerramilli (Houston)
Adam Zawadowski (CEU)
Ariel Zetlin-Jones (Carnegie Mellon)
Hongda Zhong (LSE)
Haoxiang Zhu (MIT)
John Zhu (Wharton)
Pavel Zryumov (Rochester)
Jeffrey Zwiebel (Stanford)