Navigation auf uzh.ch
Navigation auf uzh.ch
| Computational
Financial Economics Workshop 1 – 6 September 2009 | ||
| Organizers: |
Prof.
Dr. Felix Kübler Prof. Dr. Karl Schmedders | |
| Location: |
Swiss
Banking Institute University of Zurich |
Plattenstrasse
14 Room PLM 103/104 |
Preliminary Program: | ||
| 1 September 2009 | Tuesday | |
| 15.00 – 15.45 |
Timothy
Stitt, HPC Services/CSCS Supercomputing in Switzerland | |
| 16.00 – 16.45 |
Benjamin
Skrainka, University College London Enhance your productivity and software quality with techniques from Silicon Valley | |
| 17.00 | Apéritif |
Plattenstrasse
32 Room PLD E 06 |
| 2 September 2009 | Wednesday | |
| 10.00 - 11.00 |
Hal
Cole, University of Pennsylvania Infrequent Portfolio Re-balancing and the Volatility of the Market-Price of Risk | |
| 11.00 - 11.30 | Break | |
| 11.30 – 12.30 |
Michael
Reiter, Inst. für Höhere Studien, Wien Nonlinear Approximate Aggregation in Heterogeneous Agent Models | |
| 13.00 – 14.15 | Lunch | |
| 14.15 – 15.15 |
Wouter
den Haan, University of Amsterdam How well-behaved are higher-order perturbation solutions? | |
| 15.15 – 15.30 | Break | |
| 15.30 – 16.30 |
Paul
Pichler, University of Vienna Sparse-grid Galerkin methods for solving medium-scale dynamic economic models | |
| 19.00 | Conference Dinner in the tower of the University (Restaurant Uni-Turm) |
Rämistrasse 71 Floor M |
| 3 September 2009 | Thursday | |
| 09.00 – 10.00 |
Bernard
Dumas, INSEAD Incomplete-Market Equilibria Solved Recursively on an Event Tree | |
| 10.00 – 10.15 | Break | |
| 10.15 - 11.15 |
Jochen
Mankart, London School of Economics Personal Bankruptcy Law, Debt Portfolios and Entrepreneurship | |
| 11.15 - 11.30 | Break | |
| 11.30 – 12.30 |
Tom
Rutherford, ETH Zürich Stochastic control model applied to research and development expenditures for climate policy | |
| 13.00 – 14.15 | Lunch | |
| 14.15 – 15.15 |
Zhigang
Feng, University of Zurich Numerical Simulation of non optimal dynamic economies | |
| 4 September 2009 | Friday | |
| 09.00 – 10.00 |
Ken
Judd, Hoover Institution, Stanford DYNAMIC PROGRAMMING AND ITS APPLICATION IN ECONOMICS AND FINANCE | |
| 10.00 – 10.30 | Break | |
| 10.30 - 11.30 |
Andreas
Fuster, Fed. Reserve Bank, Boston (co-author to Paul Willen) Insuring Consumption Using Income-Linked Assets | |
| 12.00 - 17.00 | Afternoon excursion: Boat trip on Zurich lake | |
| 5 September 2009 | Saturday | |
| 09.30 - 10.30 |
Thomas
Mertens, Stern School of Business, New York Excessively Volatile Stock Markets: Equilibrium Computation and Policy Analysis | |
| 10. 30 - 11.00 | Break | |
| 11.00 - 12.00 |
Manuel
Santos, University of Miami Long Term Volatility of the Stock Market and Macroeconomic Fluctuations (taking place on Saturday instead of Sunday) | |
| 11.30 – 14.00 | Lunch | |
| 14.00 – 15.00 |
Adam
Speight, Georgia State University, Atlanta Fast Multigrid solvers for Calibration and Estimation of Dynamic Structural Models | |
| 15.00 – 15.30 | Break | |
| 15.30 – 16.30 |
Dirk
Krueger, University of Pennsylvania Computing Stochastic Dynamic Economic Models with a Large Number of State Variables: A Description and Appli-cation of a Smolyak-Collocation | |
| End of the workshop /Sunday cancelled | ||
| 6 September 2009 | Sunday | |
| 09.30 – 10.30 |
Karl
Schmedders, Universität Zürich CANCELLED | |
| 10.30 – 11.00 | Break | |
| 11.00 – 12.00 |
Manuel
Santos, University of Miami Long Term Volatility of the Stock Market and Macroeconomic Fluctuations TAKES PLACE ON SATURDAY | |
