Program

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