Course/seminar

A Theory of Repurchase Agreements, Collateral Re-use, and Repo Intermediation

Piero Gottardi, European University Institute

(Joint paper with Vincent Maurin, European University Institute, and Cyril Monnet, University of Bern, SZ Gerzensee & Swiss National Bank)

Critical Review of Pricing Schemes in Markets with Non-Convex Costs

George LIBEROPOULOS, University of Thessaly

Stochastic Unit Commitment: Scenario Generation, Scalable Computation, & Experimental Results

Jean-Paul WATSON, Center for Computing Research, Sandia National Laboratories

TBA

Francis de VERICOURT, ESMT Berlin

Automated design of first-order optimization methods

Adrien Taylor, Centre de recherche INRIA de Paris

In this talk, we will describe a novel constructive technique for devising efficient first-order methods for a wide range of large-scale convex minimization settings, including smooth, non-smooth, and strongly convex minimization.
The design technique takes an "ideal method", performing a series of subspace-searches, and constructs a family of methods sharing the same worst-case guarantees.

Derivative-free trust-region algorithms for composite nonsmooth optimization

Geovani NUNES GRAPIGLIA, University of Parana, Brazil

Retail Competition with Switching Consumers in Electricity Markets

Carlos RUIZ, Universidad Carlos III de Madrid

Proximal algorithms for distributed optimisation over uncertain networks

Kostas MARGELLOS, University of Oxford

Using Early Click Information in Online Flash Sales Campaigns

Victor MARTINEZ de ALBENIZ, IESE Business School

During the past decade, both academics and policymakers have recognised the importance of studying interconnectedness and complexity. The objective of our winter school and the associated events over this full week of events is to assess recent progress made in the application of networks for modelling economic and financial systems with an emphasis on econometric issues.