We are excited to welcome Nizar Touzi, the new Department Chair for the Department of Finance and Risk Engineering at NYU Tandon to kick off our lecture series for the Fall 2023 semester.
Mean Field Game Approach to Systemic Risk Modeling
We start with an overview of the basics of stochastic control theory, mean field control, Nash equilibria in the context of stochastic differential games, and mean field games. Next, we develop an application to the problem of optimal cross holding within a population of homogeneous agents.
Nizar Touzi was the professor of applied mathematics at Ecole Polytechnique since 2006. Earlier this month, he joined NYU Tandon School of Engineering as the department chair of the Finance and Risk Engineering Department. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier Natixis prize of the French Academy of Sciences in 2012 and the Paris Europlace prize of Best Young Researcher in Finance in 2007. Nizar is co-editor and associate editor in various international journals in the fields of financial mathematics, applied probability, and control theory.
NYU Students are highly encouraged to attend in person. All other non-NYU guests are invited to attend virtually unless otherwise noted.
Meeting ID: 984 5078 1488