# Schedule of the Workshop "Modeling Market Dynamics and Equilibrium - New Challenges, New Horizons"

## Monday, August 19

## Tuesday, August 20

09:30 - 10:00 |
Jan Werner: On the possibility of speculative trade under ambiguity |

10:00 - 10:30 |
Beth Allen: Budget based competitive equilibrium |

10:30 - 11:00 |
Coffee |

11:00 - 11:45 |
Luciano De Castro: Correlation of types in Bayesian games |

11:45 - 12:30 |
Rabee Tourky (with Idione Meneghel): Interface between order structures and decomposability: applications to Bayesian games |

12:30 - 14:30 |
Lunch break |

14:30 - 15:15 |
Yuri Kifer: A survey on game options |

15:15 - 16:00 |
Hans Foellmer: Spatial risk measures: Local specification, aggregation, and phase transition |

16:00 - 16:30 |
Coffee |

## Wednesday, August 21

## Thursday, August 22

# Abstracts

Hans Foellmer "Spatial risk measures: Local specification, aggregation, and phase transition"

The quantification of financial risk in terms of convex risk measures is closely related to the microeconomic theory of preferences in the face of risk and Knightian uncertainty. We discuss some of these connections and then turn to the implications of dynamic or spatial consistency for convex risk measures on product spaces. In the spatial setting of a large network, the local specification of convex risk measures can be seen as a non-linear extension of the local specification of equilibrium states in Statistical Mechanics. We discuss the corresponding aggregation problem of passing from local to global risk measures andthe appearance of phase transitions, using a combination of arguments from preference theory and from Dynkin's boundary theory for Markov processes.