Imperial-ETH Workshop on Mathematical Finance 2018

All the talks take place in G5

Registration

08:45-08:55

Introduction

08:55-09:00 - Rama CONT | Josef TEICHMANN

Deep optimal stopping

09:00-10:00 - Patrick CHERIDITO (ETH)

Coffee break

10:00-10:30

Fractional Brownian motion with zero Hurst parameter

10:30-11:00 - Eyal NEUMANN (IC)

Turbocharging Monte Carlo pricing for the rough Bergomi model

11:00-11:30 - Mikko PAKKANEN (IC)

Functional central limit theorems for rough volatility models

11:30-12:00 - Aitor MUGURUZA (IC)

A log-normal rough volatility FX framework

12:00-12:30 - Ryan McCRICKERD (IC)

Lunch

12:30-14:00

Deep Hedging

14:00-14:30 - Lukas GONON (ETH)

Chaos decomposition with respect to continuous square-integrable martingales

14:30-15:00 - Arman KHALEDIAN (IC)

Support theorems for path-dependent SDEs

15:00-15:30 - Alexander KALININ (IC)

Pathwise change of variable formulas for weakly differentiable functionals

15:30-16:00 - Anna ANANOVA (IC)

Coffee break

16:00-16:30

Optimal extension to rough paths of Sobolev type

16:30-17:00 - Chong LIU (ETH)

Stochastic Stefan-type Problems

17:00-17:30 - Marvin MÜLLER (ETH)

State constrained optimal control problems: reachability approach

17:30-18:00 - Athena PICARELLI (IC)

Information-theoretic limits of approximation through deep neural networks    

9:00–10:00 - Helmut BÖLCSKEI (ETH)

Universal featurs of intraday price formation: lessons from Deep Learning

10:00–10:30 - Rama CONT (IC)

COFFEE BREAK

10:30–11:00  

Unified pathwise moderate deviations for stochastic volatility models

11:00-11:30 - Antoine JACQUIER (IC)

Hybrid point processes and limit order book modelling

11:30-12:00 - Maxime MORARIU (IC)

Oscillating between trend and value: insights from an agent-based model 

11:30–12.30 - Adam MAJESWSKI (CFM)

LUNCH

12:30–14:00

Daily Rebalancing of Leveraged ETFs

14:00–14:30 - Chen YANG (ETH)

Discrete dividends in continuous time

14:30–15:00 - Max REPPEN (ETH)

The multivariate Kyle model and cross-impact estimation

15:00–15:30 - Luis GARCIA (CFM)

Trade duration and the square root law of price impact

15:30–16:00 - Francesco CAPPONI (IC)

COFFEE BREAK

16:00–16:30

Elicitability and Identifiability of Measures of Systemic Risk 

16:30–17:00 - Tobias FISSLER (IC)

Quantile-based risk sharing

17:00–18:00 - Paul EMBRECHTS (ETH)

CONFERENCE DINNER

19:00

Deep learning, curse of dimensionality, and stochastic approximation algorithms for PDEs

9:00–10:00 - Arnulf JENTZEN (ETH)

Measuring price-mediated contagion and reverse stress testing

10:00 - 10:30 - Eric SCHAANNING

COFFEE BREAK

10:30–11:00

Generalized Feller processes and Markovian lifts    

11:00 - 11:30 - Josef TEICHMANN (ETH)

Short- and long-term relative arbitrage in stochastic portfolio theory

11:30 - 12:30 - Martin LARSSON

LUNCH

12:30 - 14:00