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CFM-Imperial Workshops on Quantitative Finance

1st CFM-Imperial Workshop on Quantitative Finance - Thursday 27 February 2014

Programme
Time	Activity
09:20 - 09:30	Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks
09:30 - 10:00	Damiano Brigo (Imperial College) Funding, credit, collateral and hedging: nonlinearities and platonic pricing
10:00 - 10:30	Marc Potters (CFM) A Random Matrix Bayesian framework for out-of-sample Markowitz optimization
10:30 - 11:00	Coffee Break
11:00 - 11:30	Martijn Pistorius (Imperial College) Distance to default, inverse first-passage time problems & counterparty credit risk
11:30 - 12:00	Emeric Henry (CFM) How do trading costs modify Markowitz allocation procedures?
12:00 - 12:30	Jean-François Chassagneaux (Imperial College) Numerical Solution of Backward Stochastic Differential Equations
12:30 - 14:00	Lunch
14:00 - 14:30	Julien Kockelkoren (CFM) Statistical modeling of the queue dynamics of large tick stocks
14:30 - 15:00	Antoine Jacquier (Imperial College) Asymptotic properties of the forward smile
15:00 - 15:30	Rama Cont (Imperial College) CloseOut Risk Evaluation: an integrated approach to liquidity and market risk for financial portfolios
15:30 - 16:00	Coffee Break
16:00 - 17:00	Round Table Discussion Planning of future activities of the CFM-Imperial Institute
17:00 - 18:00	Free Discussion Time
18:00 - 19:00	THE LONDON QUANTITATIVE FINANCE SEMINAR: Jean-Philippe Bouchaud (CFM) Buyers, sellers and high frequency traders: the complex ecology of financial markets
19:00-20:00	Reception

2nd CFM-Imperial Workshop on Quantitative Finance - Monday 20 October 2014

Programme
Time	Activity
09:15 - 09:30	Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks
09:30 - 10:00	Dan Crisan (Imperial College) Asset pricing through competing traders valuations
10:00 - 10:15	Discussion
10:15 -10:45	Emmanuel Serie (CFM) Market modeling, portfolio constuction and feedback loops
10:45 - 11:00	Discussion
11:00 - 11:30	Coffee Break
11:30 - 12:00	Pierre Degond (Imperial College) A kinetic theory framework for mean-field games and applications to economics
12:00 - 12:15	Discussion
12:15 - 14:00	Lunch
14:00 - 14:30	Julius Bonart (CFM) Instabilities in economic network models
14:30 - 14:45	Discussion
14:45 - 15:15	Joachim De Lataillade (CFM) Optimal trading with Linear Costs
15:15 - 15:30	Discussion
15:30 - 16:00	Coffee Break
16:00 - 16:30	Almut Veraart (Imperial College) Trawl processes and applications to high frequency financial data
16:30 - 16:45	Discussion
16:45 - 17:15	Lorenzo De Leo (CFM) Smile in the low moments
17:15 - 17:30	Discussion

3rd CFM-Imperial Workshop on Quantitative Finance - Monday 28 September 2015

Programme
Time	Activity
09:15 - 09:30	Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks
09:30 - 10:00	Martijn Pistorius (Imperial College) Market-consistent dynamic spectral risk-measures
10:00 - 10:15	Discussion
10:15 -10:45	Jean Philippe Bouchaud (CFM) Time reversal assymetry and Generalized Hawkes process
10:45 - 11:00	Discussion
11:00 - 11:30	Coffee Break
11:30 - 12:00	Julius Bonart (CFM-Imperial Institute) Cancellations and refill: Strategic behaviour of liquidity providers in limit order markets
12:00 - 12:15	Discussion
12:15 - 14:00	Lunch
14:00 - 14:30	Stefano Ciliberti (CFM) Value, low-volatility, and other behavioral factors
14:30 - 14:45	Discussion
14:45 - 15:15	Martin Gould (CFM-Imperial Institute) Queue imbalance and one-tick-ahead price prediction
15:15 - 15:30	Discussion
15:30 - 16:00	Coffee Break
16:00 - 16:30	Joel Bun (CFM) Estimation of large covariance matrices: theory and applications
16:30 - 16:45	Discussion
16:45 - 17:15	Justin Sirignano (Imperial College) Loan Portfolio Risk
17:15 - 17:30	Discussion

4th CFM-Imperial Workshop on Quantitative Finance - Monday 13 June 2016 (Paris)

4th CFM-Imperial Workshop on Quantitative Finance - Monday 13 June 2016 (Paris)
Time	Activity
09:00 - 09:15	Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks
09:15 - 09:45	Adam Rej (CFM) Optimal Trading with Linear and (small) Non-Linear Costs
09:45 - 10:15	Rama Cont (IC) Algorithmic Trade Execution and Dynamics of Order Flow
10:15 - 10:45	Michael Benzaquen (CFM) Unravelling the Trading Invariance Hypothesis
10:45 - 11:15	Coffee Break
11:15 - 11:45	Blanka Horvath (IC) Robust Methods for the SABR Model and Related Processes
11:45- 12:15	Felix Patzelt (CFM) Balancing Information - from Sticks to Speculative Markets
12:15 - 13:45	Lunch Break
13:45 - 14:15	Fabrizio Lillo (SNSP) Detection of Anomalous Intensity Bursts Using Hawkes Processes: An Application to High Frequency Financial Data
14:15 - 14:45	Lam Dao (CFM) Tail Protection for Long Investors: Convexity at Work
14:45 - 15:15	Maxime Morariu-Patrichi (IC) Reduced-Form Limit Order Book Modelling With Point Processes: Some Empirical Considerations
15:15 - 15:45	Coffee Break
15:45 - 16:15	Marc Abeille (CFM) Linear Thompson Sampling Revisited
16:15 - 16:45	Martijn Pistorius (IC) Portfolio Optimisation Under Dynamic Risk Measures
16:45 - 17:00	Closing Remarks

Contact us

CFM-Imperial Institute of Quantitative Finance
Department of Mathematics,
Imperial College
London
SW7 1NE