Past PhD Days

PhD Day June 17, 2020

MF PhD day - June 17, 2020

Location: via Microsoft Teams

Time: 10:00 am-4:00 pm

Notes on the MSc Math Finance and Open Discussion

 

Morning

10:00 AM

Opening remarks

Johannes
MUHLE-KARBE

10:15 AM

Round of names

All participants

10:30 AM

Between interactions and incentives: some works around contract theory

Emma HUBERT

10:55 AM

Crowding on Russell 3000 Reconstitution Events

Alessandro MICHELI

11:20 AM

Break

11:25 AM

Not so particular about Calibration: Smile problem resolved

Aitor MUGURUZA

11:50 AM

The VIX implied volatility under multi-factor models

Alexandre PANNIER

12:15

Lunch break

Afternoon

1:15 PM

Price impact on the yield curve

Federico GRACEFFA

1:40 PM

Optimal Limit Order Placement in the Presence of Adverse Selection

Zexin WANG

2:05 PM

Break

2:10 PM

Applications of Neural networks to Mathematical Finance

Zan ZURIC

2:35 PM

Rejection sampling for conditional Dirichlet distribution

Claudio BELLANI

3:00 - 3.30 PM

Open Discussions

 
Mathematical Finance PhD Day, 2 June 2015

Location: Huxley Building, Room 140
Time: 2pm-6.15pm

Talks will be either 20 or 40-minute long, with additional 5 minutes of Q&A.

List of talks

Chairman: Mikko Pakkanen 

2.30-2.55 Géraldine Bouveret A comparison Principle for Stochastic Target Problems
2.55-3.20 Fangwei Shi Properties of the VIX smile
3.20-4.05 Eric Schaanning Fire sales: Price mediated contagion and systemic risk

4.05-4.35: COFFEE BREAK

Chairman: Archil Gulisashvili

4.35-5.20 Hao Liu A Limit Order Book Model with Intelligent Agents
5.20-6.05 Manho Chau Mean-field Stackelberg games: aggregation of delayed instructions
Mathematical Finance PhD Day, 8 December 2014

Location: CDT Lecture rooms 1, Sherfield Building
Time: 1:50pm-6pm

Talks will be 15-minute long, with additional 5 minutes of Q&A.

List of talks

Chairman: Jean-Francois Chassagneux

2.00-2.15 Géraldine Bouveret A backward dual representation for the quantile hedging of Bermudan options
2.20-2.35 Kwok Chuen Wong Utility Risk Portfolio Selection
2.40-2.55 Sergey Badikov Linear programs for sub-superhedging problems
3.00-3.15 Simon Ellersgaard Optimal Portfolio Selection With Stochastic Volatility

3.20-3.40: COFFEE BREAK

Chairman: Mikko Pakkanen

3.40-3.55 Ivo Mihaylov Strong rate of convergence for non-Lipschitz SDEs and ways to approximate Greeks
4.00-4.15 Pierre Blacque-Florentin Functional calculus on integer-valued measures and martingale representation formulas for jump processes
4.20-4.35 Marcel Ogrodnik Tail estimates for Markovian RDEs

4.40-5.00: COFFEE BREAK

Chairman: Antoine Jacquier

5.00-5.15 Romano Trabalzini Implied modelling
5.20-5.35 Camilla Pisani The Multivariate Mixture Dynamics Model
5.40-5.55 Eric Schaanning Fire sales and price mediated contagion