Past PhD Days
- PhD Day June 17, 2020
- Mathematical Finance PhD Day, 2 June 2015
- Mathematical Finance PhD Day, 8 December 2014
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
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Morning |
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10:00 AM |
Opening remarks |
Johannes |
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10:15 AM |
Round of names |
All participants |
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10:30 AM |
Between interactions and incentives: some works around contract theory |
Emma HUBERT |
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10:55 AM |
Crowding on Russell 3000 Reconstitution Events |
Alessandro MICHELI |
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11:20 AM |
Break |
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11:25 AM |
Not so particular about Calibration: Smile problem resolved |
Aitor MUGURUZA |
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11:50 AM |
The VIX implied volatility under multi-factor models |
Alexandre PANNIER |
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12:15 |
Lunch break |
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Afternoon |
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1:15 PM |
Price impact on the yield curve |
Federico GRACEFFA |
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1:40 PM |
Optimal Limit Order Placement in the Presence of Adverse Selection |
Zexin WANG |
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2:05 PM |
Break |
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2:10 PM |
Applications of Neural networks to Mathematical Finance |
Zan ZURIC |
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2:35 PM |
Rejection sampling for conditional Dirichlet distribution |
Claudio BELLANI |
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3:00 - 3.30 PM |
Open Discussions |
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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 |
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 |