ETH Zurich, 4-6 April 2018
The 6th Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich, the Mathematical Finance Section at Imperial College London and the CFM-Imperial Institute of Quantitative Finance for a 3-day seminar on new research developments in stochastic analysis and mathematical modeling in finance.
All the lectures below take place in G5.
Schedule
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
Contact us
CFM-Imperial Institute of Quantitative Finance
Department of Mathematics,
Imperial College
London
SW7 1NE
Email: iqf-events@imperial.ac.uk