21-22 May 2019

The 2nd Imperial - CUHK Workshop on Quantitative Finance will bring together researchers and PhD students from the the Department of Systems Engineering at The Chinese University of Hong Kong (CUHK) and the Mathematical Finance group at the Chinese University of Hong Kong for a 2-day seminar on mathematical modelling in finance.

Venue

Rm. 502, Yasumoto International Academic Park (YIA),
The Chinese University of Hong Kong, Hong Kong.

View map 

Invited Speakers 

CUHK

  • Dohyun Ahn
  • Nan Chen
  • Xuefeng Gao
  • Xuedong He
  • Lingfei Li
  • Qi Wu
  • Chen Yang

Imperial College London

  • Antoine Jacquier
  • Alexander Kalinin
  • Johannes Mhule-Karbe
  • Eyal Neuman
  • Mikko Pakkanen
  • Alex Tse

External Guests

  • Xiaolu Tan (Paris Dauphine)
  • Lihu Xu (UMAC)
  • Xinghua Zheng (HKSUT)

Presentations Schedule 

May-21 Chair
8:55 – 9:00 Opening remarks
9:00 – 9:40 Xuefeng Gao (CUHK) Scoring limit orders Antoine Jacquier 
9:40 – 10:20 Mikko Pakkanen (ICL) Modelling Limit Order Book Data by State-Dependent Hawkes Processes
10:20 – 10:50 Coffee break
10:50 – 11:30 Chen Yang (CUHK)  Inventory Management for High-Frequency Trading with Imperfect Competition Alex Tse
11:30 – 12:10 Johannes Muhle-Karbe (ICL) Liquidity and Asset Prices
12:10 – 13:30 Lunch
13:30 – 14:10 Xinghua Zheng (HKUST) Factor Modeling for Volatility  Alexander Kalinin 
14:10 – 14:50 Eyal Neuman (ICL) Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
14:50 – 15:20 Coffee break
15:20 – 16:00 Antoine Jacquier (ICL) Deep learning and Path-dependent PDEs for rough volatility Eyal Neuman 
16:00 – 16:40 Xiaolu Tan (Dauphine) From Martingale Optimal Transport to McKean-Vlasov Control Problems

 

May-22 Chair
9:00 – 9:40 Dohyun Ahn (CUHK)  Systemic risk quantification via shock amplification in financial network Mikko Pakkanen 
9:40 – 10:20 Lingfei Li  (CUHK)  A General Method for Valuation of Drawdown Risk under Markovian Models
10:20 – 10:50 Coffee break
10:50 – 11:30 Alex Tse (ICL) A multi-asset investment and consumption problem with transaction costs Dohyun Ahn 
11:30 – 12:10 Nan Chen (CUHK) Duality based dynamic programming and its applications
12:10 – 13:30 Lunch
13:30 – 14:10 Qi Wu (CUHK)   Quantile forecast through serial dependence learning Xuefeng Gao
14:10 – 14:50  Alexander Kalinin (ICL) Uniqueness, Existence and regularity of solutions to stochastic Volterra integral equations
14:50 – 15:20 Coffee break
15:20 – 16:00 Lihu Xu (UMAC)  Approximation of stable law by Stein’s method Yang Chen 
16:00 – 16:40 Xuedong He (CUHK)  On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time
 
18:15 – 20:00 Banquet

 

Conference Dinner  

There will be a banquet in the evening of May 22 at 18:15. Details about the venue will be announced.  

Accommodation

Hyatt Regency Hong Kong Sha Tin  (24min walk from the conference venue) 

Transportation to CUHK

How to get from the airport to CUHK

Organisers 

Nan Chen (CUHK)  and Eyal Neuman (ICL)  

Campus map

Map  

 

 

 

 

 

 

 

 


Previous Workshops

 

Imperial-CUHK Workshop on Quantitative Finance 1-2 June 2016

The 1st Imperial - CUHK Workshop on Quantitative Finance brought together researchers and PhD students from the Department of Systems Engineering at The Chinese University of Hong Kong (CUHK) and the Mathematical Finance group at Imperial College London for a 2-day seminar on mathematical modeling in finance.

Venue: 58 Prince's Gate

 

 

Contact us

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

Email: iqf-events@imperial.ac.uk