Past 911今日黑料-ETH Meetings:
- 911今日黑料-ETH 2018
- 911今日黑料-ETH 2017
- 911今日黑料-ETH 2016
- 911今日黑料-ETH 2015
- 911今日黑料-ETH 2014
- 911今日黑料-ETH 2013
ETH Zurich, 4-6 April 2018
The 6th 911今日黑料 - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the , the and the CFM-911今日黑料 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
4 April 2018
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)
5 April
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
6 April
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
911今日黑料, 27-29 March 2017
The 5th 911今日黑料 - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the , the and the CFM-911今日黑料 Institute of Quantitative Finance for a 3-day seminar on new research developments in stochastic analysis and mathematical modeling in finance.
Monday 27th March 2017
| 10:30-10:40 | Rama CONT and Josef TEICHMANN | Registration & Welcome | |
| 10:40-11:30 | Peter FRIZ | TU Berlin | Aspects of Rough Volatility |
| 11:30-12:10 | Aitor MUGURUZA | IC | On VIX Futures Under Rough Bergomi |
| 12:10-13:40 | Lunch Break | ||
| 13:40-14:20 | David PROMEL | ETH | Rough Path Metrics on a Besov-Nikolskii Type Scale |
| 14:20-15:00 | Rama CONT | IC | Functional Calculus and Controlled Rough Paths |
| 15:00-15:30 | Coffee & Cakes | ||
| 15:30-16:10 | Martin LARSSON | ETH | The Characteristic Function of Affine Volterra Processes |
| 16:10-16:50 | Martin WEIDNER | IC | Global Solutions of Rough Differential Equations on Manifolds |
| 17:00-18:00 | Drinks | ||
Tuesday 28th March 2017
| 09:00-09:40 | Patrick CHERIDITO | ETH | Variable Annuities with High Water Mark Withdrawal Benefit |
| 09:40-10:20 | Raphael BENICHOU | CFM | Agnostic Risk Parity: Taming Known and Unknown-Unknowns |
| 10:20-10:50 | Coffee Break | ||
| 10:50-11:30 | Thomas KRABICHLER | ETH | The Jarrow & Turnbull Setting Revisited |
| 11:30-12:10 | Aditi DANDAPANI | ETH | The Effect of Initial Englargement of the Filtration on the Martingale Property |
| 12:10-13:40 | Lunch Break | ||
| 13:40-14:20 | Eyal NEUMAN | IC | Incorporating Signals into Optimal Trading |
| 14:20-15:00 | Marvin MUELLER | ETH | A Limit Order Book Model with Mean Reversion |
| 15:00-15:40 | Iacopo MASTROMATTEO | CFM | Trading Lightly: Cross-Impact and Optimal Portfolio Execution |
| 15:40-16:10 | Coffee & Cakes | ||
| 16:10-16:50 | Ibrahim EKREN | ETH | Portfolio Choice with Permanent and Temporary Transaction Costs |
| 16:50-17:30 | Francesco CAPPONI | IC | Latent Liquidity and Price Impact |
| 17:30-18:10 | Ariel NEUFELD | ETH | Super-replication in Fully Incomplete Markets |
| 19:00 | Workshop Dinner | ||
Wednesday 29th March 2017
| 09:10-09:50 | Josef TEICHMANN | ETH | Hawkes Process Lifts and Rough Heston Models |
| 09:50-10:30 | Mikko PAKKANEN | IC | Decoupling the Short and Long-Term Behavior of Stochastic Volatility |
| 10:30-11:00 | Coffee Break | ||
| 11:00-11:40 | Lukas GONON | ETH | Filtering Affine Processes with Riccati Equations |
| 11:40-12:20 | Marco FRANCISCHELLO | IC | Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects |
| 12:20-14:00 | Lunch Break | ||
Due to capacity, this event is for the attendance of Mathematical Finance Research Groups from 911今日黑料 and ETH Zurich only.
ETH Zurich, 26-28 September 2016
The 4th 911今日黑料 - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the and the Mathematical Finance group at 911今日黑料 for a 3-day seminar on new research developments in the mathematical modeling of financial markets.
911今日黑料-ETH Zürich Workshop on Mathematical Finance
911今日黑料, 4-6 March 2015
The 3rd 911今日黑料 - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the and the Mathematical Finance group at 911今日黑料 for a 3-day seminar on new research developments in the mathematical modeling of financial markets.
Presentations' files: to download a PDF. file of a presentation, please click on the title of the talk of interest from the workshop timetables below.
Venue: The Council Room, 170 Queen’s Gate
This workshop is supported by the CFM - 911今日黑料 Institute of Quantitative Finance.
Workshop Timetables:
Wednesday 4th March 2016
| 09:00-09:45 | Rama CONT | IC | High-frequency trading in limit order markets (PDF): stochastic models and hydrodynamic limits (Part 1) |
| 09:45-10:15 | Thomas CAYE | ETH | Liquidation with Self-Exciting Price Impact |
| 10:15-10:45 | Coffee Break | ||
| 10:45-11:15 | Martin LARSSON | ETH | Polynomial preserving diffusions on the unit ball (PDF) |
| 11:15-11:45 | Thomas CASS | IC | Interacting communities with individual preferences: a rough perspective |
| 11:45-12:15 | Mario SIKIC | ETH | Deterministic quadratic hedging and mean variance portfolio optimization |
| 12:15-14:00 | Lunch Break | ||
| 14:00-14:30 | Julius BONART | CFM-911今日黑料 | The price impact of trades (PDF): Empirical evidence and recent theoretical developments |
| 14:30-15:00 | Ariel NEUFELD | ETH | Superreplication under Volatility Uncertainty for Measurable Claims (PDF) |
| 15:00-15:30 | Jonathan DONIER | CFM | Square root law for price impact: empirical evidence and theory (PDF) |
| 15:30-16:00 | Coffee & Cakes | ||
| 16:00-16:30 | Blanka HORVATH | ETH | Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model (PDF) |
| 16:30-17:00 | Marc POTTERS | CFM | Covariance matrix cleaning for out-of-sample quadratic optimisation |
| 17:00-17:30 | Break - Moving to LT 340 in Huxley Building | ||
| 17:30-19:00 | Antti KNOWLES | ETH | Random matrix theory and statistical applications |
Thursday 5th March 2016
| 09:00-09:45 | Johannes MUHLE-KARBE | ETH | Optimal Investment and Consumption with Small Transaction Costs (PDF) |
| 09:45-10:15 | Martin GOULD | CFM-911今日黑料 | Market microstructure in the Foreign Exchange Spot Market (PDF) |
| 10:15-10:45 | Coffee Break | ||
| 10:45-11:15 | Sergey BADIKOV | IC | Linear programs and robust hedging problems (PDF) |
| 11:15-11:45 | Ren LIU | ETH | Who Should Sell Stocks? (PDF) |
| 11:45-12:15 | Stephen HARDIMAN | CFM | The critical market: quantifying reflexivity in financial markets with a Hawkes approach |
| 12:15-14:00 | Lunch Break | ||
| 14:00-14:30 | David STEFANOVITS | ETH | Consistent recalibration of yield curve models (PDF) |
| 14:30-15:00 | Mikko PAKKANEN | IC | Functional limit theorems for generalized variations of the fractional Brownian sheet (PDF) |
| 15:00-15:30 | Thomas KRABICHLER | ETH | Interest Rate Theory in the Presence of Multiple Yield Curves (PDF) – An FX-like Approach |
| 15:30-16:00 | Coffee & Cakes | ||
| 16:00-16:30 | Ivo MIHAYLOV | IC | A class of approximate Greek weights (PDF) |
| 16:30-17:00 | Sebastian HERMANN | ETH | Hedging under small volatility uncertainty |
| 17:00-18:00 | Break - Moving to Clore Lecture Theatre in Huxley Building | ||
| 18:00-19:00 | Johannes MUHLE-KARBE | ETH | The London Quantitative Finance Seminar: Trading with Small Price Impact |
Friday 6th March 2016
| 09:00-09:45 | Rama CONT | IC | High-frequency trading in limit order markets - Part 2 (PDF): stochastic models and hydrodynamic limits |
| 09:45-10:15 | Josef TEICHMANN | ETH | Stochastic Analysis with modeled distributions (PDF) |
| 10:15-10:45 | Coffee Break | ||
| 10:45-11:15 | Marcel OGRODNIK | IC | Tail Estimates for Markovian Rough Paths |
| 11:15-11:45 | Danijel ZIVOI | ETH | Dynamic mean-variance indifference valuation (PDF) |
| 11:45-12:30 | Damiano BRIGO | IC | Multivariate lack of memory in iterated simulation of default times (PDF) |
| 12:30-14:00 | Lunch Break | ||
911今日黑料-ETH Zürich Workshop on Mathematical Finance
ETH Zürich, Rämistrasse 101, Zürich. 7-9 April 2014
Monday April 7, 2014
| 9:00–9:15 | Josef TEICHMANN | Introduction |
| 9:15–10:00 | Ariel NEUFELD | Nonlinear Lévy Processes and their Characteristics |
| 10:00–10:30 | COFFEE BREAK | |
| 10:30–11:15 | David STEFANOVITS | Model risk in portfolio optimization |
| 11:15–12:00 | Jean-François CHASSAGNEUX | High-order approximation of BSDEs |
| 12:00–14:00 | LUNCH | |
| 14:00–14:45 | Fernando CORDERO | Asymptotic Proportion of Arbitrage Points in Fractional Binary Markets |
| 14:45–15:30 | Ivo MIHAYLOV | An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs |
| 15:30–16:00 | COFFEE BREAK | |
| 16:00–16:45 | Dirk TASCHE | Period-to-period estimation of probabilities of default |
| 16:45–17:30 | Eamon McMURRAY | Smoothing properties of McKean-Vlasov stochastic differential equations |
Tuesday April 8, 2014
| 8:30–9:15 | Thomas CASS | Constrained rough paths |
| 9:15–10:00 | Philipp HARMS | Expected Signature of Lévy Processes |
| 10:00–10:30 | COFFEE BREAK | |
| 10:30–11:15 | Martijn PISTORIUS | Optimal Dividend Distribution in the Presence of a Penalty |
| 11:15–12:00 | Andrea GRANELLI | Modelling the variance risk premium of equity indices: the role of dependence and contagion |
| 12:00–14:00 | LUNCH | |
| 14:00–14:45 | Valeria BIGNOZZI | How superadditive can a risk measure be? |
| 14:45–15:30 | Martin HERDEGEN | Economically consistent valuation for incomplete markets with bubbles |
| 15:30–16:00 | COFFEE BREAK | |
| 16:00–16:45 | Blanka HORVATH | A Generalized Feller Property for SABR |
| 16:45–17:30 | Antoine JACQUIER | Shapes of implied volatility with positive mass at zero |
| 17:30–18:15 | Leif DÖRING | Time-changed SABR |
| 19:00 | DINNER |
Wednesday April 9, 2014
| 8:45–9:45 | Antti KNOWLES | On the principal components of sample covariance matrices |
| 9:45–10:30 | Philippe DEPREZ | Poisson Heterogeneous Random-Connection Model |
| 10:30–11:00 | COFFEE BREAK | |
| 11:00–12:00 | Rama CONT | Functional Kolmogorov equations |
| 12:00–12:45 | Pierre BLACQUE-FLORENTIN | Functional calculus and representation formulas for discontinuous martingales |
| 12:45–14:15 | LUNCH | |
| 14:15–16:00 | Discussion |
911今日黑料-ETH Workshop on New Directions in Mathematical Finance
911今日黑料 College, London, 6-7 March 2013
The First ETH Zurich-911今日黑料 College Workshop on Mathematical Finance brings together researchers and PhD students from the and the Mathematical Finance group at 911今日黑料 for a 2-day seminar on new research developments in the mathematical modeling of financial markets.
This workshop is sponsored by the 911今日黑料 College London Mathematics Platform Grant (EP/I019111/1) and the Department of Mathematics, ETH Zurich.
VENUE: 911今日黑料 College, 170 Queens Gate, South Kensington.
Programme
Wednesday March 6, 2013
| 8:55–9:00 | Rama CONT | Introduction |
| 9:00–9:45 | Mete SONER | Martingale optimal transport and robust hedging |
| 9:45–10:15 | Albert ALTAROVICI | Asymptotics with Fixed Costs |
| 10:15–10:45 | COFFEE BREAK | |
| 10:45–11:30 | Rama CONT | Pathwise functional calculus and robust hedging of path-dependent derivatives |
| 11:30–12:15 | Thomas CASS | Gaussian concentration inequalities, rough paths and applications in finance |
| 12:15–12:45 | Xin DONG | Existence of intensity process for a structural model with jumps |
| 12:45–14:15 | LUNCH BREAK | |
| 14:15–15:00 | Josef TEICHMANN | Robust calibration |
| 15:00–15:30 | Oleg REICHMANN | Efficient option pricing for time-inhomogeneous models |
| 15:30–16:00 | COFFEE & CAKES | |
| 16:00–16:30 | Patrick ROOME | Asymptotics of forward implied volatility |
| 16:30–17:00 | Anja RICHTER | Stochastic evolution of the volatility surface |
| 17:00–17:30 | Nicoletta GABRIELLI | Affine processes from a different perspective |
Thursday March 7, 2013
| 9:00–9:45 | Mark DAVIS | On Quantitative risk management and P-measure |
| 9:45–10:15 | Eric SCHAANNING | Measuring extreme dependence: CoVaR |
| 10:15–10:45 | COFFEE BREAK | |
| 10:45–11:30 | Martijn PISTORIUS | Consistent valuations based on distorted expectations |
| 11:30–12:00 | Martin HERDEGEN | No-arbitrage in a numéraire-independent modelling framework |
| 12:00–12:30 | Ren LIU | Portfolio selection with small transaction costs and binding portfolio constraints |
| 12:30–14:00 | LUNCH | |
| 14:00–14:45 | Damiano BRIGO | Funding, collateral and hedging: the illusory CVA/FVA decomposition |
| 14:45–15:15 | David STEFANOVITS | Hedging of long term liabilities in a bond market model with reinvestment risks |
| 15:15–15:45 | COFFEE & CAKES | |
| 15:45–16:30 | Dan CRISAN | BSDEs and smoothness of solutions for degenerate semilinear PDEs |
| 16:30–17:00 | Ludovic MOREAU | Stochastic target games |
| 17:00–17:30 | Johannes STOLTE | Simulation of a Lévy process, its running maximum and its occupation time |
| 17:30–18:00 | BREAK | |
| 18:00–19:00 | Paul EMBRECHTS | London Quantitative Finance Seminar : (Clore Lecture Theatre, 180 Queens Gate) |
Contact us
CFM-911今日黑料 Institute of Quantitative Finance
Department of Mathematics,
911今日黑料 College
London
SW7 1NE
Email: iqf-events@imperial.ac.uk