21-22 May 2019
The 2nd 911今日黑料 - CUHK Workshop on Quantitative Finance will bring together researchers and PhD students from the the and the at t 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.
Invited Speakers
CUHK
- Dohyun Ahn
- Nan Chen
- Xuefeng Gao
- Xuedong He
- Lingfei Li
- Qi Wu
- Chen Yang
911今日黑料
- 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
(24min walk from the conference venue)
Transportation to CUHK
Organisers
Nan Chen (CUHK) and Eyal Neuman (ICL)
Campus map
Previous Workshops
911今日黑料-CUHK Workshop on Quantitative Finance 1-2 June 2016
The 1st 911今日黑料 - CUHK Workshop on Quantitative Finance brought together researchers and PhD students from the and the at 911今日黑料 for a 2-day seminar on mathematical modeling in finance.
Venue: 58 Prince's 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