14-17 Jan 2020 Paris (France)

Planning

Tuesday, January 14, 2020

Time Event  
09:00 - 09:45 TBA - Mathieu Rosenbaum  
09:45 - 10:30 A generic construction for high order approximation schemes of semigroups using random grids - Aurélien Alfonsi  
10:30 - 11:00 Coffee break  
11:00 - 12:40 Computational Finance & Advanced Numerics  
11:00 - 11:25 › TBA - Jean-François Chassagneux, Université Paris Diderot  
11:25 - 11:50 › Pricing of Bermudan and American options in high dimensional Markovian and non-Markovian models - Ludovic Goudenège, CNRS  
11:50 - 12:15 › General multilevel Monte Carlo methods for pricing discretely monitored Asian options - Nabil Kahale, ESCP  
12:15 - 12:40 › Neural network regression for Bermudan option pricing - Jérôme Lelong, Université Grenoble Alpes  
15:00 - 15:45 Deep neural networks, generic universal interpolation and controlled differential equations - Christa Cuchiero  
15:45 - 16:30 Deep optimal stopping - Patrick Cheridito  
16:30 - 17:00 Break  
17:00 - 18:30 Flash Talks  
17:00 - 17:10 › How to design a derivatives market? - Bastien Baldacci, Ecole Polytechnique  
17:10 - 17:20 › A synthetic model for Asset-Liability Management and Analysis of the SCR with the standard formula - Adel Cherchali, ENPC  
17:20 - 17:30 › Jacobi volatility process for Libor Market model - Sophian Mehalla, ENPC  
17:30 - 17:40 › Meta-model of a large credit risk portfolio in the Gaussian copula model - Florian Bourgey, Ecole Polytechnique  
17:40 - 17:50 › Dynamic Default Contagion: From Eiseinberg--Noe to the Mean Field - Andreas Sojmark, Imperial College  
17:50 - 18:00 › Additive normal tempered stable processes for equity derivatives and power law scaling - Michele Azzone, PhD Candidate  
18:30 - 20:30 Cocktail dinner - Cocktail dinner  

Wednesday, January 15, 2020

Time Event  
09:00 - 09:45 TBA - Antoine Jacquier  
09:45 - 10:30 Term structure models with stochastic discontinuities - Zorana Grbac  
10:30 - 11:00 Coffee break  
11:00 - 12:40 Advanced Modeling  
11:00 - 11:25 › A weak solution theory for stochastic Volterra equations of convolution type - Eduardo Abi Jaber, Université Paris I  
11:25 - 11:50 › Multiple yield curve modeling via CBI processes - Claudio Fontana, University of Padova  
11:50 - 12:15 › Optimal Auction Duration: a Price Formation Point of View. - Thibaut Mastrolia, Centre de Mathématiques Appliquées - Ecole Polytechnique  
12:15 - 12:40 › Pricing American options in the rough Heston model - Sergio Pulido, ENSIIE  
15:00 - 15:45 Quenched mass transport of particles towards a target - Idris Kharroubi  
15:45 - 16:30 Mean-field Markov decision processes with common noise and open-loop controls - Huyên Pham  
16:30 - 17:00 Coffee break  
17:00 - 18:00 Flash Talks  
17:00 - 17:10 › Conditional Monte Carlo Learning for diffusions - Babacar Diallo, Sorbonne Université  
17:10 - 17:20 › Approximation of McKean-Vlasov equations by derivation in the Wasserstein spce - Alvin Tse, ENPC  
17:20 - 17:30 › Approximation of Optimal Transport problems with marginal moments constraints - Rafael Coyaud, ENPC  
17:30 - 17:40 › A new family of one dimensional martingale couplings - William Margheriti, ENPC  
17:40 - 17:50 › Viscosity solutions for McKean-Vlasov optimal control problems - Matteo Burzoni, University of Oxford  
17:50 - 18:00 › Pathwise uniqueness and Large deviations of stochastic Volterra equations  

Thursday, January 16, 2020

Time Event  
09:00 - 09:45 A Theory of FinTech - Steven Kou  
09:45 - 10:30 Revenue ratio of a mining strategy on a public blockchain - Cyril Grunspan  
10:30 - 11:00 Coffee break  
11:00 - 12:40 New Trends  
11:00 - 11:25 › Modern Market Generators: A short walk though generative models for financial time series and their challenges, applications and pitfalls. - Blanka Horvath, King's College London  
11:25 - 11:50 › The Alpha-Heston stochastic volatility model - Ying Jiao, Lyon I  
11:50 - 12:15 › Recover Dynamic Utility from Observable Process: Application to the economic equilibrium - Mohamed Mrad, Université Paris 13  
12:15 - 12:40 › Mean-field Langevin system, optimal control and deep neural network - Zhenjie Ren, Paris Dauphine University  
14:45 - 16:30 Practioners  
14:45 - 15:20 › Dynamic of a SSVI smile and implied volatility bubbles - Claude Martini, Zeliade Systems  
15:20 - 15:55 › The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach - Julien Guyon, Bloomberg L.P.  
15:55 - 16:30 › TBA - Olivier Croissant, Natixis  
16:30 - 17:00 Coffee break  
17:00 - 18:30 Practioners  
17:00 - 17:35 › TBA - Pierre Henry-Labordère, Natixis  
17:35 - 18:10 › TBA - Lorenzo Bergomi, SGIB  
19:00 - 22:00 Conference Dinner - TBA  

Friday, January 17, 2020

Time Event  
09:00 - 09:45 A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging - Michael Ludkovski  
09:45 - 10:30 All adapted topologies are equal - Mathias Beiglböck  
10:30 - 11:00 Coffee break  
11:00 - 12:40 Model Risk, Robustness and Regulation  
11:00 - 11:25 › Adapted Wasserstein distances and stability in mathematical finance - Julio Backhoff-Veraguas, University of Twente  
11:25 - 11:50 › On pricing rules and optimal strategies in general Kyle-Back models - Albina Danilova, Department of Mathematics London School of Economics  
11:50 - 12:15 › Intergenerational risk sharing in DC pension plan with minimum pension guarantee - Sarah Kaakai, Le Mans University  
12:15 - 12:40 › Calibration of stochastic volatility models as a martingale Schroedinger problem - Stefano De Marco, Ecole Polytechnique  
15:00 - 15:45 Equilibrium Asset Pricing with Frictions - Johannes Muhle-Karbe  
15:45 - 16:30 Irrelevance of expected shortfall and VaR for tail-risk traders with s-shaped utility - Damiano Brigo  
  
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