Planning
Tuesday, January 14, 2020
| Time |
Event |
|
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09:00 - 09:45
|
Super-Heston rough volatility, Zumbach effect and the Guyon's conjecture - Mathieu Rosenbaum |
|
|
09:45 - 10:30
|
A generic construction for high order approximation schemes of semigroups using random grids - Aurélien Alfonsi |
|
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10:30 - 11:00
|
Coffee break |
|
|
11:00 - 12:40
|
Computational Finance & Advanced Numerics |
|
|
11:00 - 11:25 |
› Yet Another learning algorithm for BSDE - Jean-François Chassagneux, Université Paris Diderot |
|
|
11:25 - 11:50 |
› Pricing American options in the rough Heston model - Sergio Pulido, ENSIIE |
|
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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 |
|
|
12:40 - 15:00
|
Lunch break (make your own plan) |
|
|
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
|
Coffee break |
|
|
17:00 - 18:30
|
Flash Talks |
|
|
17:00 - 17:10 |
› Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach - 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 |
|
|
20:00 - 22:00
|
Cocktail dinner - Afaria, 15 rue Desnouettes, Paris |
|
Wednesday, January 15, 2020
| Time |
Event |
|
|
09:00 - 09:45
|
A Theory of FinTech - Steven Kou |
|
|
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 of Bermudan and American options in high dimensional Markovian and non-Markovian models - Ludovic Goudenège, CNRS |
|
|
12:40 - 15:00
|
Lunch break (make your own plan) |
|
|
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 - Alexandre Pannier, Imperial College London |
|
Thursday, January 16, 2020
| Time |
Event |
|
|
09:00 - 09:45
|
Irrelevance of expected shortfall and VaR for tail-risk traders with s-shaped utility - Damiano Brigo |
|
|
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 |
|
|
12:40 - 14:45
|
Lunch break (make your own plan) |
|
|
14:45 - 16:30
|
Practioners |
|
|
14:45 - 15:20 |
› TBA - Pierre Henry-Labordère, SGCIB |
|
|
15:20 - 15:55 |
› Dynamic of a SSVI smile and implied volatility bubbles - Claude Martini, Zeliade Systems |
|
|
15:55 - 16:30 |
› The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach - Julien Guyon, Bloomberg L.P. |
|
|
16:30 - 17:00
|
Coffee break |
|
|
17:00 - 18:30
|
Practioners |
|
|
17:00 - 17:35 |
› Fast pricing and non linear interpolation in high dimension - Olivier Croissant, Natixis |
|
|
20:00 - 22:00
|
Conference Dinner - Au Père Louis,
38 Rue Monsieur Le Prince, Paris |
|
| 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 |
› Intergenerational risk sharing in DC pension plan with minimum pension guarantee - Sarah Kaakai, Le Mans University |
|
|
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 |
› Adapted Wasserstein distances and stability in mathematical finance - Julio Backhoff-Veraguas, University of Twente |
|
|
12:15 - 12:40 |
› Multilevel Monte-Carlo methods and applications to some Initial Margin computations - Stefano De Marco, Ecole Polytechnique |
|
|
12:40 - 15:00
|
Lunch break (make your own plan) |
|
|
15:00 - 15:45
|
Equilibrium Asset Pricing with Frictions - Johannes Muhle-Karbe |
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