Advances in Financial Mathematics

Irrelevance of expected shortfall and VaR for tail-risk traders with s-shaped utility

Damiano Brigo

Revenue ratio of a mining strategy on a public blockchain

Cyril Grunspan

Coffee break

New Trends

› 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 11:00-11:25 (25min)

› The Alpha-Heston stochastic volatility model - Ying Jiao, Lyon I 11:25-11:50 (25min)

› Recover Dynamic Utility from Observable Process: Application to the economic equilibrium - Mohamed Mrad, Université Paris 13 11:50-12:15 (25min)

› Mean-field Langevin system, optimal control and deep neural network - Zhenjie Ren, Paris Dauphine University 12:15-12:40 (25min)

Lunch break (make your own plan)

Practioners

› TBA - Pierre Henry-Labordère, SGCIB 14:45-15:20 (35min)

› Dynamic of a SSVI smile and implied volatility bubbles - Claude Martini, Zeliade Systems 15:20-15:55 (35min)

› 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 (35min)

Coffee break

Practioners

› Fast pricing and non linear interpolation in high dimension - Olivier Croissant, Natixis 17:00-17:35 (35min)

Conference Dinner

Au Père Louis, 38 Rue Monsieur Le Prince, Paris