Advances in Financial Mathematics

A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging

Michael Ludkovski

All adapted topologies are equal

Mathias Beiglböck

Coffee break

Model Risk, Robustness and Regulation

› Intergenerational risk sharing in DC pension plan with minimum pension guarantee - Sarah Kaakai, Le Mans University 11:00-11:25 (25min)

› On pricing rules and optimal strategies in general Kyle-Back models - Albina Danilova, Department of Mathematics London School of Economics 11:25-11:50 (25min)

› Adapted Wasserstein distances and stability in mathematical finance - Julio Backhoff-Veraguas, University of Twente 11:50-12:15 (25min)

› Multilevel Monte-Carlo methods and applications to some Initial Margin computations - Stefano De Marco, Ecole Polytechnique 12:15-12:40 (25min)

Lunch break (make your own plan)

Equilibrium Asset Pricing with Frictions

Johannes Muhle-Karbe