ETH Zurich, 4-6 April 2018

The 6th Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich, the Mathematical Finance Section at Imperial College London and the CFM-Imperial Institute of Quantitative Finance for a 3-day seminar on new research developments in stochastic analysis and mathematical modeling in finance.

All the lectures below take place in G5.

Schedule

Wednesday April 4, 2018

All the talks take place in G5

Registration

08:45-08:55


Introduction

08:55-09:00 - Rama CONT | Josef TEICHMANN


Deep optimal stopping

09:00-10:00 - Patrick CHERIDITO (ETH)


Coffee break

10:00-10:30


Fractional Brownian motion with zero Hurst parameter

10:30-11:00 - Eyal NEUMANN (IC)


Turbocharging Monte Carlo pricing for the rough Bergomi model

11:00-11:30 - Mikko PAKKANEN (IC)


Functional central limit theorems for rough volatility models

11:30-12:00 - Aitor MUGURUZA (IC)


A log-normal rough volatility FX framework

12:00-12:30 - Ryan McCRICKERD (IC)


Lunch

12:30-14:00


Deep Hedging

14:00-14:30 - Lukas GONON (ETH)


Chaos decomposition with respect to continuous square-integrable martingales

14:30-15:00 - Arman KHALEDIAN (IC)


Support theorems for path-dependent SDEs

15:00-15:30 - Alexander KALININ (IC)


Pathwise change of variable formulas for weakly differentiable functionals

15:30-16:00 - Anna ANANOVA (IC)


Coffee break

16:00-16:30


Optimal extension to rough paths of Sobolev type

16:30-17:00 - Chong LIU (ETH)


Stochastic Stefan-type Problems

17:00-17:30 - Marvin MÜLLER (ETH)


State constrained optimal control problems: reachability approach

17:30-18:00 - Athena PICARELLI (IC)

Thursday April 5, 2018

 

Information-theoretic limits of approximation through deep neural networks    

9:00–10:00 Helmut BÖLCSKEI (ETH)


Universal featurs of intraday price formation: lessons from Deep Learning

10:00–10:30 - Rama CONT (IC)


COFFEE BREAK

10:30–11:00  


Unified pathwise moderate deviations for stochastic volatility models

11:00-11:30 - Antoine JACQUIER (IC)


Hybrid point processes and limit order book modelling

11:30-12:00 - Maxime MORARIU (IC)


Oscillating between trend and value: insights from an agent-based model 

11:30–12.30 - Adam MAJESWSKI (CFM)


LUNCH

12:30–14:00


Daily Rebalancing of Leveraged ETFs

14:00–14:30 - Chen YANG (ETH)


Discrete dividends in continuous time

14:30–15:00 - Max REPPEN (ETH)


The multivariate Kyle model and cross-impact estimation

15:00–15:30 - Luis GARCIA (CFM)


Trade duration and the square root law of price impact

15:30–16:00 - Francesco CAPPONI (IC)


COFFEE BREAK

16:00–16:30


Elicitability and Identifiability of Measures of Systemic Risk 

16:30–17:00 - Tobias FISSLER (IC)


Quantile-based risk sharing

17:00–18:00 - Paul EMBRECHTS (ETH)


CONFERENCE DINNER

19:00

Friday April 6, 2018

Deep learning, curse of dimensionality, and stochastic approximation algorithms for PDEs

9:00–10:00 - Arnulf JENTZEN (ETH)


Measuring price-mediated contagion and reverse stress testing

10:00 - 10:30 - Eric SCHAANNING


COFFEE BREAK

10:30–11:00


Generalized Feller processes and Markovian lifts    

11:00 - 11:30 - Josef TEICHMANN (ETH)


Short- and long-term relative arbitrage in stochastic portfolio theory

11:30 - 12:30 - Martin LARSSON


LUNCH

12:30 - 14:00