Past Imperial-ETH Meetings:

Past Imperial-ETH Meetings:

Imperial-ETH 2018

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

4 April 2018

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)


5 April

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


6 April

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

 

 

Imperial-ETH 2017

Imperial College London, 27-29 March 2017

The 5th 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.

 

Monday 27th March 2017

10:30-10:40 Rama CONT and Josef TEICHMANN    Registration & Welcome 
10:40-11:30 Peter FRIZ TU Berlin Aspects of Rough Volatility
11:30-12:10 Aitor MUGURUZA IC On VIX Futures Under Rough Bergomi
12:10-13:40 Lunch Break
13:40-14:20 David PROMEL ETH Rough Path Metrics on a Besov-Nikolskii Type Scale
14:20-15:00 Rama CONT IC Functional Calculus and Controlled Rough Paths
15:00-15:30 Coffee & Cakes
15:30-16:10 Martin LARSSON ETH The Characteristic Function of Affine Volterra Processes
16:10-16:50 Martin WEIDNER IC Global Solutions of Rough Differential Equations on Manifolds
17:00-18:00 Drinks 

 


Tuesday 28th March 2017

09:00-09:40 Patrick CHERIDITO ETH Variable Annuities with High Water Mark Withdrawal Benefit
09:40-10:20 Raphael BENICHOU CFM Agnostic Risk Parity: Taming Known and Unknown-Unknowns
10:20-10:50 Coffee Break
10:50-11:30 Thomas KRABICHLER ETH The Jarrow & Turnbull Setting Revisited
11:30-12:10 Aditi DANDAPANI ETH The Effect of Initial Englargement of the Filtration on the Martingale Property
12:10-13:40 Lunch Break
13:40-14:20 Eyal NEUMAN  IC Incorporating Signals into Optimal Trading
14:20-15:00 Marvin MUELLER ETH A Limit Order Book Model with Mean Reversion
15:00-15:40 Iacopo MASTROMATTEO  CFM Trading Lightly: Cross-Impact and Optimal Portfolio Execution
15:40-16:10 Coffee & Cakes
16:10-16:50 Ibrahim EKREN ETH Portfolio Choice with Permanent and Temporary Transaction Costs
16:50-17:30 Francesco CAPPONI IC Latent Liquidity and Price Impact
17:30-18:10 Ariel NEUFELD ETH Super-replication in Fully Incomplete Markets
19:00 Workshop Dinner

 


Wednesday 29th March 2017

09:10-09:50 Josef TEICHMANN ETH Hawkes Process Lifts and Rough Heston Models
09:50-10:30 Mikko PAKKANEN IC Decoupling the Short and Long-Term Behavior of Stochastic Volatility
10:30-11:00 Coffee Break
11:00-11:40 Lukas GONON ETH Filtering Affine Processes with Riccati Equations
11:40-12:20 Marco FRANCISCHELLO IC Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
12:20-14:00 Lunch Break

Due to capacity, this event is for the attendance of Mathematical Finance Research Groups from Imperial College London and ETH Zurich only.

To view previous years events please click here

Imperial-ETH 2016

ETH Zurich, 26-28 September 2016

The 4th Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich and the Mathematical Finance group at Imperial College London for a 3-day seminar on new research developments in the mathematical modeling of financial markets.

Click here to view the 2016 programme

Imperial-ETH 2015

Imperial-ETH Zürich Workshop on Mathematical Finance

Imperial College London, 4-6 March 2015

The 3rd Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zürich and the Mathematical Finance group at Imperial College London for a 3-day seminar on new research developments in the mathematical modeling of financial markets.

Presentations' filesto download a PDF. file of a presentation, please click on the title of the talk of interest from the workshop timetables below.

 Venue: The Council Room, 170 Queen’s Gate

This workshop is supported by the CFM - Imperial Institute of Quantitative Finance.

Workshop Timetables:

Wednesday 4th March 2016

09:00-09:45 Rama CONT IC High-frequency trading in limit order markets (PDF): stochastic models and hydrodynamic limits (Part 1)
09:45-10:15 Thomas CAYE ETH Liquidation with Self-Exciting Price Impact
10:15-10:45 Coffee Break
10:45-11:15 Martin LARSSON ETH Polynomial preserving diffusions on the unit ball (PDF)
11:15-11:45 Thomas CASS IC Interacting communities with individual preferences: a rough perspective
11:45-12:15 Mario SIKIC ETH Deterministic quadratic hedging and mean variance portfolio optimization
12:15-14:00 Lunch Break
14:00-14:30 Julius BONART CFM-Imperial The price impact of trades (PDF): Empirical evidence and recent theoretical developments
14:30-15:00 Ariel NEUFELD ETH Superreplication under Volatility Uncertainty for Measurable Claims (PDF)
15:00-15:30 Jonathan DONIER CFM Square root law for price impact: empirical evidence and theory (PDF)
15:30-16:00 Coffee & Cakes
16:00-16:30 Blanka HORVATH ETH Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model (PDF)
16:30-17:00 Marc POTTERS CFM Covariance matrix cleaning for out-of-sample quadratic optimisation
17:00-17:30 Break - Moving to LT 340 in Huxley Building
17:30-19:00 Antti KNOWLES ETH Random matrix theory and statistical applications 

 


Thursday 5th March 2016

09:00-09:45 Johannes MUHLE-KARBE ETH Optimal Investment and Consumption with Small Transaction Costs (PDF)
09:45-10:15 Martin GOULD CFM-Imperial Market microstructure in the Foreign Exchange Spot Market (PDF)
10:15-10:45 Coffee Break
10:45-11:15 Sergey BADIKOV IC Linear programs and robust hedging problems (PDF)
11:15-11:45 Ren LIU ETH Who Should Sell Stocks? (PDF)
11:45-12:15 Stephen HARDIMAN CFM The critical market: quantifying reflexivity in financial markets with a Hawkes approach
12:15-14:00 Lunch Break
14:00-14:30 David STEFANOVITS ETH Consistent recalibration of yield curve models (PDF)
14:30-15:00 Mikko PAKKANEN IC Functional limit theorems for generalized variations of the fractional Brownian sheet (PDF)
15:00-15:30 Thomas KRABICHLER ETH Interest Rate Theory in the Presence of Multiple Yield Curves (PDF) – An FX-like Approach
15:30-16:00 Coffee & Cakes
16:00-16:30 Ivo MIHAYLOV IC A class of approximate Greek weights (PDF)
16:30-17:00 Sebastian HERMANN ETH Hedging under small volatility uncertainty
17:00-18:00 Break - Moving to Clore Lecture Theatre in Huxley Building
18:00-19:00 Johannes MUHLE-KARBE ETH The London Quantitative Finance Seminar: Trading with Small Price Impact

 


Friday 6th March 2016

09:00-09:45 Rama CONT IC High-frequency trading in limit order markets - Part 2 (PDF): stochastic models and hydrodynamic limits
09:45-10:15 Josef TEICHMANN ETH Stochastic Analysis with modeled distributions (PDF)
10:15-10:45 Coffee Break
10:45-11:15 Marcel OGRODNIK IC Tail Estimates for Markovian Rough Paths
11:15-11:45 Danijel ZIVOI ETH Dynamic mean-variance indifference valuation (PDF)
11:45-12:30 Damiano BRIGO IC Multivariate lack of memory in iterated simulation of default times (PDF)
12:30-14:00 Lunch Break

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Imperial-ETH 2014

Imperial-ETH Zürich Workshop on Mathematical Finance

ETH Zürich, Rämistrasse 101, Zürich. 7-9 April 2014
 

Monday April 7, 2014

9:00–9:15 Josef TEICHMANN Introduction
9:15–10:00 Ariel NEUFELD Nonlinear Lévy Processes and their Characteristics
10:00–10:30 COFFEE BREAK
10:30–11:15 David STEFANOVITS Model risk in portfolio optimization
11:15–12:00 Jean-François CHASSAGNEUX High-order approximation of BSDEs
12:00–14:00 LUNCH
14:00–14:45 Fernando CORDERO Asymptotic Proportion of Arbitrage Points in Fractional Binary Markets
14:45–15:30 Ivo MIHAYLOV An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
15:30–16:00 COFFEE BREAK
16:00–16:45 Dirk TASCHE Period-to-period estimation of probabilities of default
16:45–17:30 Eamon McMURRAY Smoothing properties of McKean-Vlasov stochastic differential equations

Tuesday April 8, 2014

8:30–9:15 Thomas CASS Constrained rough paths
9:15–10:00 Philipp HARMS Expected Signature of Lévy Processes
10:00–10:30 COFFEE BREAK
10:30–11:15 Martijn PISTORIUS Optimal Dividend Distribution in the Presence of a Penalty
11:15–12:00 Andrea GRANELLI Modelling the variance risk premium of equity indices: the role of dependence and contagion
12:00–14:00 LUNCH
14:00–14:45 Valeria BIGNOZZI How superadditive can a risk measure be?
14:45–15:30 Martin HERDEGEN Economically consistent valuation for incomplete markets with bubbles
15:30–16:00 COFFEE BREAK
16:00–16:45 Blanka HORVATH A Generalized Feller Property for SABR
16:45–17:30 Antoine JACQUIER Shapes of implied volatility with positive mass at zero
17:30–18:15 Leif DÖRING Time-changed SABR
19:00 DINNER

Wednesday April 9, 2014

8:45–9:45 Antti KNOWLES On the principal components of sample covariance matrices
9:45–10:30 Philippe DEPREZ Poisson Heterogeneous Random-Connection Model
10:30–11:00 COFFEE BREAK
11:00–12:00 Rama CONT Functional Kolmogorov equations
 
12:00–12:45 Pierre BLACQUE-FLORENTIN Functional calculus and representation formulas for discontinuous martingales
12:45–14:15 LUNCH
14:15–16:00 Discussion

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Imperial-ETH 2013

Imperial-ETH Workshop on New Directions in Mathematical Finance

Imperial College, London, 6-7 March 2013

The First ETH Zurich-Imperial College Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich and the Mathematical Finance group at Imperial College London for a 2-day seminar on new research developments in the mathematical modeling of financial markets. 

This workshop is sponsored by the Imperial College London Mathematics Platform Grant (EP/I019111/1) and the Department of Mathematics, ETH Zurich.

VENUE: Imperial College, 170 Queens Gate, South Kensington.

Programme

Wednesday March 6, 2013

8:55–9:00 Rama CONT Introduction
9:00–9:45 Mete SONER Martingale optimal transport
and robust hedging
9:45–10:15 Albert ALTAROVICI Asymptotics with Fixed Costs
10:15–10:45 COFFEE BREAK
10:45–11:30 Rama CONT Pathwise functional calculus and robust
hedging of path-dependent derivatives
11:30–12:15 Thomas CASS Gaussian concentration inequalities,
rough paths and applications in finance
12:15–12:45 Xin DONG Existence of intensity process for a
structural model with jumps
12:45–14:15 LUNCH BREAK
14:15–15:00 Josef TEICHMANN Robust calibration
15:00–15:30 Oleg REICHMANN Efficient option pricing for time-inhomogeneous models
15:30–16:00 COFFEE & CAKES
16:00–16:30 Patrick ROOME Asymptotics of forward implied volatility
16:30–17:00 Anja RICHTER Stochastic evolution of the volatility surface
17:00–17:30 Nicoletta GABRIELLI Affine processes from a different perspective

Thursday March 7, 2013

9:00–9:45 Mark DAVIS On Quantitative risk management and P-measure
9:45–10:15 Eric SCHAANNING Measuring extreme dependence: CoVaR
10:15–10:45 COFFEE BREAK
10:45–11:30 Martijn PISTORIUS Consistent valuations based on distorted expectations
11:30–12:00 Martin HERDEGEN No-arbitrage in a numéraire-independent
modelling framework
12:00–12:30 Ren LIU Portfolio selection with small transaction costs and binding portfolio constraints
12:30–14:00 LUNCH  
14:00–14:45 Damiano BRIGO Funding, collateral and hedging: the
illusory CVA/FVA decomposition
14:45–15:15 David STEFANOVITS Hedging of long term liabilities in a bond market model with reinvestment risks
15:15–15:45 COFFEE & CAKES
15:45–16:30 Dan CRISAN BSDEs and smoothness of solutions
for degenerate semilinear PDEs
16:30–17:00 Ludovic MOREAU Stochastic target games
17:00–17:30 Johannes STOLTE Simulation of a Lévy process, its running maximum
and its occupation time
17:30–18:00 BREAK
18:00–19:00 Paul EMBRECHTS London Quantitative Finance Seminar :
Model uncertainty and Risk Aggregation
(Clore Lecture Theatre, 180 Queens Gate)

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