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CFM-Imperial Quantitative Finance seminar archive

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Event
Workshop

Mon 3 April 2023 – Tue 4 April 2023, 9.00–18.00 BST

Second Workshop on Machine learning for PDEs

Translation and Innovation Hub (I-HUB), White City Campus

Event
Seminar

Tue 31 January 2023, 14.00–15.00 GMT

Cecilia Aubrun: Multivariate Quadratic Hawkes to Model Price Changes in Financial Time Series

Huxley Building, South Kensington Campus

Event
Seminar

Tue 24 January 2023, 14.00–15.00 GMT

Alexander Barzykin: Market-Making by a Foreign Exchange Dealer

Huxley Building, South Kensington Campus

Event
Seminar

Tue 17 January 2023, 14.00–15.00 GMT

Wolfgang Stockinger: Linear Convergence of a Policy Gradient Method for Finite Horizon Continuous Time Stochastic Control Problems

Huxley Building, South Kensington Campus

Event
Seminar

Thu 12 January 2023, 13.30–14.30 GMT

Christa Cuchiero: Joint Calibration of SPX and VIX Options with Signature-Based Models

Huxley Building, South Kensington Campus

Event
Seminar

Tue 20 December 2022, 13.30–14.30 GMT

Julio Backhoff: Quantitative Fundamental Theorem of Asset Pricing

Weeks Hall, South Kensington Campus

Event
Seminar

Tue 13 December 2022, 14.30–15.30 GMT

Ioannis Gasteratos: Large Deviations for Slow-Fast Systems Driven by Fractional Brownian Motion

Weeks Hall, South Kensington Campus

Event
Seminar

Tue 13 December 2022, 13.30–14.30 GMT

Andreas Søjmark: Convergence of Stochastic Integrals in Skorokhod Space and some Applications in Finance and Econometrics

Weeks Hall, South Kensington Campus

Martin Keller-Ressel

Event
Seminar

Tue 29 November 2022, 13.30–14.30 GMT

Martin Keller-Ressel: Bartlett’s Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model

Weeks Hall, South Kensington Campus

Event
Seminar

Tue 22 November 2022, 13.30–14.30 GMT

Lukasz Szpruch: Exploration-exploitation trade-off for continuous-time episodic reinforcement learning

Weeks Hall, South Kensington Campus

Event
Seminar

Tue 15 November 2022, 13.30–14.30 GMT

Zi Li: Dynamic Inventory Management with Mean-Field Competition

Weeks Hall, South Kensington Campus

Event
Seminar

Tue 1 November 2022, 13.30–14.30 GMT

Henry Chiu: A model-free approach to continuous-time finance

Weeks Hall, South Kensington Campus

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