Entrance hall of the ICMS Workshop

At the Frontiers of Quantitative Finance

Jun 27, 2016 - Jun 30, 2016

ICMS, 15 South College Street

Organisers

Name Institution
Gatheral, Jim Baruch College
Jacquier, Antoine Imperial College
Rosenbaum, Mathieu Universite Pierre et Marie Curie
Teichmann, Josef ETH Zurich

This workshop will focus on new approaches to volatility modelling, robust hedging and pricing, market microstructure, and asymptotic methods.

It will be structured around a limited number of plenary talks by world-leading experts, from both academia and industry, with a few additional related contributed talks. The goal of this four-day event is to facilitate discussions on  current trends in quantitative finance, and to highlight potential directions for future research.


Arrangements

It is anticipated that the workshop will begin with registration on Monday morning 27 June and close at lunchtime on Thursday 30 June 2016.   Please take these timings into account when booking your travel. A free afternoon is planned for Wednesday 29 June.

Participation 

Participation is by invitation only.  All invitations for this workshop have now been issued by ICMS.

If you wish to attend or present a contributed talk (students’ talks are also welcome), please email a.jacquier @ imperial.ac.uk BEFORE Friday 12 February 2016 indicating your name, affiliation, position, together with a title and an abstract. Please indicate whether you would be willing to give a Flash Talk. We shall confirm acceptance soon after. (Partial) funding is available for speakers on request.

Venue and Talks

The workshop will be held at 15 South College Street, Edinburgh.  You may also find this map useful for the workshop.  All lectures will be held in the Newhaven Lecture Theatre.    The Lecture Theatre is equipped with a data projector, computer, visualiser (the new generation of overhead projectors) and two blackboards.  The projector and one board may be used simultaneously.  It is best to bring your presentation on a memory stick to use in our ICMS computer.   Alternatively, it is possible for you to use your own laptop with our dataprojector, but please be aware that you may have to alter your laptop resolutions/settings. 

UK Visas

If you are travelling from overseas you may require an entry visa. A European visa does not guarantee entry to the UK. Please use this link to the UK Visas site to find out if you need a visa and if so how to apply for one.

Travel

Information about travel to the UK and Edinburgh is available here.  Please note that it is your responsibility to have adequate travel insurance to cover medical and other emergencies that may occur on your trip.

A taxi directly from the airport will cost approximately 20.00 GBP to the city centre for a one-way journey.     There is also a bus service direct from the airport to the city centre which will cost 4.50 single or 7.50 GBP return - the Airlink 100.  This is a frequent service (every 10 minutes during peak times) and will bring you close to Waverley Railway Station and the workshop venue. 

Lothian buses charge £1.60 for a single, £4.00 for a day ticket. Please note that the exact fare is required and no change is given.

If travelling by train, please note that Edinburgh has several railway stations; Waverley Railway Station being the main station and closest to the workshop venue at 15 South College Street. If you alight at Edinburgh Waverley, the meeting venue is an easy 10 minute walk over North and South Bridge.  The other railway stations are Haymarket and Edinburgh Park but please note that these stations are at the West End of the city centre.

Accommodation 

ICMS will organise accommodation for all invited participants.

Catering

The workshop grant will cover refreshments throughout the event, lunch on Monday and Tuesday , an informal wine reception on Monday evening and the workshop dinner on Tuesday evening.   

Wireless Access

Access to wifi via Eduroam is available throughout the building. If you are not registered with Eduroam you will be given instructions and a code for accessing the wireless network.  For those without laptops, there will also be a couple of computers available for you to check your emails.  


Programme

Please note that this is a Provisional Programme and may be subject to alteration.


Monday 27 June

08:45-09:30

Registration & Tea/Coffee in the Chapterhouse, Level 1

09:30-10:20

Chris Rogers (University of Cambridge)
Combining Different Models
pdf of presentation

10:20-10:45

Stefano De Marco (Ecole Polytechnique)
Asymptotics and calibration for American
pdf of presentation

10:45-10:50

Sergey Badikov (Imperial College London)
Infinite-dimensional linear programming and robust hedging of contingent claims
pdf of presentation

10:50-11:30

Tea/Coffee in the Chapterhouse, Level 1

11:30-12:10

Mikko Pakkanen (Imperial College London)
Rough volatility: empirical evidence and efficient simulation methods
pdf of presentation

12:10-12:30

Tai-Ho Wang (Baruch College, CUNY )
Probability density of the lognormal fractional SABR model

12:30-13:10

Philipp Harms (University of Freiburg )
A Markovian perspective on fractional volatility models
pdf of presentation

13:10-15:00

Lunch in the Chapterhouse, Level 1

15:00-15:50

David Hobson (University of Warwick)
On the value of being American
pdf of presentation

15:50-16:15

Sigrid Kallblad (Ecole Polytechnique)
Model-independent bounds for Asian options: a dynamic programming approach

16:15-16:45

Tea/Coffee in the Chapterhouse, Level 1

15:45-17:10

Anna Aksamit (University of Oxford)
Quantification of an additional information in robust framework
pdf of presentation

17:10-17:15

Lukas Gonon (ETH Zürich)
Using Moser's trick to construct martingales with prescribed marginal laws
pdf of presentation

17:15-17:20

Jose Pasos (London School of Economics)
Irreversible capacity expansion with possible default
pdf of presentation

17:30-18:30

Informal wine reception in the Chapterhouse, Level 1

 

Tuesday 28 June

09:30-10:20

Masaaki Fukasawa (Osaka University)
Hedging under endogenous market impac
pdf of presentation

10:20-10:45

Simona Sanfelici (University of Parma)
Factors identification of stochastic volatility models under microstructure effects
pdf of presentation

10:45-10:50

Yiyi Zou (Dauphine University)
Almost-hedging with permanent impact

10:50-10:55

Maxime Morariu-Patrichi (Imperial College London)
Limit order book modelling with point processes

10:55-11:30

Tea/Coffee in the Chapterhouse, Level 1

11:30-12:20

Maria-Elvira Mancino (University of Firenze)
A bridge between global and local volatility estimation methods
pdf of presentation

12:20-12:25

Ivo Mihaylov (Imperial College London)
A class of approximate Greek weights: high-order schemes and extrapolation techniques
pdf of presentation

12:25-14:30

Lunch in the Chapterhouse, Level 1

14:30-15:20

Peter Friz (TU Berlin)
Option Pricing in the moderate deviations regime
pdf of presentation

15:20-16:10

Peter Tankov (University Paris Diderot - Paris 7)
Optimal importance sampling for L'evy processes
pdf of presentation

16:10-16:15

Junwei Xu (London School of Economics)
Optimal liquidation in an Almgren-Chriss type model with L'evy processes and finite time horizons
pdf of presentation

16:15-16:45

Tea/Coffee in the Chapterhouse, Level 1

16:45-17:35

Artur Sepp (Julius Baer)
Log-normal stochastic volatility model: affine decomposition of moment generating function and pricing of vanilla options

17:35-18:00

Damien Ackerer (Swiss Finance Institute)
The Jacobi stochastic volatility model
pdf of presentation

18:00-18:50

Claude Martini (Zeliade Systems )
3 computations on SSVI

pdf of presentation

20:00

Workshop Dinner at Blonde Restaurant, 75 St. Leonard's Street, Edinburgh

 

Wednesday 29 June

09:30-10:20

Christa Cuchiero (University of Vienna)
Aspects of stochastic portfolio theory and polynomial processes
pdf of presentation

10:20-11:10

Johannes Ruf (University College London)
Some remarks on functionally generated portfolios
pdf of presentation

11:10-11:30

Tea/Coffee in the Chapterhouse, Level 1

11:30-12:20

Mykhaylo Shkolnikov (Princeton University)
A random surface description of the capital distribution in large markets
pdf of presentation

12:20-12:45

Gonçalo dos Reis (University of Edinburgh)
Directional and Malliavin derivative of path-dependent functionals

12:45-12:50

Chloe Lacombe (Imperial College London)
On the tails of the forward smile
pdf of presentation

12:50-12:55

David Krief (University Paris 7)
An asymptotic approach for the pricing of options on realized variance
pdf of presentation

13:00

Free afternoon (Please note no lunch will be provided)

 

Thursday 30 June

09:30-10:20

Emmanuel Gobet (Ecole Polytechnique)
Backward resampling of Euler schemes
pdf of presentation

10:20-10:45

Lukasz Szpruch (University of Edinburgh)
Multilevel Monte Carlo for McKean-Vlasov SDEs
pdf of presentation

10:45-11:15

Tea/Coffee in the Chapterhouse, Level 1

11:15-11:55

Blanka Horvath (Imperial College London)
Asymptotic expansions for fractional stochastic volatility models

11:55-12:00

Henry Stone (Imperial College London)
Large deviations for the rough Bergomi model
pdf of presentation

12:00-12:50

Jean-Pierre Fouque (UCSB)
Systemic risk and stochastic games with delay
pdf of presentation

13:00

Close of workshop

Presentations:

Presentation Details
Kallblad, Sigrid
Model - independent bounds for Asian options: a dynamic programming approach
View Abstract Down
Ackerer, Damien
The Jacobi stochastic volatility model
View Abstract Down
Aksamit, Anna
Quantification of an additional information in robust framework
View Abstract Down
Badikov, Sergey
Infinite-dimensional linear programming and robust hedging of contingent claims
View Abstract Down
Cuchiero, Christa
Aspects of stochastic portfolio theory and polynomial processes
View Abstract Down
De Marco, Stefano
Asymptotics and calibration for American options
View Abstract Down
dos Reis, Gonçalo
Directional and Malliavin derivative of path-dependent functionals
View Abstract Down
Fouque, Jean-Pierre
Systemic risk and stochastic games with delay
View Abstract Down
Friz, Peter
Option pricing in the moderate deviations regime
View Abstract Down
Fukasawa, Masaaki
Hedging under endogenous market impact
View Abstract Down
Gobet, Emmanuel
Backward resampling of Euler schemes
View Abstract Down
Gonon, Lukas
Using Moser's trick to construct martingales with prescribed marginal laws
View Abstract Down
Harms, Philipp
A Markovian perspective on fractional volatility models
View Abstract Down
Hobson, David
On the value of being American
View Abstract Down
Horvath, Blanka
Asymptotic expansions for fractional stochastic volatility models
View Abstract Down
Krief, David
An asymptotic approach for the pricing of options on realized variance
View Abstract Down
Lacombe, Chloe
On the tails of the forward smile
View Abstract Down
Mancino, Maria-Elvira
A bridge between global and local volatility estimation methods
View Abstract Down
Martini, Claude
3 computations on SSVI
View Abstract Down
Mihaylov, Ivo
A class of approximate Greek weights: high-order schemes and extrapolation techniques
View Abstract Down
Morariu-Patrichi, Maxime
Limit order book modelling with point processes
View Abstract Down
Pakkanen, Mikko
Rough volatility: empirical evidence and efficient simulation methods
View Abstract Down
Pasos, Jose
Irreversible capacity expansion with possible default
View Abstract Down
Rogers, Chris
Combining different models
View Abstract Down
Ruf, Johannes
Some remarks on functionally generated portfolios
View Abstract Down
Sanfelici, Simona
Factors identification of stochastic volatility models under microstructure effects
View Abstract Down
Shkolnikov, Mykhaylo
A random surface description of the capital distribution in large markets
View Abstract Down
Stone, Henry
Large deviations for the rough bergomi model
View Abstract Down
Szpruch, Lukasz
Multilevel Monte Carlo for McKean-Vlasov SDEs
View Abstract Down
Tankov, Peter
Optimal importance sampling for levy processes
View Abstract Down
Wang, Tai-Ho
Probability density of the lognormal fractional SABR model
View Abstract Down
Xu, Junwei
Optimal liquidation in an Almgren-Chriss type model with L'evy processes and finite time horizons
View Abstract Down
Zou, Yiyi
Almost-hedging with permanent impact
View Abstract Down

Participants

Name Institution
Kallblad, Sigrid Ecole Polytechnique
Ackerer, Damien Swiss Finance Institute
Aksamit, Anna University of Oxford
Badikov, Sergey Imperial College London
Cuchiero, Christa University of Vienna
De Marco, Stefano Ecole Polytechnique
dos Reis, Gonçalo University of Edinburgh
Fouque, Jean-Pierre University of California, Santa Barbara
Friz, Peter TU Berlin
Fukasawa, Masaaki Osaka University
Gatheral, Jim Baruch College
Gobet, Emmanuel Ecole Polytechnique
Gonon, Lukas ETH Zürich
Harms, Philipp University of Freiburg
Hobson, David University of Warwick
Horvath, Blanka Imperial College London
Jacquier, Antoine Imperial College
Krief, David University Paris Diderot - Paris 7
Lacombe, Chloe Imperial College London
Mancino, Maria-Elvira University of Firenze
Martini, Claude Zeliade Systems
Mihaylov, Ivo Imperial College London
Morariu-Patrichi, Maxime Imperial College London
Neuenkirch, Andreas University of Mannheim
Pakkanen, Mikko Imperial College London
Pasos, Jose London School of Economics
Rogers, Chris University of Cambridge
Rosenbaum, Mathieu Universite Pierre et Marie Curie
Ruf, Johannes University College London
Sabanis, Sotirios University of Edinburgh
Sanfelici, Simona University of Parma
Shkolnikov, Mykhaylo Princeton University
Stone, Henry Imperial College London
Szpruch, Lukasz University of Edinburgh
Tankov, Peter University Paris Diderot - Paris 7
Teichmann, Josef ETH Zurich
Wang, Tai-Ho Baruch College, CUNY
Xu, Junwei London School of Economics
Zou, Yiyi Dauphine University