At the Frontiers of Quantitative Finance

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At the Frontiers of Quantitative Finance

 27 - 30 Jun 2016

ICMS, 15 South College Street Edinburgh

Scientific Organiser

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

About:

This workshop focused on new approaches to volatility modelling, robust hedging and pricing, market microstructure, and asymptotic methods. It was 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 was to facilitate discussions on current trends in quantitative finance and to highlight potential directions for future research.

Speakers

  • Stefano De Marco, Ecole Polytechnique - Asymptotics and Calibration for American

  • Sergey Badikov, Imperial College London - Infinite-Dimensional Linear Programming and Robust Hedging of Contingent Claims

  • Mykhaylo Shkolnikov, Princeton University - A Random Surface Description of the Capital Distribution in Large Markets

  • Gonçalo dos Reis, University of Edinburgh - Directional and Malliavin Derivative of Path-Dependent Functionals

  • Chloe Lacombe, Imperial College London - On the Tails of the Forward Smile

  • David Krief, University Paris 7 - An Asymptotic Approach for the Pricing of Options on Realized Variance

  • Emmanuel Gobet, Ecole Polytechnique - Backward Resampling of Euler Schemes

  • Tai-Ho Wang, Baruch College - Probability Density of the Lognormal Fractional SABR Model

  • Philipp Harms, University of Freiburg - A Markovian Perspective on Fractional Volatility Models

  • David Hobson, University of Warwick -On the Value of Being American

  • Sigrid Kallblad, Ecole Polytechnique - Model-Independent Bounds for Asian Options

  • Anna Aksamit, University of Oxford - Quantification of an Additional Information in Robust Framework

  • Blanka Horvath, Imperial College London - Asymptotic Expansions for Fractional Stochastic Volatility Models

  • Junwei Xu, London School of Economics - Optimal Liquidation in an Almgren-Chriss Type Model with L'Evy Processes and Finite Time Horizons

  • Jose Pasos, London School of Economics - Irreversible Capacity Expansion with Possible Default

  • Lukas Gono, ETH Zürich - Using Moser's Trick to Construct Martingales with Prescribed Marginal Laws

  • Simona Sanfelici, University of Parma - Factors Identification of Stochastic Volatility Models Under Microstructure Effects

  • Ivo Mihaylov, Imperial College London - A Class of Approximate Greek Weights

  • Masaaki Fukasawa, Osaka University - Hedging Under Endogenous Market Impact

  • Henry Stone, Imperial College London - Large Deviations for the Rough Bergomi Model

  • Yiyi Zou, Dauphine University - Almost-Hedging with Permanent Impact

  • Christa Cuchier, University of Vienna - Aspects of Stochastic Portfolio Theory and Polynomial Processes

  • Maxime Morariu-Patrichi, Imperial College London - Limit Order Book Modelling with Point Processes

  • Damien Ackerer, Swiss Finance Institute - The Jacobi Stochastic Volatility Model

  • Peter Friz, TU Berlin - Option Pricing in the Moderate Deviations Regime

  • Artur Sepp, Julius Baer - Log-Normal Stochastic Volatility Model

  • Lukasz Szpruch, University of Edinburgh - Multilevel Monte Carlo for McKean-Vlasov SDEs

  • Claude Martini, Zeliade Systems - 3 Computations on SSVI

  • Johannes Ruf, University College London - Some Remarks on Functionally Generated Portfolios

  • Peter Tankov, University Paris Diderot - Optimal Importance Sampling for L'Evy Processes