Scientific Organiser
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Jim Gatheral, Baruch College
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Antoine Jacquier, Imperial College
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Mathieu Rosenbaum, Universite Pierre et Marie Curie
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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
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Stefano De Marco, Ecole Polytechnique - Asymptotics and Calibration for American
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Sergey Badikov, Imperial College London - Infinite-Dimensional Linear Programming and Robust Hedging of Contingent Claims
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Mykhaylo Shkolnikov, Princeton University - A Random Surface Description of the Capital Distribution in Large Markets
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Gonçalo dos Reis, University of Edinburgh - Directional and Malliavin Derivative of Path-Dependent Functionals
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Chloe Lacombe, Imperial College London - On the Tails of the Forward Smile
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David Krief, University Paris 7 - An Asymptotic Approach for the Pricing of Options on Realized Variance
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Emmanuel Gobet, Ecole Polytechnique - Backward Resampling of Euler Schemes
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Tai-Ho Wang, Baruch College - Probability Density of the Lognormal Fractional SABR Model
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Philipp Harms, University of Freiburg - A Markovian Perspective on Fractional Volatility Models
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David Hobson, University of Warwick -On the Value of Being American
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Sigrid Kallblad, Ecole Polytechnique - Model-Independent Bounds for Asian Options
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Anna Aksamit, University of Oxford - Quantification of an Additional Information in Robust Framework
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Blanka Horvath, Imperial College London - Asymptotic Expansions for Fractional Stochastic Volatility Models
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Junwei Xu, London School of Economics - Optimal Liquidation in an Almgren-Chriss Type Model with L'Evy Processes and Finite Time Horizons
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Jose Pasos, London School of Economics - Irreversible Capacity Expansion with Possible Default
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Lukas Gono, ETH Zürich - Using Moser's Trick to Construct Martingales with Prescribed Marginal Laws
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Simona Sanfelici, University of Parma - Factors Identification of Stochastic Volatility Models Under Microstructure Effects
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Ivo Mihaylov, Imperial College London - A Class of Approximate Greek Weights
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Masaaki Fukasawa, Osaka University - Hedging Under Endogenous Market Impact
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Henry Stone, Imperial College London - Large Deviations for the Rough Bergomi Model
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Yiyi Zou, Dauphine University - Almost-Hedging with Permanent Impact
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Christa Cuchier, University of Vienna - Aspects of Stochastic Portfolio Theory and Polynomial Processes
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Maxime Morariu-Patrichi, Imperial College London - Limit Order Book Modelling with Point Processes
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Damien Ackerer, Swiss Finance Institute - The Jacobi Stochastic Volatility Model
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Peter Friz, TU Berlin - Option Pricing in the Moderate Deviations Regime
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Artur Sepp, Julius Baer - Log-Normal Stochastic Volatility Model
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Lukasz Szpruch, University of Edinburgh - Multilevel Monte Carlo for McKean-Vlasov SDEs
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Claude Martini, Zeliade Systems - 3 Computations on SSVI
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Johannes Ruf, University College London - Some Remarks on Functionally Generated Portfolios
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Peter Tankov, University Paris Diderot - Optimal Importance Sampling for L'Evy Processes