Plenary Speakers
Alan
De Genaro (FGV & EAESP)
Pricing contingent rights in Football
Alberto Pinto (Universidade do Porto)
Dynamics of fake news
Andrea Macrina (University College London)
Quantile Diffusions
Antoine Savine (Danske Bank)
Differential Machine Learning
Beatrice Acciaio (ETH Zürich)
Model-independence in a fixed-income market and weak optimal transport
Blanka Horvath (Imperial College London)
A Data-Driven Market Simulator for Small Data Environments
Bruno Dupire (Bloomberg)
The Beauty and Power of Forward Equations
Carole Bernard (Vrije Universiteit Brussel)
Improving multi-asset allocation via cost-efficient strategies
Chris Rogers (University of Cambridge)
Things we think we know
Emmanuel Gobet (École Polytechnique)
Weak Approximations and Vix Option Prices Expansions in Rough Forward Variances Models
Ernst Eberlein (Universität Freiburg)
A Multiple Curve Lévy Swap Market Model
George Papanicolaou (Stanford University)
A study of principal eigenportfolios for US equities
Gyorgy Varga (FCE Consulting)
On the FITTING of the Term Structure Short-End
Jan Obloj (University of Oxford)
Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Jean-Pierre Fouque (University of California)
Reinforcement learning for mean field games and mean field control problems
Jim Gatheral (Baruch College)
Diamond trees and the forest expansion
Josef Teichmann (ETH Zürich)
Semi-martingale Signatures
Julien Guyon (Bloomberg)
VIX-constrained Schrödinger bridges: joint calibration of SPX and VIX smiles with continuous stochastic volatility models
Lane Hughston (Goldsmiths University of London)
Pricing with Variance Gamma Information
Luciano Castro (IMPA)
Portfolio Selection in Quantile Decision Models
Marco Avellaneda (NYU Courant)
A Brief History of CORE
Marco Frittelli (Università degli Studi di Milano)
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
Martin Schweizer (ETH Zürich)
A new look at absence of arbitrage
Martino Grasselli (Università di Padova & DVRC Paris La Defense)
Smile Modelling for Exchange-Traded Products on Futures Strategies
Matheus Grasselli (McMaster University)
Monetary policy responses to Covid-19: a comparison with the 2008 crisis and implications for the future of central banking
Nizar Touzi (École Polytechnique)
Is there a Golden Parachute in Sannikov’s principal-agent problem?
Peter Tankov (École Polytechnique)
Price formation and optimal trading in intraday electricity markets
Rama Cont (University of Oxford)
Excursions in Mathematical Finance
Raphael Douady (Stony Brook University)
SABR Type Stochastic Volatily Operator in Hilbert Space
Roger Lee (University of Chicago)
Optimal Trading: a Filtering Approach with Explicit Solutions
Sebastian Jaimungal (University of Toronto)
A Mean-Field Game Approach to Equilibrium Pricing in Renewable Energy Certificate Markets
Stéphane Crépey (Université de Paris)
Deep XVA Analysis
Teemu Pennanen (King’s College London)
Convex stochastic optimization
*To be confirmed
