Plenary Speakers

De Genaro
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