Invited Speakers
Carole
Bernard (Grenoble Ecole de Management & Vrije Universiteit Brussel)
Option Implied Dependence
Guillaume Blacher (Bank of America)
Fixed Point Method for Fast Smile Calibration of Hybrid Model
Giorgio Consigli (Università degli Studi di Bergamo)
Derivatives-based Portfolio Management via Multistage Stochastic Programming
Stephane Crépey (Université Evry Val d´Essonne)
Uncertainty Quantification for XVA Applications
Raphael Douady (SUNY Stony Brook)
Regime Switching Market Evolution and Calibration, Relations to Polymodels
Bruno Dupire (Bloomberg, USA)
25 years of Local Volatility and 10 years of Functional Itô calculus
Ernst Eberlein (Universität Freiburg)
Multiple Curve Lévy Forward Price Model Allowing for Negative Interest Rates
Jean-Pierre Fouque (University of California)
On Fairness of Systemic Risk Measures
Jim Gatheral (Baruch College)
Diamonds and the rough Heston model
Martino Grasselli (Padova University, Italy & Devinci Research Center, France)
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
Matheus Grasselli (McMaster University, Canada)
Climate Change, Finance, and Macroeconomics
Julien Guyon (Bloomberg, USA)
On the Joint Calibration of SPX and VIX Options
Lane Hughston (Goldsmiths College, University of London, UK)
On the Determination of the Lévy Exponent in Asset Pricing Models
Sebastian Jaimungal (Univ. of Toronto)
Mean Field Games with Differing Beliefs for Algorithmic Trading
Jan Obloj (University of Oxford)
Robust Pricing and Hedging in Practice
Teemu Pennanen (King’s College London)
Double auctions in welfare economics
Alberto Pinto (University of Porto, Portugal)
Implications of International Trade Agreements
Yuri Saporito (FGV)
On Dupire’s Itô functional calculus
Antoine Savine (Danske Bank Copenhagen)
The influence of Bruno Dupire on derivatives markets
Uwe Schmock (Vienna University of Technology)
Geometry of Distribution-Constrained Optimal Stopping Problems
Martin Schweizer (ETH Zürich)
Dynamic Mean-variance Optimization Problems with Deterministic Information
Max Souza (UFF)
Pricing options with non-uniform Fourier transform
Josef Teichmann (ETH Zürich)
Scenario Generation by Machine Learning Techniques
Lakshithe Wagalath (IÉSEG, France)
Strategic Fire-Sales and Price-Mediated Contagion in the Banking System
Jorge Zubelli (IMPA)
On Dupire’s Local Volatility Model
