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
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