Invited Speakers

Andrea Macrina (University College London)
Term Risk

Beatrice Acciaio (London School of Economics)
Learning Dynamic Generative Models via Causal Optimal Transport

Bruno Dupire (Bloomberg & New York University)
The Perils of Parameterization

Carole Bernard (Grenoble Ecole de Management & Vrije Universiteit Brussel)
A Model-Free Approach to Multivariate Option Pricing

Diogo Duarte (Florida International University)
Endogenous Asymmetric Money Illusion

Ernst Eberlein (Universität Freiburg)
Variable annuities in a Lévy-based hybrid model with surrender risk

Julien Guyon (Bloomberg, Columbia University & NYU)
The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach

Lakshithe Wagalath (IÉSEG School of Management)
Risk management for whales

Lane Hughston (Goldsmiths College, University of London)
Lévy-Ito Models in Finance

Marco Frittelli (Università degli Studi di Milano)
Multivariate Systemic Optimal Risk Transfer Equilibrium

Martino Grasselli (Università di Padova & Pôle Universitaire Léonard de Vinci)
Functional and recursive quantization for a class of non markovian processes

Matheus Grasselli (McMaster University)
A Minimal Mathematical Model for Modern Monetary Theory

Max Souza (Universidade Federal Fluminense)
Assessing volatility and model risks in optimal execution

Mohammad Fesanghary (Bloomberg, USA)
Short-Term Prediction of Major Price Movements and Corporate Actions Using Data-Driven Insights

Raphael Douady (Université Paris I – Sorbonne)
Managing the Downside of Active and Passive Strategies: Convexity and Fragilities

René Aïd (Université Paris IX)
Optimal electricity demand response contracting with responsiveness incentives

Ryan Donnelly (King’s College London)
Insider Trading with Activism and Residual Risk

Stefano de Marco (École Polytechnique)
Calibration of stochastic volatility models to Vanillas as a martingale Schrodinger problem

Stéphane Crépey (Université Evry Val-d’Essonne)
Deep XVA Analysis

Teemu Pennanen (King’s College London)
Convex duality in nonlinear optimal transport

William F. Shadwick (Omega Analysis Limited)
Geometry, Differential Invariants and Improved Tail Risk Measurement

*To be confirmed