Imperial College London, 27-29 March 2017

The 5th Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich, the Mathematical Finance Section at Imperial College London and the CFM-Imperial Institute of Quantitative Finance for a 3-day seminar on new research developments in stochastic analysis and mathematical modeling in finance.

 

Monday 27th March 2017

10:30-10:40 Rama CONT and Josef TEICHMANN    Registration & Welcome 
10:40-11:30 Peter FRIZ TU Berlin Aspects of Rough Volatility
11:30-12:10 Aitor MUGURUZA IC On VIX Futures Under Rough Bergomi
12:10-13:40 Lunch Break
13:40-14:20 David PROMEL ETH Rough Path Metrics on a Besov-Nikolskii Type Scale
14:20-15:00 Rama CONT IC Functional Calculus and Controlled Rough Paths
15:00-15:30 Coffee & Cakes
15:30-16:10 Martin LARSSON ETH The Characteristic Function of Affine Volterra Processes
16:10-16:50 Martin WEIDNER IC Global Solutions of Rough Differential Equations on Manifolds
17:00-18:00 Drinks 

 


Tuesday 28th March 2017

09:00-09:40 Patrick CHERIDITO ETH Variable Annuities with High Water Mark Withdrawal Benefit
09:40-10:20 Raphael BENICHOU CFM Agnostic Risk Parity: Taming Known and Unknown-Unknowns
10:20-10:50 Coffee Break
10:50-11:30 Thomas KRABICHLER ETH The Jarrow & Turnbull Setting Revisited
11:30-12:10 Aditi DANDAPANI ETH The Effect of Initial Englargement of the Filtration on the Martingale Property
12:10-13:40 Lunch Break
13:40-14:20 Eyal NEUMAN  IC Incorporating Signals into Optimal Trading
14:20-15:00 Marvin MUELLER ETH A Limit Order Book Model with Mean Reversion
15:00-15:40  Francesco CAPPONI  IC Latent Liquidity and Price Impact
15:40-16:10 Coffee & Cakes
16:10-16:50 Ibrahim EKREN ETH Portfolio Choice with Permanent and Temporary Transaction Costs
16:50-17:30 Iacopo MASTROMATTEO CFM Trading Lightly: Cross-Impact and Optimal Portfolio Execution
17:30-18:10 Ariel NEUFELD ETH Super-replication in Fully Incomplete Markets
19:00 Workshop Dinner

 


Wednesday 29th March 2017

09:10-09:50 Josef TEICHMANN ETH Hawkes Process Lifts and Rough Heston Models
09:50-10:30 Mikko PAKKANEN IC Decoupling the Short and Long-Term Behavior of Stochastic Volatility
10:30-11:00 Coffee Break
11:00-11:40 Lukas GONON ETH Filtering Affine Processes with Riccati Equations
11:40-12:20 Marco FRANCISCHELLO IC Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
12:20-14:00 Lunch Break

Due to capacity, this event is for the attendance of Mathematical Finance Research Groups from Imperial College London and ETH Zurich only.

To view previous years events please click here