Past Imperial-ETH Meetings:

Past Imperial-ETH Meetings:

Imperial-ETH 2016

ETH Zurich, 26-28 September 2016

The 4th Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich and the Mathematical Finance group at Imperial College London for a 3-day seminar on new research developments in the mathematical modeling of financial markets.

Click here to view the 2016 programme

Imperial-ETH 2015

Imperial-ETH Zürich Workshop on Mathematical Finance

Imperial College London, 4-6 March 2015

The 3rd Imperial - ETH Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zürich and the Mathematical Finance group at Imperial College London for a 3-day seminar on new research developments in the mathematical modeling of financial markets.

Presentations' filesto download a PDF. file of a presentation, please click on the title of the talk of interest from the workshop timetables below.

 Venue: The Council Room, 170 Queen’s Gate

This workshop is supported by the CFM - Imperial Institute of Quantitative Finance.

Workshop Timetables:

Wednesday 4th March 2016

09:00-09:45 Rama CONT IC High-frequency trading in limit order markets: stochastic models and hydrodynamic limits (Part1) (pdf.)
09:45-10:15 Thomas CAYE ETH Liquidation with Self-Exciting Price Impact
10:15-10:45 Coffee Break
10:45-11:15 Martin LARSSON ETH Polynomial preserving diffusions on the unit ball (pdf.)
11:15-11:45 Thomas CASS IC Interacting communities with individual preferences: a rough perspective
11:45-12:15 Mario SIKIC ETH Deterministic quadratic hedging and mean variance portfolio optimization
12:15-14:00 Lunch Break
14:00-14:30 Julius BONART CFM-Imperial The price impact of trades: Empirical evidence and recent theoretical developments (pdf.)
14:30-15:00 Ariel NEUFELD ETH Superreplication under Volatility Uncertainty for Measurable Claims (pdf.)
15:00-15:30 Jonathan DONIER CFM Square root law for price impact: empirical evidence and theory (pdf.)
15:30-16:00 Coffee & Cakes
16:00-16:30 Blanka HORVATH ETH Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model (pdf.)
16:30-17:00 Marc POTTERS CFM Covariance matrix cleaning for out-of-sample quadratic optimisation
17:00-17:30 Break - Moving to LT 340 in Huxley Building
17:30-19:00 Antti KNOWLES ETH Random matrix theory and statistical applications 

 


Thursday 5th March 2016

09:00-09:45 Johannes MUHLE-KARBE ETH Optimal Investment and Consumption with Small Transaction Costs (pdf.)
09:45-10:15 Martin GOULD CFM-Imperial Market microstructure in the Foreign Exchange Spot Market (pdf.)
10:15-10:45 Coffee Break
10:45-11:15 Sergey BADIKOV IC Linear programs and robust hedging problems (pdf.)
11:15-11:45 Ren LIU ETH Who Should Sell Stocks? (pdf.)
11:45-12:15 Stephen HARDIMAN CFM The critical market: quantifying reflexivity in financial markets with a Hawkes approach
12:15-14:00 Lunch Break
14:00-14:30 David STEFANOVITS ETH Consistent recalibration of yield curve models (pdf.)
14:30-15:00 Mikko PAKKANEN IC Functional limit theorems for generalized variations of the fractional Brownian sheet (pdf.)
15:00-15:30 Thomas KRABICHLER ETH Interest Rate Theory in the Presence of Multiple Yield Curves – An FX-like Approach (pdf.)
15:30-16:00 Coffee & Cakes
16:00-16:30 Ivo MIHAYLOV IC A class of approximate Greek weights (pdf.)
16:30-17:00 Sebastian HERMANN ETH Hedging under small volatility uncertainty
17:00-18:00 Break - Moving to Clore Lecture Theatre in Huxley Building
18:00-19:00 Johannes MUHLE-KARBE ETH The London Quantitative Finance Seminar: Trading with Small Price Impact

 


Friday 6th March 2016

09:00-09:45 Rama CONT IC High-frequency trading in limit order markets: stochastic models and hydrodynamic limits (Part 2) (pdf)
09:45-10:15 Josef TEICHMANN ETH Stochastic Analysis with modeled distributions (pdf.)
10:15-10:45 Coffee Break
10:45-11:15 Marcel OGRODNIK IC Tail Estimates for Markovian Rough Paths
11:15-11:45 Danijel ZIVOI ETH Dynamic mean-variance indifference valuation (pdf.)
11:45-12:30 Damiano BRIGO IC Multivariate lack of memory in iterated simulation of default times (pdf.)
12:30-14:00 Lunch Break

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Imperial-ETH 2014

Imperial-ETH Zürich Workshop on Mathematical Finance

ETH Zürich, Rämistrasse 101, Zürich. 7-9 April 2014
 

Monday April 7, 2014

9:00–9:15 Josef TEICHMANN Introduction
9:15–10:00 Ariel NEUFELD Nonlinear Lévy Processes and their Characteristics
10:00–10:30 COFFEE BREAK
10:30–11:15 David STEFANOVITS Model risk in portfolio optimization
11:15–12:00 Jean-François CHASSAGNEUX High-order approximation of BSDEs
12:00–14:00 LUNCH
14:00–14:45 Fernando CORDERO Asymptotic Proportion of Arbitrage Points in Fractional Binary Markets
14:45–15:30 Ivo MIHAYLOV An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
15:30–16:00 COFFEE BREAK
16:00–16:45 Dirk TASCHE Period-to-period estimation of probabilities of default
16:45–17:30 Eamon McMURRAY Smoothing properties of McKean-Vlasov stochastic differential equations

Tuesday April 8, 2014

8:30–9:15 Thomas CASS Constrained rough paths
9:15–10:00 Philipp HARMS Expected Signature of Lévy Processes
10:00–10:30 COFFEE BREAK
10:30–11:15 Martijn PISTORIUS Optimal Dividend Distribution in the Presence of a Penalty
11:15–12:00 Andrea GRANELLI Modelling the variance risk premium of equity indices: the role of dependence and contagion
12:00–14:00 LUNCH
14:00–14:45 Valeria BIGNOZZI How superadditive can a risk measure be?
14:45–15:30 Martin HERDEGEN Economically consistent valuation for incomplete markets with bubbles
15:30–16:00 COFFEE BREAK
16:00–16:45 Blanka HORVATH A Generalized Feller Property for SABR
16:45–17:30 Antoine JACQUIER Shapes of implied volatility with positive mass at zero
17:30–18:15 Leif DÖRING Time-changed SABR
19:00 DINNER

Wednesday April 9, 2014

8:45–9:45 Antti KNOWLES On the principal components of sample covariance matrices
9:45–10:30 Philippe DEPREZ Poisson Heterogeneous Random-Connection Model
10:30–11:00 COFFEE BREAK
11:00–12:00 Rama CONT Functional Kolmogorov equations
 
12:00–12:45 Pierre BLACQUE-FLORENTIN Functional calculus and representation formulas for discontinuous martingales
12:45–14:15 LUNCH
14:15–16:00 Discussion

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Imperial-ETH 2013

Imperial-ETH Workshop on New Directions in Mathematical Finance

Imperial College, London, 6-7 March 2013

The First ETH Zurich-Imperial College Workshop on Mathematical Finance brings together researchers and PhD students from the Department of Mathematics at ETH Zurich and the Mathematical Finance group at Imperial College London for a 2-day seminar on new research developments in the mathematical modeling of financial markets. 

This workshop is sponsored by the Imperial College London Mathematics Platform Grant (EP/I019111/1) and the Department of Mathematics, ETH Zurich.

VENUE: Imperial College, 170 Queens Gate, South Kensington.

Programme

Wednesday March 6, 2013

8:55–9:00 Rama CONT Introduction
9:00–9:45 Mete SONER Martingale optimal transport
and robust hedging
9:45–10:15 Albert ALTAROVICI Asymptotics with Fixed Costs
10:15–10:45 COFFEE BREAK
10:45–11:30 Rama CONT Pathwise functional calculus and robust
hedging of path-dependent derivatives
11:30–12:15 Thomas CASS Gaussian concentration inequalities,
rough paths and applications in finance
12:15–12:45 Xin DONG Existence of intensity process for a
structural model with jumps
12:45–14:15 LUNCH BREAK
14:15–15:00 Josef TEICHMANN Robust calibration
15:00–15:30 Oleg REICHMANN Efficient option pricing for time-inhomogeneous models
15:30–16:00 COFFEE & CAKES
16:00–16:30 Patrick ROOME Asymptotics of forward implied volatility
16:30–17:00 Anja RICHTER Stochastic evolution of the volatility surface
17:00–17:30 Nicoletta GABRIELLI Affine processes from a different perspective

Thursday March 7, 2013

9:00–9:45 Mark DAVIS On Quantitative risk management and P-measure
9:45–10:15 Eric SCHAANNING Measuring extreme dependence: CoVaR
10:15–10:45 COFFEE BREAK
10:45–11:30 Martijn PISTORIUS Consistent valuations based on distorted expectations
11:30–12:00 Martin HERDEGEN No-arbitrage in a numéraire-independent
modelling framework
12:00–12:30 Ren LIU Portfolio selection with small transaction costs and binding portfolio constraints
12:30–14:00 LUNCH  
14:00–14:45 Damiano BRIGO Funding, collateral and hedging: the
illusory CVA/FVA decomposition
14:45–15:15 David STEFANOVITS Hedging of long term liabilities in a bond market model with reinvestment risks
15:15–15:45 COFFEE & CAKES
15:45–16:30 Dan CRISAN BSDEs and smoothness of solutions
for degenerate semilinear PDEs
16:30–17:00 Ludovic MOREAU Stochastic target games
17:00–17:30 Johannes STOLTE Simulation of a Lévy process, its running maximum
and its occupation time
17:30–18:00 BREAK
18:00–19:00 Paul EMBRECHTS London Quantitative Finance Seminar :
Model uncertainty and Risk Aggregation
(Clore Lecture Theatre, 180 Queens Gate)

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