Imperial College, London, 1-2 June 2016

The 1st Imperial - CUHK Workshop on Quantitative Finance brings together researchers and PhD students from the the Department of  Systems Engineering at The Chinese University of Hong Kong (CUHK) and the Mathematical Finance group at Imperial College London for a 2-day seminar on mathematical modeling in finance.

 Venue: 58 Prince's Gate

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

Workshop Timetables

Wednesday 1st June 2016

 08:45-09:00  Registration
 09:00-09:10  Opening Remarks
 09:10-10:00  Duan LI   CUHK Self-Coordination in Time-Inconsistent Control: A Planner-Doer Game Framework
 10:00-10:50  Thomas CASS  IC Gaussian rough path analysis and a Stratonovich-to-Skorohod conversion formula
 10:50-11:20  Break
 11:20-11:50  Eric SCHAANNING  IC Fire Sales and Price-Mediated Contagion: a Threshold Model for Systemic Stress Testing
 11:50-12:20  Longjie JIA  IC Dynamic portfolio optimization with looping contagion risk
 12:20-14:00  Lunch Break
 14:00-14:50  Lingfei LI  CUHK Error Analysis of Finite Difference and Markov Chain Approximations for Option Pricing with Non-Smooth Payoffs
 14:50-15:40  Justin SIRIGNANO  IC Deep Learning for Limit Order Books
 15:40-16:10  Break
 16:10-17:00  Qi WU  CUHK Diversification of Portfolio Tail Risk
 17:00-17:30  Moving to LT 139 in Huxley for Finance and Stochastic Seminar by Archill GULISASHVILI
 17:30-18:30  Archill GULISASHVILI Ohio University Sharp large deviations, homogenization for time-averages of squared OU, options on realised variance
Wednesday 1st June 2016

Thursday 2nd June 2016

 09:00-09:50 Mikko PAKKANEN  IC Simulating rough stochastic processes using a hybrid scheme
09:50-10:40 Xuefeng GAO  CUHK Limit theorems for Markovian Hawkes processes with a large initial intensity
10:40-11:10 Break    
11:10-11:40 Sergey BADIKOV  IC No-Arbitrage bounds for the forward smile given marginals
11:40-12:10 Hao LIU  IC Optimal Liquidation Strategy in a Limit Order Book for Large Tick Stocks
12:10-13:50 Lunch Break    
13:50-14:40 Blanka HORVATH  IC The SABR Decade Revisited
14:40-15:30 Martjin PISTORIUS  IC On dynamic portfolio allocation under spectral risk measures
15:30-16:00 Closing Remarks & Break    
Thursday 2nd June 2016