CONTACTSRama Cont and Marta Guzzon

4th CFM-Imperial Workshop on Quantitative Finance - Monday 13 June 2016 (Paris)
TimeActivity

09:00 - 09:15

Rama Cont & Jean Philippe Bouchaud 
Registration and Opening remarks
09:15 - 09:45 Adam Rej (CFM)
Optimal Trading with Linear and (small) Non-Linear Costs
09:45 - 10:15  Rama Cont (IC)
Algorithmic Trade Execution and Dynamics of Order Flow
10:15 - 10:45 Michael Benzaquen (CFM)
Unravelling the Trading Invariance Hypothesis
10:45 - 11:15 Coffee Break
11:15 - 11:45 Blanka Horvath (IC)
Robust Methods for the SABR Model and Related Processes                                                               
11:45- 12:15 Felix Patzelt (CFM)
Balancing Information - from Sticks to Speculative Markets
12:15 - 13:45 Lunch Break
13:45 - 14:15 Fabrizio Lillo (SNSP)
Detection of Anomalous Intensity Bursts Using Hawkes Processes: An Application to High Frequency Financial Data
14:15 - 14:45 Lam Dao (CFM)
Tail Protection for Long Investors: Convexity at Work
14:45 - 15:15 Maxime Morariu-Patrichi (IC)
Reduced-Form Limit Order Book Modelling With Point Processes: Some Empirical Considerations  
15:15 - 15:45 Coffee Break
15:45 - 16:15 Marc Abeille (CFM)
Linear Thompson Sampling Revisited
16:15 - 16:45 Martijn Pistorius (IC)
Portfolio Optimisation Under Dynamic Risk Measures
16:45 - 17:00 Closing Remarks
Programme of events

Previous Workshops

1st CFM-Imperial Workshop on Quantitative Finance - Thursday 27 February 2014

 

CONTACTSRama Cont and Marta Guzzon

Programme
TimeActivity

09:20 - 09:30

Rama Cont & Jean Philippe Bouchaud 
Registration and Opening remarks
09:30 - 10:00 Damiano Brigo (Imperial College)
Funding, credit, collateral and hedging: nonlinearities and platonic pricing
10:00 - 10:30 Marc Potters (CFM)
A Random Matrix Bayesian framework for out-of-sample Markowitz optimization
10:30 - 11:00 Coffee Break
11:00 - 11:30 Martijn Pistorius (Imperial College)
Distance to default, inverse first-passage time problems & counterparty credit risk
11:30 - 12:00 Emeric Henry (CFM)
How do trading costs modify Markowitz allocation procedures?
12:00 - 12:30 Jean-François Chassagneaux (Imperial College)
Numerical Solution of Backward Stochastic Differential Equations
12:30 - 14:00 Lunch
14:00 - 14:30 Julien Kockelkoren (CFM)
Statistical modeling of the queue dynamics of large tick stocks
14:30 - 15:00 Antoine Jacquier (Imperial College)
Asymptotic properties of the forward smile
15:00 - 15:30 Rama Cont (Imperial College) 
CloseOut Risk Evaluation: an integrated approach to liquidity and market risk for financial portfolios
15:30 - 16:00 Coffee Break
16:00 - 17:00 Round Table Discussion 
Planning of future activities of the CFM-Imperial Institute
17:00 - 18:00 Free Discussion Time
18:00 - 19:00

THE LONDON QUANTITATIVE FINANCE SEMINAR: Jean-Philippe Bouchaud (CFM) 
Buyers, sellers and high frequency traders: the complex ecology of financial markets

19:00-20:00

Reception

rogramme of events

2nd CFM-Imperial Workshop on Quantitative Finance - Monday 20 October 2014

 

CONTACTSRama Cont and Marta Guzzon

Programme
TimeActivity

09:15 - 09:30

Rama Cont & Jean Philippe Bouchaud 
Registration and Opening remarks
09:30 - 10:00 Dan Crisan (Imperial College)
Asset pricing through competing traders valuations
10:00 - 10:15 Discussion
10:15 -10:45 Emmanuel Serie (CFM)
Market modeling, portfolio constuction and feedback loops
10:45 - 11:00 Discussion
11:00 - 11:30 Coffee Break
11:30 - 12:00 Pierre Degond (Imperial College)
A kinetic theory framework for mean-field games and applications to economics
12:00 - 12:15 Discussion
12:15 - 14:00 Lunch
14:00 - 14:30 Julius Bonart (CFM)
Instabilities in economic network models
14:30 - 14:45 Discussion
14:45 - 15:15 Joachim De Lataillade (CFM)
Optimal trading with Linear Costs
15:15 - 15:30 Discussion
15:30 - 16:00 Coffee Break
16:00 - 16:30 Almut Veraart (Imperial College) 
Trawl processes and applications to high frequency financial data
16:30 - 16:45 Discussion
16:45 - 17:15 Lorenzo De Leo (CFM) 
Smile in the low moments
17:15 - 17:30 Discussion
Programme of events

3rd CFM-Imperial Workshop on Quantitative Finance - Monday 28 September 2015

CONTACTSRama Cont and Marta Guzzon

Programme
TimeActivity

09:15 - 09:30

Rama Cont & Jean Philippe Bouchaud 
Registration and Opening remarks
09:30 - 10:00 Martijn Pistorius (Imperial College)
Market-consistent dynamic spectral risk-measures
10:00 - 10:15 Discussion
10:15 -10:45 Jean Philippe Bouchaud (CFM)
Time reversal assymetry and Generalized Hawkes process
10:45 - 11:00 Discussion
11:00 - 11:30 Coffee Break
11:30 - 12:00 Julius Bonart (CFM-Imperial Institute)
Cancellations and refill: Strategic behaviour of liquidity providers in limit order markets                                                                 
12:00 - 12:15 Discussion
12:15 - 14:00 Lunch
14:00 - 14:30 Stefano Ciliberti (CFM) 
Value, low-volatility, and other behavioral factors
14:30 - 14:45 Discussion
14:45 - 15:15 Martin Gould (CFM-Imperial Institute)
Queue imbalance and one-tick-ahead price prediction   
15:15 - 15:30 Discussion
15:30 - 16:00 Coffee Break
16:00 - 16:30 Joel Bun (CFM)
Estimation of large covariance matrices: theory and applications
16:30 - 16:45 Discussion
16:45 - 17:15 Justin Sirignano (Imperial College)  
Loan Portfolio Risk
17:15 - 17:30 Discussion