9th General AMaMeF Conference

Registration and Welcome

Opening

On the asymptotic optimality of the comb strategy for prediction with expert advice

Amphithéâtre Farabeuf

Erhan BAYRAKTAR

https://9amamef.sciencesconf.org/data/program/274543.pdf

Coffee break

Salle Marie Curie

Robust methods for pricing and hedging

Amphithéâtre Farabeuf

Pietro SIORPAES

› Randomization in the robust superhedging duality with frictions - Matteo Burzoni, ETH Zurich 10:30-11:00 (30min)

› No-arbitrage with multiple-priors in discrete time - Laurence Carassus, Laboratoire de Mathématiques de Reims, Research Center Pôle Léonard de Vinci 11:00-11:30 (30min)

› Sensitivity analysis of robust optimisation problems - Johannes Wiesel, University of Oxford 11:30-12:00 (30min)

Stochastic and rough volatility

Salle des thèses

› Small-time and large-time smile behaviour for the rough Heston model - Stefan Gerhold, Technische Universität Wien 10:30-11:00 (30min)

› « Fast calibration of the Libor Market Model with Jacobi Stochastic Volatility » - Sophian MEHALLA, Centre dÉnseignement et de Recherche en Mathématiques et Calcul Scientifique 11:00-11:30 (30min)

› Model Risk in a Rough World - David Shkel, University of Hagen [Allemagne] 11:30-12:00 (30min)

Statistical finance

Salle Déjerine

› Selfsimilarity and stationarity in financial time series: estimating Hurst exponents and making predictions - Matthieu Garcin, Leonard de Vinci, Pole universitaire 10:30-11:00 (30min)

› On-line parameter estimation for state space model - Jian He, Universiteit van Amsterdam 11:00-11:30 (30min)

› Hedging option contracts with locally weighted regression, functional data analysis, and Markov chain Monte Carlo techniques - Jae Yun JUN KIM, ECE Paris 11:30-12:00 (30min)

› Finite Mixture Approximation of CARMA(p,q) model - Lorenzo Mercuri, University of Milan 12:00-12:30 (30min)

Lunch

Salle Marie Curie

Functional data analysis in finance

Amphithéâtre Farabeuf

Robert STELZER

› Non-stationary functional time series: an application to electricity supply and demand - Michael Eichler, Maastricht University 14:00-14:30 (30min)

› Infinite-Dimensional Time Series, Common and Idiosyncratic Components - Marco Lippi, Einaudi Institute for Economics and Finance, Rome 14:30-15:00 (30min)

Stochastic control in finance and insurance

Salle des thèses

› On a Model for the Optimal Management of Inflation - Giorgio Ferrari, Center for Mathematical Economics, Bielefeld University 14:00-14:30 (30min)

› An Optimal Consumption Problem with Regimes and Memory - Emel Savku, Ecole Polytechnique, CMAP 14:30-15:00 (30min)

› Mortality Options: The point of view of the Insurer - Maren Diane Schmeck, IMW, Bielefeld University 15:00-15:30 (30min)

CVA/XVA/CCP

Salle Déjerine

› Systemic Risk and Central Clearing Counterparty Design - Hamed Amini, Georgia State University 14:00-14:30 (30min)

› CVA and vulnerable options in stochastic volatility models - Fabio Antonelli, University of L'Aquila 14:30-15:00 (30min)

› Funding Adjustments in Equity Linear Products - Andrea Pallavicini, Department of Mathematics [Imperial College London] 15:00-15:30 (30min)

Coffee break

Salle Marie Curie

Machine learning in finance

Amphithéâtre Farabeuf

Rama CONT

› Disentangling and quantifying market participant volatility contributions - Emmanuel Bacry, University Paris Dauphine 16:00-16:30 (30min)

› Gaussian Process Regression for CVA Computations - Stéphane Crepey, University Evry 16:30-17:00 (30min)

› Deep learning for stochastic control problems - Côme Huré, Université Paris Diderot - Paris 7, laboratoire de probabilites, statistique et modélisation 17:00-17:30 (30min)

Portfolio optimization I

Salle des thèses

› Utility maximization under time change - Asma Khedher, Univeristy of Amsterdam 16:00-16:30 (30min)

› Solving quadratic optimisation problems without information - Martin Schweizer, ETH Zurich 16:30-17:00 (30min)

› Construction of discrete time shadow price - inductive direct approach - Lukasz Stettner, Institute of Mathematics - Polish Academy of Sciences 17:00-17:30 (30min)

Credit risk

Salle Déjerine

› Dynamic hedging of CDS index options in Markov chain models - Alexander Herbertsson, University of Gothenburg 16:00-16:30 (30min)

› Time consistent evaluation of credit risk with contagion - John-John Ketelbuters, Université Catholique de Louvain 16:30-17:00 (30min)

› Delta-Gamma Approximation for the Credit-Valuation-Adjustment of a vanilla Option - Yves RAKOTONDRATSIMBA, ECE Paris 17:00-17:30 (30min)

Optimal Reduction of Public Debt under Partial Observation of the Economic Growth

Amphithéâtre Farabeuf

Giorgia CALLEGARO

https://9amamef.sciencesconf.org/data/program/274546.pdf

Cocktail reception

Salle Marie Curie

Detailed schedule