9th General AMaMeF Conference

›9:00 (45min)

Recent advances on market making regulation
Mathieu ROSENBAUM

› Amphithéâtre Farabeuf

9:00 - 9:45 (45min)

Recent advances on market making regulation

Amphithéâtre Farabeuf

Mathieu ROSENBAUM

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

›9:45 (30min)

Coffee break

› Salle Marie Curie

9:45 - 10:15 (30min)

Coffee break

Salle Marie Curie

›10:15 (1h30)

Contemporary stochastic volatility modeling: high dimensional, local, rough
Christa CUCHIERO

› Amphithéâtre Farabeuf

10:15 - 11:45 (1h30)

Contemporary stochastic volatility modeling: high dimensional, local, rough

Amphithéâtre Farabeuf

Christa CUCHIERO

› Quadratic Volterra processes and multivariate stochastic (rough) volatility models - Eduardo Abi jaber, Ecole Polytechnique 10:15-10:45 (30min)

› The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach - Julien Guyon, NYU Courant, Columbia University, Bloomberg 10:45-11:15 (30min)

› Deep Learning Volatility - Blanka Horvath, King's College London 11:15-11:45 (30min)

›10:15 (1h30)

Option pricing and hedging

› Salle des thèses

10:15 - 11:45 (1h30)

Option pricing and hedging

Salle des thèses

› Static and semi-static hedging as contrarian or conformist bets - Levendorskii Sergei, Calico Science Consulting 10:15-10:45 (30min)

› Accounting Noise and the Pricing of CoCos - Peter Spreij, University of Amsterdam 10:45-11:15 (30min)

› Optimal Hedging in a Discrete Time Multi-Asset Incomplete Market - Victoria Steblovskaya, Bentley University 11:15-11:45 (30min)

›10:15 (2h)

Stochastic analysis and modeling in finance

› Salle Déjerine

10:15 - 12:15 (2h)

Stochastic analysis and modeling in finance

Salle Déjerine

› Modeling the Electricity Demand in the Intraday Market: An SDE Approach - Sema Coskun, University of Kaiserslautern (TUK) 10:15-10:45 (30min)

› Correlators of polynomial processes - Silvia Lavagnini, Center of Mathematics for Applications [Oslo] 10:45-11:15 (30min)

› A semigroup approach to nonlinear Lévy processes - Max Nendel, Center for Mathematical Economics, Bielefeld University 11:15-11:45 (30min)

› Representation theorem for Itô-Markov Additive Processes and completeness of the market - Anna Sulima, Wrocław University of Economics 11:45-12:15 (30min)

›12:15 (1h45)

Lunch

› Salle Marie Curie

12:15 - 14:00 (1h45)

Lunch

Salle Marie Curie

›12:15 (1h45)

Poster

› Central area

12:15 - 14:00 (1h45)

Poster

Central area

› A Refined Measure of Conditional Maximum Drawdown - Damiano Rossello, Department of Economics and Business 12:15-14:00 (1h45)

› CDS Central Counterparty Clearing Liquidation: Road to Recovery or Invitation to Predation? - Magdalena Tywoniuk, University of Geneva and Swiss Finance Institute, University of Geneva and Swiss Finance Institute 12:15-14:00 (1h45)

› Inhomogeneous change of time for Markov chains and its properties - Zofia Michalik, University of Warsaw 12:15-14:00 (1h45)

› Performance-Based Estimation of Issuer Margins Priced in Structured Financial Products - Sebastian Wessels, University of Hagen 12:15-14:00 (1h45)

› Super-replication in illiquid markets – semi-static approach - Agnieszka Rygiel, Cracow University of Economics 12:15-14:00 (1h45)

› The reparametrization trick for State-space Bayesian inference in high dimensions. A Python package. - Mattia Bolzoni, Università degli Studi di Milano-Bicocca 12:15-14:00 (1h45)

›14:00 (45min)

Martingale random fields in time change models, the role of information in optimal portfolio problems
Giulia DI NUNNO

› Amphithéâtre Farabeuf

14:00 - 14:45 (45min)

Martingale random fields in time change models, the role of information in optimal portfolio problems

Amphithéâtre Farabeuf

Giulia DI NUNNO

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

›15:00 (1h30)

McKean Vlasov equations and Mean Field games in Finance
Xin GUO

› Amphithéâtre Farabeuf

15:00 - 16:30 (1h30)

McKean Vlasov equations and Mean Field games in Finance

Amphithéâtre Farabeuf

Xin GUO

› Nonzero-sum stochastic games with impulse controls - Haoyang Cao, UC Berkeley 15:00-15:30 (30min)

› Fluctuations in finite state many player games - Asaf Cohen, University of Michigan 15:30-16:00 (30min)

› A neural network approach to calibration of local stochastic volatility models - Christa Cuchiero, Vienna University of Economics and Business 16:00-16:30 (30min)

›15:00 (1h30)

Credit risk and interest rate modeling

› Salle des thèses

15:00 - 16:30 (1h30)

Credit risk and interest rate modeling

Salle des thèses

› Martingale representation in credit risk modelling - Anna Aksamit, The University of Sydney 15:00-15:30 (30min)

› Term Structure Modeling for Multiple Curves with Stochastic Discontinuities - Claudio Fontana, University of Padova 15:30-16:00 (30min)

› Interbank credit risk modelling with self-exciting jump process - Charles Njike, UCLouvain - Donatien Hainaut, UCLouvain 16:00-16:30 (30min)

›15:00 (1h30)

Portfolio optimisation II

› Salle Déjerine

15:00 - 16:30 (1h30)

Portfolio optimisation II

Salle Déjerine

› Optimal Converge Trading with Unobservable Pricing Errors - Suhan Altay, Vienna University of Economics and Business 15:00-15:30 (30min)

› Portfolio selection with higher-order moments: A target-distribution approach - Nathan Lassance, Louvain Finance, UCLouvain 15:30-16:00 (30min)

› Single-Family Houses Portfolio Optimization under Impact of Large Investors in Housing Markets - Bilgi Yılmaz, Institute of Applied Mathematics, METU, Ankara 16:00-16:30 (30min)

›16:30 (30min)

Coffee break

› Salle Marie Curie

16:30 - 17:00 (30min)

Coffee break

Salle Marie Curie

›17:00 (45min)

Robust forecast evaluation of expected shortfall
Johanna ZIEGEL

› Amphithéâtre Farabeuf

17:00 - 17:45 (45min)

Robust forecast evaluation of expected shortfall

Amphithéâtre Farabeuf

Johanna ZIEGEL

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