9th General AMaMeF Conference

›9:00 (1h30)

High-dimensional computations in finance
Bruno BOUCHARD

› Amphithéâtre Farabeuf

9:00 - 10:30 (1h30)

High-dimensional computations in finance

Amphithéâtre Farabeuf

Bruno BOUCHARD

› TBA - Michael Kupper, University of Konstanz 09:00-09:30 (30min)

› Model-free pricing and hedging in discrete time with rough path signatures - Imanol Perez Arribas, Mathematical Institute [Oxford] 09:30-10:00 (30min)

› Machine Learning for PDEs - xavier warin, EDF Labs 10:00-10:30 (30min)

›9:00 (1h30)

Limit order book and algorithmic trading

› Salle des thèses

9:00 - 10:30 (1h30)

Limit order book and algorithmic trading

Salle des thèses

› Optimal execution with a view on price momentum for transient mutliplicative impact - Dirk Becherer, Humboldt University, Berlin 09:00-09:30 (30min)

› A switching microstructure model for stock prices - Donatien Hainaut, Université Catholique de Louvain 09:30-10:00 (30min)

› A recurrent neural network approach in high-frequency trading - Dragana Radojicic, Technical University of Vienna [Vienna] 10:00-10:30 (30min)

›9:00 (1h30)

Robust finance

› Salle Déjerine

9:00 - 10:30 (1h30)

Robust finance

Salle Déjerine

› Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures - Emanuela Rosazza Gianin, University of Milano-Bicocca 09:00-09:30 (30min)

› MOT Duality and Robust Finance - David Proemel, University of Oxford 09:30-10:00 (30min)

› A Robust Second Order Stochastic Dominance Portfolio Optimization Model - Ruchika Sehgal, Indian Institute of Technology Delhi 10:00-10:30 (30min)

›10:30 (30min)

Coffee break

› Salle Marie Curie

10:30 - 11:00 (30min)

Coffee break

Salle Marie Curie

›11:00 (1h30)

Industry Session: Technology and AI in quantitative finance
Michel CROUHY

› Amphithéâtre Farabeuf

11:00 - 12:30 (1h30)

Industry Session: Technology and AI in quantitative finance

Amphithéâtre Farabeuf

Michel CROUHY

› Machine learning and artificial intelligence for financial markets - Charles-Albert Lehalle, Capital Fund Management 11:00-11:30 (30min)

› Machine Learning Algorithms & Portfolio Optimization - Thierry Roncalli, Amundi Asset Management 11:30-12:00 (30min)

› Tokens on a blockchain: a need for models - Sébastien Choukroun, Price Water Cooper 12:00-12:30 (30min)

›12:30 (1h30)

Lunch

› Salle Marie Curie

12:30 - 14:00 (1h30)

Lunch

Salle Marie Curie

›12:30 (1h30)

Poster

› Central area

12:30 - 14:00 (1h30)

Poster

Central area

› An insider information optimal stopping game - Nikita Merkulov, University of Leeds 12:30-14:00 (1h30)

› Does Superior Forecast Accuracy translate to Trading Profitability? A Study of Nonparametric Volatility Estimators. - Arpita Mukherjee, Department of Economics, Rutgers University (New Brunswick, New Jersey) 12:30-14:00 (1h30)

› Dynamic Pricing In Insurance - Yuqing Zhang, University of Manchester [Manchester] 12:30-14:00 (1h30)

› Near-Optimal Investment Strategies in Incomplete Markets - Thijs Kamma, Department of Quantitative Economics [Maastricht University] 12:30-14:00 (1h30)

› ON MODIFIED COPULA EXPECTED SHORTFALL FOR SUM OF DEPENDENT RANDOM LOSSES - Bony Josaphat, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung 12:30-14:00 (1h30)

› Optimal stopping in a simple model of unemployment insurance - Jason Anquandah, University of Leeds 12:30-14:00 (1h30)

›14:00 (2h)

Numerical and machine learning methods in finance

› Amphithéâtre Farabeuf

14:00 - 16:00 (2h)

Numerical and machine learning methods in finance

Amphithéâtre Farabeuf

› Conditional Monte Carlo Methods under Stochastic Volatility Models - Riccardo Brignone, Università degli Studi di Milano-Bicocca 14:00-14:30 (30min)

› Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning in the Big Data Regime - Ngoc Huy Chau, Alfréd Rényi Institute of Mathematics 14:30-15:00 (30min)

› On the approximation of Levy driven Volterra processes and their integrals - Andrea Fiacco, University of Oslo 15:00-15:30 (30min)

› Randomized Dimension Reduction for Monte Carlo Simulations - Nabil Kahale, ESCP-EAP 15:30-16:00 (30min)

›14:00 (2h)

Equilibrium model

› Salle Déjerine

14:00 - 16:00 (2h)

Equilibrium model

Salle Déjerine

› Pathwise Kyle equilibrium model - Jose Corcuera, Departament de Matematiques i Informatica, Universitat de Barcelona 14:00-14:30 (30min)

› Equilibrium Asset Pricing with Transaction Costs - Martin Herdegen, University of Warwick 14:30-15:00 (30min)

› Aggregation of heterogeneous consistent progressive utilities - Caroline Hillairet, caroline.hillairet@ensae.fr 15:00-15:30 (30min)

› Costly short sales and nonlinear asset pricing - Rodolfo Prieto, INSEAD 15:30-16:00 (30min)

›14:00 (2h)

Risk measure

› Salle des thèses

14:00 - 16:00 (2h)

Risk measure

Salle des thèses

› Risk measures based on benchmark loss distributions - Valeria Bignozzi, University of Milano-Bicocca 14:00-14:30 (30min)

› Risk measures and progressive enlargement of filtrations: a BSDE approach - Alessandro Calvia, University of Milano-Bicocca 14:30-15:00 (30min)

› Intra-Horizon Expected Shortfall and Risk Structure in Models of Jumps - Ludovic Mathys, University of Zurich 15:00-15:30 (30min)

› One the properties of $\La$-quantiles - Ilaria Peri, Department of Economics, Mathematics and Statistics, Birkbeck, University of London 15:30-16:00 (30min)

›16:00 (30min)

Coffee break

› Salle Marie Curie

16:00 - 16:30 (30min)

Coffee break

Salle Marie Curie

›16:30 (45min)

The expressiveness of random dynamical systems
Martin LARSSON

› Amphithéâtre Farabeuf

16:30 - 17:15 (45min)

The expressiveness of random dynamical systems

Amphithéâtre Farabeuf

Martin LARSSON

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

›20:00 (3h)

Dinner cruise on the Seine

20:00 - 23:00 (3h)

Dinner cruise on the Seine