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9th General AMaMeF Conference

Paris, June 11-14, 2019


Plenary speakers

Erhan Bayraktar (University of Michigan)

Giorgia Callegaro (University of Padova)

Giulia Di Nunno (University of Oslo) 

Martin Larsson (ETH Zürich)

Johannes Muhle-Karbe (Imperial College London)

Mathieu Rosenbaum (Ecole Polytechnique)

Mihail Zervos (London School of Economics)

Johanna Ziegel (University of Bern)


Invited sessions

Title Organizer / speakers Affiliation Time  
Robust methods for pricing and hedging Pietro Siorpaes  Imperial College London Tues 10:30  
Randomization in the robust superhedging duality with frictions Matteo Burzoni ETH Zürich    
No-arbitrage with multiple-priors in discrete time Laurence Carassus Léonard de Vinci Pôle Universitaire    
Sensitivity analysis of robust optimisation problems Johannes Wiesel University of Oxford    
Functional data analysis in finance Robert Stelzer Ulm University Tues 14:00  
Non-stationary functional time series: an application to electricity supply and demandd Michael Eichler Maastricht University    
Infinite-Dimensional Time Series, Common and Idiosyncratic Components Marco Lippi  Einaudi Institute for Economics and Finance  
A space-time random field model for electricity forward prices Florentina Paraschiv  NTNU Business School    
Machine learning in finance Rama Cont  University of Oxford Tues 16:00  
Disentangling and quantifying market participant volatility contributions Emmanuel Bacry  Université Paris-Dauphine    
Gaussian Process Regression for CVA Computations  Stéphane Crépey Université Evry-Val-D'Essonne    
Deep learning for stochastic control problems Côme Huré Université Paris-Diderot    
Contemporary stochastic volatility modeling: high dimensional, local, rough Christa Cuchiero  University of Vienna Wed 10:15  
Quadratic Volterra processes and multivariate stochastic (rough) volatility models Eduardo Abi Jaber Ecole Polytechnique    
The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained... Julien Guyon Bloomberg    
Deep Learning Volatility Blanka Horvath King's College London    
McKean Vlasov equations and Mean Field games in Finance Xin Guo University of California, Berkeley Wed 15:00  
Nonzero-sum stochastic games with impulse controls Haoyan Cao University of California, Berkeley    
Fluctuations in finite state many player games Asaf Cohen University of Haifa    
A neural network approach to calibration of local stochastic volatility models Christa Cuchiero University of Vienna    
High-dimensional computations in finance Bruno Bouchard Université Paris-Dauphine Thur 9:00  
Computation of homogeneous martingale optimal transport via penalization … Michael Kupper  University of Konstanz    
Model-free pricing and hedging in discrete time with rough path signatures Imanol Perez  University of Oxford    
Machine Learning for PDEs Xavier Warin  EDF R&D    
Optimal transport and convex order for Finance Gilles Pagès Sorbonne Université Fri 10:15  
Entropic approximation of Martingale Optimal Transport and application to … Hadrien de March QantEv    
The inverse transform martingale coupling Benjamin Jourdain  Ecole des Ponts ParisTech    
Structure of martingale transports in Banach spaces Pietro Siorpaes  Imperial College London    
Industry session: Technology and AI in Quantitative Finance Michel Crouhy Natixis Thur 11:00  
Machine Learning and Artificial Intelligence for Financial Markets Charles-Albert Lehalle  CFM    
Machine Learning Algorithms and Portfolio Optimization Thierry Roncalli  Amundi    
Tokens on a blockchain: a need for models Sébastien Choukroun  PwC    


The overall schedule



Each invited or contributed talk lasts 30 minutes, discussion included. 


Book of abstracts 

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