Plenary Speakers
Sara Biagini (LUISS)
Title: Climate risk mitigation via carbon markets: accounting for the lifespan of GHGs
Agostino Capponi (Columbia University)
Title: Data-Driven Dynamic Factor Modeling via Diffusion Maps
Samuel Cohen (University of Oxford)
Title: Generalization and control with mean-field neural networks
Christa Cuchiero (University of Vienna)
Title: Data-driven Heath-Jarrow-Morton models
Bruno Dupire (Bloomberg)
Title: Some Financial Applications of the Functional Itô Calculus
Peter Tankov (ENSAE)
Title: Linear programming approach to mean-field games: recent developements and applications in economics and finance
Xunyu Zhou (Columbia University)
Title: Data-Driven Merton's Strategies via Policy Randomization
Invited Sessions
Credit Risk, Interest Rates, and XVA
Stéphane Crépey (Université Paris Cité, France)
Title: Darwinian model risk and HVA
Claudio Fontana (University of Padova, Italy)
Title: Real-world models for multiple term structures: aunifying HJM framework
Frédéric Vrins (Louvain School of Management, Belgium)
Title: Recovery Rates: Insights from Machine Learning
Financial Mathematics of Climate Change and Energy Transition
Giorgia Callegaro (University of Padova, Italy)
Title: Continuous-time persuasion by filtering
Olivier Feron (EDF, France)
Title: Optimal Incentives for electricity flexibility
Rüdiger Frey (Vienna University of Economics and Business, Austria)
Title: Strategic Focus or Technological Neutrality? Choosing the Right Mix of Green Investment and Carbon Capture and Storage Research in a Budget Constraint World
Actuarial Mathematics
Zbigniew Palmowski (Wrocław University of Science and Technology, Poland)
Title: Fluctuations of Omega-killed level-dependent spectrally negative Lévy processes and the probability of bankruptcy
Silvana Pesenti (University of Toronto, Canada)
Title: Marginal Fairness: from Fair Predictions to Fair Decisions
Thorsten Schmidt (University of Freiburg, Germany)
Title: Insurance-finance markets
Many Player Games and Applications
Roxana Dumitrescu (ENSAE, France)
Title: Multi-scale mean-field games
Renyuan Xu (New York University, USA)
Title: Mean-field Schrödinger bridge for generative AI: relaxed formulation and convergence
Federico Cannerozzi (University of Milan, Italy)
Title: Social planner optima and Nash equilibria in stationary MFGs of singular controls
Rough Finance
Francesca Primavera (UC Berkeley, USA)
Title: Functional Itô-formula and Taylor expansions for non-anticipative maps of càdlàg rough paths
John Armstrong (King's College London, UK)
Title: Robustness of Gamma Hedging
Mathieu Rosenbaum (École Polytechnique, France)
Title: Volatility and order flow: a tale of two fractional Brownian motion
(Martingale) Optimal Transport in Finance
Ivan Guo (Monash University, Australia)
Title: Robust pricing-hedging dualities for American options in continuous time
Johannes Wiesel (Carnegie Mellon University, USA)
Title: Bounding adapted Wasserstein metrics
Alessandro Doldi (University of Milan, Italy)
Title: Collective arbitrage and (martingale) optimal transport
Reinforcement Learning
Xin Guo (UC Berkeley, USA)
Title: Fast Policy Learning for Linear Quadratic Control with Entropy Regularization and Transfer Learning
Luhao Zhang (Columbia University, USA)
Title: Optimal Sequential Hypothesis Testing with Costly Information Acquisition
Huyen Pham (École Polytechnique, France)
Title: Bridging Schrödinger and Bass for generative modeling
Knightian Uncertainty in Finance
Steven Vanduffel (Solvay Brussels School, Belgium)
Title: Optimal life-contingent payoffs: a peer to peer solution
Jaroslav Borovička (New York University, USA)
Title: Robust Bounds on Optimal Tax Progressivity
Patrick Beissner (Australian National University, Australia)
Title: Belief Efficiency in Markets
Dynamic Contract Theory
Emma Hubert (Princeton University, USA)
Title: A new approach to principal-agent problems with volatility control
Dylan Possamaï (ETH Zürich, Switzerland)
Title: Moral hazard Stackelberg games and all that
Thibaut Mastrolia (UC Berkeley, USA)
Title: Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets