DAY 1: Thursday August 31, 2017

9:30 -12:00 : MINISYMPOSIA ( Room 503 & Clore Lecture Theatre, Huxley Building)

13:20-13:30 Welcome (Rama Cont and Mike Ludkovski)

13:30-14:15 KEYNOTE LECTURE: Mark DAVIS (Imperial College London)

Mathematical Finance: where is it all heading?

14:15 -15:00 Luitgard Veraart (London School of Economics) Systemic Risk Assessment in Financial Networks

15:00 -15:45 Eric Schaanning (Norges Bank, Oslo) Monitoring Systemic Risk: the Indirect Contagion Index

15:45 -16:15 Coffee Break (Maths Common Room, 5th Floor, Huxley Building)

16:15 -17:00 Johanna Ziegel (University of Bern) Higher Order Elicitability of Expected Shortfall

17:00-17:45 Discussion Panel led by Mark DAVIS

The Future of Mathematical Modeling in Finance

Panelists: Paul Bilokon (BNP Paribas/Thalesians Ltd), Rama Cont (Imperial College London)

Teemu Pennanen (King's College London), Torsten Schöneborn (Deutsche Bank)

Luitgard Veraart (London School of Economics)

18:00 - 19:00 POSTER Session and Drinks Reception (Queens Tower Room, Ground Floor, Sherfield Building)

DAY 2: Friday September 1, 2017

9:00 -9:45 Torsten Schöneborn (Deutsche Bank, London) Optimal Trade Execution In Order Books With Time-Varying Liquidity

9:45 - 10:30 Ryan Donnelly (EPF Lausanne) Optimal Decisions in a Time Priority Queue

10:30-11:00 Coffee Break (Maths Common Room, 5th Floor, Huxley Building)

11:00-11:45 Pietro Siorpaes (Imperial College London) Structure of Martingale Transports in Finite Dimensions

11:45-12:30 Alex Cox (University of Bath) Robust Hedging of Options on a Leveraged Exchange Traded Fund

12:30 - 14:00 Lunch Break (Vouchers Provided)

14:00 -14:45 Tiziano de Angelis (University of Leeds) Solving the Dividend Problem Via Optimal Stopping

14:45 -15:30 Kathrin Glau (TU Munich) Parametric Option Pricing by Interpolation

15:30 -16:00 Coffee Break (Maths Common Room, 5th Floor, Huxley Building)

16:00 -16:45 Carole Bernard (Grenoble Ecole de Management) Cost Efficient Strategies Under Model Ambiguity

16:45-17:30 Matthew Lorig (University of Washington) Robust Replication of Variance Derivatives Under Stochastic Volatility and Jumps

DAY 3: Saturday September 2, 2017

9:00 -9:45 Mykhaylo Shkolnikov (Princeton University) Interaction Through Hitting Times and Systemic Risk

9:45 - 10:30 Markus Pelger (Stanford University) Estimating Latent Asset-Pricing Factors

10:30-11:00 Coffee Break (Maths Common Room, 5th Floor, Huxley Building)

11:00-11:45 Christian Bayer (Weierstrass Institute, Berlin) Smoothing the Payoff for Efficient Computation of Basket Option

11:45-12:30 Kostas Spiliopoulos (Boston University) Pricing of Contingent Claims in Asymptotically Complete Markets

12:30 END