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MMF Conference (London 2017)
Home
Speakers
Program
Minisymposia
Poster Session
Slides
Machine Learning in Finance
New Challenges in Rough Volatility Modelling
Registration
Financial Support: SIAM
Financial Support: LMS
Venue
Organisers
MMF Conference (London 2017)
Home
Speakers
Program
Minisymposia
Poster Session
Slides
Machine Learning in Finance
New Challenges in Rough Volatility Modelling
Registration
Financial Support: SIAM
Financial Support: LMS
Venue
Organisers
More
Home
Speakers
Program
Minisymposia
Poster Session
Slides
Machine Learning in Finance
New Challenges in Rough Volatility Modelling
Registration
Financial Support: SIAM
Financial Support: LMS
Venue
Organisers
Conference on Mathematical Modelling in Finance 2017: Invited Speakers
Keynote Speaker:
Prof. Mark DAVIS
(Imperial College London)
Mathematical Finance: Where Is It All Heading?
Invited talks
Christian Bayer
(Weierstrass Institute, Berlin)
Smoothing the Payoff for Efficient Computation of Basket Options
Carole Bernard
(Grenoble Ecole de Management & Vrije Universiteit Brussels)
Cost Efficient Strategies Under Model Ambiguity
Alex Cox
(University of Bath)
Robust Hedging of Options on a Leveraged Exchange Traded Fund
Tiziano de Angelis
(University of Leeds)
Solving the dividend problem via optimal stopping
Ryan Donnelly
(EPF Lausanne)
Optimal Decisions in a Time Priority Queue
Kathrin Glau
(Queen Mary University of London)
Parametric Option Pricing by Interpolation
Matthew Lorig
(University of Washington)
Robust Replication of Variance-Style Claims for Models with Stochastic Volatility and Jumps
Markus Pelger
(Stanford University)
Estimating Latent Asset-Pricing Factors
Eric Schaanning
(Norges Bank, Oslo)
Monitoring Systemic Risk: the Indirect Contagion Index
Torsten Schöneborn
(Deutsche Bank, London)
Optimal Trade Execution In Order Books With Time-Varying Liquidity
Mykhaylo Shkolnikov
(Princeton University )
Interaction Through Hitting Times and Systemic Risk
Pietro Siorpaes
(Imperial College London )
Structure of Martingale Transports in Finite Dimensions
Kostas Spiliopoulos
(Boston University)
Pricing of Contingent Claims in Asymptotically Complete Markets
Luitgard Veraart
(London School of Economics)
Systemic Risk Assessment in Financial Networks
Johanna Ziegel
(University of Bern)
Higher order elicitability of Expected Shortfall
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