Stochastic Control and Quantitative Finance Conference - September 2022

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Scroll down for the daily agenda.

stochastic V9

 

Daily Agenda:

 

Day 1: Sep 12, 2022

 

9:00

Schachermayer Walter

The structure of Martingale Benamou-Brenier in $R^d$

9:40

Fouque Jean-Pierre

Reinforcement Learning Algorithm for Mixed Mean Field Control Games

10:20

 

Coffee Break

10:40

Gershon David

A General Theory of Option Pricing

11:15

Bayraktar Erhan

Prediction problems and second order equations

11:50

Atar Rami

Boundary-free free boundary problems and particle systems with selection

12:25

 

Lunch

14:00

Cox Alexander

Utility Maximization with Model-Independent Trading Constraints

14:35

Horvath Blanka

Higher rank signatures and their applications to optimal stopping problems in finance

15:10

 

Coffee Break

15:30

Kifer Yuri

Error estimates for discrete approximations of game options with multivariate geometric diffusion asset prices

16:05

Solan Eilon

Stopping Games and Random Stopping Times

18:30

 

Reception & Dinner at the Maiersdorf House

 

 

 

 

Day 2: Sep 13, 2022

 

9:00

Acciaio Beatrice

Quantizing arbitrage

9:40

Guasoni Paolo

Incomplete-Market Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

10:20

 

Coffee Break

10:40

Obloj Jan

Wasserstein distributionally robust optimization with ML applications

11:15

Cuchiero Christa

Signature methods in stochastic portfolio theory

11:50

Possamai Dylan

Moral hazard for time-inconsistent agents and BSVIEs

12:25

 

Lunch

14:00

 

Practitioner Hybrid Session: Alexander Lipton, charles-Albert Lehalle, Adil Reghai

16:05

 

Social Program: Tour & Dinner

 

 

 

Day 3: Sep 14, 2022

 

9:00

Soner Mete

Optimal Stopping in High-dimensions

9:40

Teichmann Josef

Optimal estimation of generic dynamics by path-dependent neural jump ODEs

10:20

 

Coffee Break

10:40

Fukasawa Masaaki

Limit distributions for the discretization error of stochastic Volterra equations with a fractional kernel

11:15

Beiglbock Mathias

The space of stochastic processes in continuous time

11:50

Cohen Asaf

Markovian Equilibria In Ergodic Many-Player Games and Mean-Field Games

12:25

 

Lunch

14:00

Nadtochiy Sergey

Consistency of MLE for partially observed diffusions, with application in market microstructure modeling

14:35

Neuman Eyal

Optimality in General Propagator Models with Alpha Signals

15:10

 

Coffee Break

15:30

Loeper Gregoire

Optimal transport for model calibration

16:05

Jacquier Antoine

Quantum algorithms in Finance