The Conference Website
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Daily Agenda:
Day 1: Sep 12, 2022
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9:00 |
Schachermayer Walter |
The structure of Martingale Benamou-Brenier in $R^d$ |
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9:40 |
Fouque Jean-Pierre |
Reinforcement Learning Algorithm for Mixed Mean Field Control Games |
|
10:20 |
Coffee Break |
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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 |
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|
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 |
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|
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 |
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|
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 |
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14:00 |
Practitioner Hybrid Session: Alexander Lipton, charles-Albert Lehalle, Adil Reghai |
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|
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 |
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10:40 |
Fukasawa Masaaki |
Limit distributions for the discretization error of stochastic Volterra equations with a fractional kernel |
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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 |
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|
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 |
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|
15:30 |
Loeper Gregoire |
Optimal transport for model calibration |
|
16:05 |
Jacquier Antoine |
Quantum algorithms in Finance |