VCMF 2019 Conference

• Overview schedule
• Schedule incl. details (titles, chairs, rooms)
• Poster session
• Panel discussion
• Printouts of schedule and details (files above) will be provided for every participant of the conference.
• Abstracts:
  From any list of presenters online (speakers, conference, workshop) you can jump to the abstracts by clicking on the name of the presenter.
  Nevertheless we will also provide printfiles and have a few printouts at the registration desk:
  • Abstracts of talks
  • Abstracts of posters

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Schedule

Jump to abstracts incl. time & room by clicking on the name of the presenter

Monday, 9:00

• Cerimonial Hall, plenary talks:
  • Sebastian Jaimungal "Mean-Field Games with Differing Beliefs for Algorithmic Trading"
  • Beatrice Acciaio "Causal optimal transport as a tool in time-dependent optimization"

Monday, 10:40 (until Tuesday first coffee break)

• LC Forum, poster session:
  • Tereza Cristina Amorelli "Pricing non-traded assets using indifference pricing"
  • Alejandro Balbás "Golden strategies in derivative markets"
  • Erwinna Chendra "Pricing employee stock options with a binomial method: case study in indonesia"
  • Ewa Dziwok "Fund Transfer Pricing mechanism – different approaches to the reference yield’s construction"
  • Alireza Fallahi "Sufficient nonlinear forecasting using factor models"
  • Pavel V. Gapeev "On the Fourier-Laplace transforms of first exit times for one-dimensional diffusions and their applications to models of stochastic volatility"
  • Laura Garcia-Jorcano "Traffic light system for systemic stress: TALIS-cube"
  • Ivana Geček Tuđen "Ruin probability for discrete risk processes"
  • Darjus Hosszejni "Approaches toward the Bayesian estimation of the stochastic volatility Model with leverage"
  • Verena Köck "Option hedging in models with jumps"
  • Borys Koval "Estimating a time-varying parameter model with shrinkage for the Standard&Poor's 500 index."
  • Djaffar Lessy "Markov chain model for microcredit leading to inclusion"
  • Paul Felix Reiter "Feature engineering in univariate time series forecasting"
  • Anne Sumpf "Credit Risk with Credibility Theory: a distribution-free estimator for probability of default, value-at-risk and expected shortfall"

Monday, 11:20

• Room A, invited talks:
  • Damir Filipovic "A machine learning approach to portfolio risk management"
  • Kathrin Glau "Low Rank Tensor Approximation and Deep Learning for Parametric Option Pricing"

• Room B, contributed talks:
  • Tobias Fissler "Elicitability of Range-Value-at-Risk"
  • Olivier Le Courtois "Mean-risk and stochastic dominance: a comparison of efficient frontiers"
  • Oliver Lubos "Natural hedging with fix and floating strike guarantees"

• Room C, contributed talks:
  • Zhuoqun Liang "Stochastic volatility models for VIX option pricing"
  • Takuji Arai "Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models"
  • Jiling Cao "Pricing variance swaps under hybrid CEV and stochastic volatility"

• Room D, contributed talks:
  • Natalie Packham "Rating migration processes based on conditional transition matrices"
  • Nils Bertschinger "Financial cross-ownership as a structural explanation for rising stock correlations in crisis times"
  • Vladimir S. Ladyzhets "Probability space of regression models and its applications to credit and operational risks"

• Room E, contributed talks:
  • Troels Sønderby Christensen "A dynamic programming approach for optimizing shipping scheduling in the liquefied natural gas market"
  • Janus Valberg-Madsen "A vine copula panel model for day-ahead electricity prices"
  • Andrea Mazzoran "A forward model for power markets based on branching processes."

Monday, 14:10

• Room A, invited talks:
  • Marcel Nutz "Fine Properties of the Optimal Skorokhod Embedding Problem"
  • Sigrid Källblad "Stochastic control of measure-valued martingales with applications to robust finance"

• Room B, contributed talks:
  • Antonino Zanette "Machine learning for pricing American options in high dimension"
  • Luca De Gennaro Aquino "Bounds on multiasset derivatives via neural networks"
  • Anastasis Kratsios "Universal Approximation Theorems"

• Room C, contributed talks:
  • Assad Majid "A comparison principle between classical and rough Heston models"
  • Cancellation: Mesias Alfeus "Regime switching rough Heston model"
  • Eduardo Abi Jaber "Reconciling rough volatility with jumps"

• Room D, contributed talks:
  • Gabriela Kovacova "Time consistency of the mean-risk problem"
  • Moris Simon Strub "Forward rank-dependent performance criteria: time-consistent investment under probability distortion"
  • Alessandro Calvia "Risk measures and progressive enlargement of filtrations: a BSDE approach"

• Room E, contributed talks:
  • Max Souza "Pricing options with non-uniform Fourier transform"
  • Moritz Voss "A two-player price impact game"
  • Sofonias Alemu Korsaye "Smart SDFs"

Monday, 16:10

• Cerimonial Hall, plenary talk:
  • Paul Embrechts "Hawkes graphs: A graphical tool for the analysis of multi-type event streams"

Monday, 17:10

• Cerimonial Hall, panel discussion:
  • The big data revolution in mathematical finance

Tuesday, 9:00

• Cerimonial Hall, plenary talks:
  • Fred Espen Benth "Stochastic volatility in energy and commodity forward markets"
  • Christa Cuchiero "Deep neural networks, generic universal interpolation and controlled differential equations"

Tuesday, 11:10

• Room A, invited talks:
  • Julien Guyon "The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach"
  • Archil Gulisashvili "Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions"

• Room B, contributed talks:
  • Mathias Pohl "Robust risk aggregation with neural networks"
  • Philipp Schmocker "Deep stochastic portfolio theory"
  • Hanna Wutte "Randomized shallow neural networks and their use in understanding gradient descent"

• Room C, contributed talks:
  • Laura Garcia-Jorcano "Measuring systemic risk using multivariate quantile-located ES models"
  • Martin Summer "Systematic systemic stress tests"
  • Nils Detering "Suffocating Fire Sales"

• Room D, contributed talks:
  • Hyungbin Park "Sensitivity analysis of long-term cash flows"
  • Cosimo Munari "Robust portfolio selection under regulatory constraints"
  • Hanwu Li "Optimal consumption with Hindy-Huang-Kreps preference"

• Room E, contributed talks:
  • Felix-Benedikt Liebrich "Robustness vs. tractability: the class (S) property"
  • Max Nendel "Semigroup envelopes and Markov processes under nonlinear expectation"
  • Julio Backhoff-Veraguas "Adapted Wasserstein distances and their role in mathematical finance"

Tuesday, 14:30

• Room A, invited talks:
  • Peter Bank "Trading with transient price impact"
  • Eyal Neuman "Deterministic vs Adaptive Strategies for Optimal Execution with Signals"

• Room B, contributed talks:
  • Rafael Serrano "ALM for insurers in a Lévy-type jump-diffusion model with multiple underwriting lines and nonlinear wealth frictions"
  • Sascha Offermann "Participating life insurance contracts with periodic premium payments under regime switching"
  • Corina Birghila "Pareto robust reinsurance contracts"

• Room C, contributed talks:
  • Carlo Sgarra "A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process"
  • Sven Karbach "Ornstein-Uhlenbeck processes in Hilbert spaces with state-dependent stochastic volatility"
  • Jan Pospíšil "Robustnes and sensitivity analyses for rough fractional stochastic volatility models"

• Room D, contributed talks:
  • Alexander Herbertsson "Dynamic hedging of CDS index options in Markov chain models"
  • Nneka Ozioma Umeorah "Valuation of basket credit default swaps under stochastic default intensity models"
  • Roberto Baviera "A closed formula for illiquid corporate bonds and an application to the European market"

• Room E, contributed talks:
  • Nikolay Gudkov "Pricing and hedging of guaranteed minimum benefits using power series approximation techniques"
  • Emilio Barucci "On the design of Sovereign Bond-Backed Securities"
  • Pawel Sobala "Pricing Cyber-Insurance using Copula Based Actuarial Model"

Tuesday, 16:30

• Room A, invited talks:
  • Zachary Feinstein "Leverage and Capital Ratio Constrained Fire Sales and Price-Mediated Contagion"
  • Ying Jiao "A branching process approach to default clustering modelling"

• Room B, contributed talks:
  • Zehra Eksi-Altay "Momentum and mean reversion under partial information"
  • Sühan Altay "Optimal converge trading with unobservable pricing errors"
  • Thijs Kamma "Near-optimal investment strategies in incomplete markets"

• Room C, contributed talks:
  • David Shkel "Model risk in a rough world"
  • Marc Lagunas Merino "Pricing and hedging unit-linked policies under rough fractional stochastic volatility (RFSV) models"
  • Michele Azzone "Additive normal tempered stable processes for equity derivatives and power law scaling"

• Room D, contributed talks:
  • Máté Gerencsér "Discrete approximations of SDEs with irregular drift"
  • Christian Pötz "Efficient pricing and exposure calculation for early-exercise options using Chebyshev Interpolation"
  • Cancellation: Samson Adekola Alagbe "Derivation and application of a class of hybrid Adams Moulton schemes with continuous coefficients"

Wednesday, 9:00

• Room A, invited talks:
  • Nikolaus Hautsch "Limits to Arbitrage in Markets with Stochastic Settlement Latency"
  • Emmanuel Bacry "Disentangling and quantifying market participant volatility contributions"

• Room B, contributed talks:
  • Ludovic Mathys "Intra-horizon expected shortfall and risk structure in models of jumps"
  • Michèle Vanmaele "Utility maximization under time change"
  • Thomas Liebmann "Subordination, conditional expectations, and integration by parts"

• Room C, contributed talks:
  • Katia Colaneri "Value adjustments and dynamic hedging of reinsurance counterparty risk"
  • Stefan Rigger "Interacting particle systems, default cascades and the M1-topology"
  • Pavel V. Gapeev "Projections in enlargements of filtrations under Jacod's hypothesis and pricing of credit default swaps in two-dimensional models with various information flows"

• Room D, contributed talks:
  • Alexander Molitor "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs"
  • Alet Roux "Optimal investment and contingent claim valuation with disutility under proportional transaction costs"
  • José Orihuela "Mackey constraints for Lebesgue risk measures"

Wednesday, 11:00

• Room A, invited talks:
  • Luitgard A. M. Veraart "When does portfolio compression reduce systemic risk?"
  • Cancellation: Nizar Touzi "Optimal make-take fees for market making regulation"
  • News: Josef Teichmann "Representing dynamics through random dynamical systems"

• Room B, contributed talks:
  • Zsolt Nika "Log-optimal investments and adaptive strategies (based on Stochastic Gradient)"
  • Kinga Tikosi "Optimizing threshold-type trading strategies with Kiefer-Wolfowitz algorithm"
  • Adriano Koshiyama "Generative adversarial networks for financial trading strategies"

• Room C, contributed talks:
  • Markus Ulze "Determinants of implied volatility smiles – An empirical analysis using intraday DAX equity options"
  • Jun Chen "Application of exponential moving average smoothing to the computation of realized variance for irregular spaced high frequency data"
  • Dragana Radojicic "Random arrival times for the LOB (Limit Order Book) in the discrete time approximation"

• Room D, contributed talks:
  • Salvador Ortiz-Latorre "A Hull-White formula for fractional volatility Lévy models"
  • Martin Haubold "Fractionally time-changed polynomial models"
  • Sara Svaluto-Ferro "Infinite dimensional polynomial jump-diffusions"

Wednesday, 13:30

• Room A, invited talks:
  • Blanka Horvath "Deep pricing and hedging in rough volatility models and beyond"
  • Miklos Rasonyi "Optimal investment and correlation decay"

• Room B, contributed talks:
  • Jana Hlavinová "Elicitabity and identifiability of systemic risk measures"
  • Alexander Smirnow "Systemic intrinsic risk measures"
  • Maria Arduca "A simple approach to duality for systemic risk measures"

• Room C, contributed talks:
  • Michele Giordano "Maximum principles for Volterra time change processes"
  • Andrea Fiacco "On the approximation of Lévy driven Volterra processes and their integrals"
  • Wahid Khosrawi "Polynomial Semimartingales"

• Room D, contributed talks:
  • Kevin Kurt "Sovereign Bond backed Securities as a new safe Asset for the Eurozone: a dynamic Credit Risk Perspective"
  • Camilla Damian "EM algorithm for a CIR process with Markov-modulated mean reversion level and application to Eurozone credit spreads"
  • Rainer Hirk "A joint model of failures and credit ratings"

• Room E, contributed talks:
  • Wayne Tarrant "Financial contagion and self-organized criticality"
  • Vilen Abramov "CCAR-consistent yield curve stress testing: from Nelson-Siegel to machine learning"
  • Axel Alejandro Araneda "The fractional Jump-to-Default CEV model: pricing CDS with memory"

Wednesday, 15:20

• Room A, plenary talks:
  • Bruno Bouchard "Dual formulation for perfect hedging with price impact"
  • Antoine Jacquier "Deep learning and Path-dependent PDEs for rough local stochastic volatility"
  • Walter Schachermayer "From discrete to continuous time models: Some surprising news on an old topic"