European Summer School in Financial Mathematics 14th edition

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European Summer School in Financial Mathematics 14th edition

 Aug 30 - Sep 03, 2021
 ICMS, Bayes Centre, 47 Potterrow, Edinburgh and online

The European Summer School in Financial Mathematics, for its 14th edition, will be held in Edinburgh, at the International Centre for Mathematical Sciences (ICMS) on the campus of University of Edinburgh.

We have a high expectation to organize this event in "hybrid" mode with a mix of on-site lectures and online delivery. Confirmation of this will be made in due course.  

The Summer School brings together talented young researchers in mathematical finance. The successful applicants pursuing a PhD will be sponsored for their accommodation and travel expenses during the summer school.
The summer school will focus on two advanced courses:
1) Optimal transport methods for economic models and machine learning
2) Signature method in machine learning and its application to mathematical finance.

There will also be student seminars and discussion sessions which allow the participants to engage with each other and discuss their current research.
One of the aims of the Summer School is to encourage active cooperation and collaboration in mathematical finance among European institutions. We very much thank the members of the scientific committee for their support in achieving this aim.
This school belongs to the series of the European Mathematical Society applied mathematics schools. We gratefully acknowledge the support of International Centre for Mathematical Sciences (ICMS), CMAP, Ecole Polytechnique (Paris, France), Adam Smith Business School (University of Glasgow), Glasgow Mathematical Journal Learning and Research Support Fund and the ANR program  Investissements d’Avenir.

The  Organising and Scientific Committee

Ankush Agarwal
Gonçalo Dos Reis
Stefano De Marco
Thibaut Mastrolia

Scientific committee
The Scientific Committee consists of European leaders and representatives of financial mathematics. We warmly thank them for their encouragement and for accepting to be part of this committee.

Peter Bank, Peter Imkeller, Wolfgang Runggaldier, Mete Soner, Youri Kabanov, Walter Schachermayer, Josef Teichmann, Santiago Carillo, Ralf Korn, Martin Schweizer, Albert Shiryaev,  Nicole El Karoui, Gilles Pagès, Huyen Pham, Marco Frittelli, Damien Lamberton, Bernard Lapeyre, Lukas Stettner, David Hobson, Bernt Øksendal, Denis Talay, Chris Rogers


PhD students and early career researchers are invited to register and participate in the summer school. Please register by filling out the online form. If you are applying for financial support you will be asked to provide a short CV and a reference letter, moreover, we strongly encourage you to apply for talk and present your work (it will strengthen your application for financial support).
All are welcome to attend our event online, but registration is still required.

For any enquiries please contact Jane Walker  (jane dot walker @ )  ICMS.

Details of the Mini Courses

Optimal Transport Methods in Machine Learning: from the Sinkhorn algorithm to Generative Adversarial Networks
by Beatrice Acciaio (ETH Zurich, Switzerland)

We will start by recalling tools from the classical optimal transport (OT) theory, and at the same time we will introduce new developments in OT, specifically what is now called causal optimal transport (COT). The concept of causality in OT is the suitable one in order to tackle dynamic problems, where time plays a crucial role. We then consider the entropic regularization of the transport problem, and the Sinkhorn algorithm used for computing regularized OT. The core part of the lectures is dedicated to generative adversarial networks (GANs). We will first review the development of GANs thanks to the employment of tools from OT theory. We will then combine the Sinkhorn algorithm and COT to train a generator to generate or predict (financial) time series. We will illustrate the results and discuss the numerical challenges.

Optimal Transport Methods for Economic Models
by Alfred Galichon (New York University, USA)

This course is focused on the computation of competitive equilibrium, which is at the core of surge pricing engines and allocation mechanisms. It will investigate diverse applications such as network congestion, surge pricing, and matching platforms. It provides a bridge between theory, empirics and computation and will introduce tools from economics, mathematical and computer science. Mathematical concepts (such as lattice programming, supermodularity, discrete convexity, Galois connections, etc.) will be taught while studying various economic models. The same is true of computational methods (such as ‘tatonnement’ algorithms, asynchronous parallel computation, mathematical programming under equilibrium constraints, etc.).

A Primer on the Signature Method in Machine Learning
by Ilya Chevyrev (University of Edinburgh, UK)

The signature of a path has been recognised in the last few years as a powerful method to store information about a path. At its basic level, the signature is the collection of iterated integrals of a path. This simple definition leads to surprisingly deep properties, which all indicate that the signature is a natural analogue of polynomials on paths. In this minicourse, I will present the definition of the signature and how it arises in several contexts, including control theory and stochastic differential equations. I will demonstrate some of its important properties: these include the shuffle identity, which is responsible for the polynomial-like behaviour on paths, and the Chen identity, which is important for computations. In the last part of the course, I will discuss some recent applications to machine learning, focusing on kernel learning and classification tasks.

Harnessing quantitative finance by deep learning
Blanka Horvath (King's College London, UK) and Mikko Pakkanen (Imperial College London, U
Deep learning is currently making headway in the realm of quantitative finance, whilst the financial industry is increasingly embracing data-driven workflows powered by machine learning and data science. In this minicourse, we shall present some of the recent advances of deep learning applied to quantitative finance. After a brief introduction to the basic principles of deep learning, we will explain how it can be applied to derivatives pricing, hedging and market data simulation in a novel way. We will demonstrate these methods by extensive numerical examples.

Differential Machine Learning
Antoine Savine (Danske Bank and Copenhagen University, Denmark)

Differential machine learning (ML) extends supervised learning, with models trained on examples of not only inputs and labels, but also differentials of labels to inputs. Differential ML is applicable in all situations where high quality first order derivatives wrt training inputs are available. In the context of financial derivatives risk management, pathwise differentials are efficiently computed with automatic adjoint differentiation (AAD). Differential ML, combined with AAD, provides extremely effective pricing and risk approximations.  We can produce fast pricing analytics in models too complex for closed form solutions, extract the risk factors of complex transactions and trading books, and effectively compute risk management metrics like reports across a large number of scenarios, backtesting and simulation of hedge strategies, or capital regulations.

The course focuses on differential deep learning (DL), arguably the strongest application. We will show how standard DL trains neural networks (NN) on punctual examples, whereas differential DL teaches them the shape of the target function, resulting in vastly improved performance, illustrating it with a number of numerical examples, both idealized and real world. We will also discuss how to apply differential learning to other ML models, like classic regression or principal component analysis (PCA).



Details will be published in due course.