At the Frontiers of Quantitative Finance

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At the Frontiers of Quantitative Finance

 27 - 30 Jun 2016
 ICMS, 15 South College Street Edinburgh

Scientific Organisers:

  • Jim Gatheral, Baruch College

  • Antoine Jacquier, Imperial College

  • Mathieu Rosenbaum, Universite Pierre et Marie Curie

  • Josef Teichmann, ETH Zurich

This workshop focused on new approaches to volatility modelling, robust hedging and pricing, market microstructure, and asymptotic methods. It was structured around a limited number of plenary talks by world-leading experts, from both academia and industry, with a few additional related contributed talks. The goal of this four-day event was to facilitate discussions on current trends in quantitative finance and to highlight potential directions for future research.


  • Stefano De Marco, Ecole Polytechnique - Asymptotics and Calibration for American

  • Sergey Badikov, Imperial College London - Infinite-Dimensional Linear Programming and Robust Hedging of Contingent Claims

  • Mykhaylo Shkolnikov, Princeton University - A Random Surface Description of the Capital Distribution in Large Markets

  • Gonçalo dos Reis, University of Edinburgh - Directional and Malliavin Derivative of Path-Dependent Functionals

  • Chloe Lacombe, Imperial College London - On the Tails of the Forward Smile

  • David Krief, University Paris 7 - An Asymptotic Approach for the Pricing of Options on Realized Variance

  • Emmanuel Gobet, Ecole Polytechnique - Backward Resampling of Euler Schemes

  • Tai-Ho Wang, Baruch College - Probability Density of the Lognormal Fractional SABR Model

  • Philipp Harms, University of Freiburg - A Markovian Perspective on Fractional Volatility Models

  • David Hobson, University of Warwick -On the Value of Being American

  • Sigrid Kallblad, Ecole Polytechnique - Model-Independent Bounds for Asian Options

  • Anna Aksamit, University of Oxford - Quantification of an Additional Information in Robust Framework

  • Blanka Horvath, Imperial College London - Asymptotic Expansions for Fractional Stochastic Volatility Models

  • Junwei Xu, London School of Economics - Optimal Liquidation in an Almgren-Chriss Type Model with L'Evy Processes and Finite Time Horizons

  • Jose Pasos, London School of Economics - Irreversible Capacity Expansion with Possible Default

  • Lukas Gono, ETH Zürich - Using Moser's Trick to Construct Martingales with Prescribed Marginal Laws

  • Simona Sanfelici, University of Parma - Factors Identification of Stochastic Volatility Models Under Microstructure Effects

  • Ivo Mihaylov, Imperial College London - A Class of Approximate Greek Weights

  • Masaaki Fukasawa, Osaka University - Hedging Under Endogenous Market Impact

  • Henry Stone, Imperial College London - Large Deviations for the Rough Bergomi Model

  • Yiyi Zou, Dauphine University - Almost-Hedging with Permanent Impact

  • Christa Cuchier, University of Vienna - Aspects of Stochastic Portfolio Theory and Polynomial Processes

  • Maxime Morariu-Patrichi, Imperial College London - Limit Order Book Modelling with Point Processes

  • Damien Ackerer, Swiss Finance Institute - The Jacobi Stochastic Volatility Model

  • Peter Friz, TU Berlin - Option Pricing in the Moderate Deviations Regime

  • Artur Sepp, Julius Baer - Log-Normal Stochastic Volatility Model

  • Lukasz Szpruch, University of Edinburgh - Multilevel Monte Carlo for McKean-Vlasov SDEs

  • Claude Martini, Zeliade Systems - 3 Computations on SSVI

  • Johannes Ruf, University College London - Some Remarks on Functionally Generated Portfolios

  • Peter Tankov, University Paris Diderot - Optimal Importance Sampling for L'Evy Processes


Sigrid, KallbladEcole Polytechnique
Damien, AckererSwiss Finance Institute
Anna, AksamitUniversity of Oxford
Sergey, BadikovImperial College London
Christa, CuchieroUniversity of Vienna
Stefano, De MarcoEcole Polytechnique
Gonçalo, dos ReisUniversity of Edinburgh
Jean-Pierre, FouqueUniversity of California, Santa Barbara
Peter, FrizTU Berlin
Masaaki, FukasawaOsaka University
Jim, GatheralBaruch College
Emmanuel, GobetEcole Polytechnique
Lukas, GononETH Zürich
Philipp, HarmsUniversity of Freiburg
David, HobsonUniversity of Warwick
Blanka, HorvathImperial College London
Antoine, JacquierImperial College
David, KriefUniversity Paris Diderot - Paris 7
Chloe, LacombeImperial College London
Maria-Elvira, MancinoUniversity of Firenze
Claude, MartiniZeliade Systems
Ivo, MihaylovImperial College London
Maxime, Morariu-PatrichiImperial College London
Andreas, NeuenkirchUniversity of Mannheim
Mikko, PakkanenImperial College London
Jose, PasosLondon School of Economics
Chris, RogersUniversity of Cambridge
Mathieu, RosenbaumUniversite Pierre et Marie Curie
Johannes, RufUniversity College London
Sotirios, SabanisUniversity of Edinburgh
Simona, SanfeliciUniversity of Parma
Mykhaylo, ShkolnikovPrinceton University
Henry, StoneImperial College London
Lukasz, SzpruchUniversity of Edinburgh
Peter, TankovENSAE, Paris
Josef, TeichmannETH Zurich
Tai-Ho, WangBaruch College, CUNY
Junwei, XuLondon School of Economics
Yiyi, ZouDauphine University