Speakers

• 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