Beyond the Boundaries

The programme

Morning

09:30-10:00 Arrival on the Virtual platform  

10:00-10:45 Rama Cont

10:45-11:00 Questions & Answers

11:00:11:15 Break

11:15-12:00 Alexander Cox

12:00: 12:15 Questions & Answers

Afternoon

14:00-14:45 Alexander Mc Neil 

14:45-15:00 Questions & Answers

15:00-15:15 Break

15:15-16:00 Katia Colaneri 

16:00-16:15 Questions & Answers

16:15:17:00 Free time/informal discussions (via the Virtual platform)

Tuesday

the 4th of May

Morning

10:00-10:45  Giulia Di Nunno 

Questions and Answers

Mini-break

11:15-12:00 Frank Riedel

12:00:12:15 Questions and Answers

Afternoon

14:00-14:45 Nizar Touzi

14:45-15:00 Questions and  Answers

15:00-16:15 Poster session (via the Virtual Platform)

16:15-16:30 Mini-Break  

16:30-17:15 Josef Teichmann

17:15:17:30 Questions and Answers

17:30-18:00 Free time Virtual Platform

Thursday

the 6th of May

Morning

10:00-10:45 Lukas Szpruch 

10:45-11:00 Questions & Answers

11:00:11:15 Break

11:15-12:00 Alexander Veretennikov 

12:00: 12:15 Questions & Answers

 

 

 

 

Afternoon

 

13:00-13:45 Damiano Brigo 

Questions and Answers

Mini-break

14:00-14:45 Stéphane Crépey

14:45-15:00 Questions & Answers

15:00-15:30 Free time/informal discussions (via the Virtual platform)

Wednesday

the 5th of May

Morning

Free time

No planned activities

 

 

 

Afternoon

14:00-14:45 Christa Cuchiero

14:45-15:00 Questions and Answers

15:00- 15:45 H. Mete Soner

15:45-16:00 Questions and Answers

16:00-16:30 Break  

16:30-17:30 Nicolas Perkowski

Concluding Remarks

Free time via the Virtual Platform

Friday

the 7th of May

Modeling price excursions

Rama Cont

Controlled measure-valued martingales: a viscosity solution approach

Alexander  Cox

Modelling volatile time series with v-transforms and copula processes

Alexander McNeil

Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds

Katia Colaneri

Gradient Flows for Regularized Stochastic Control Problems

Lukas Szpruch

On averaged expected cost control for 1D ergodic diffusions with switching

Alexander Veretennikov

Static vs adaptive optimal trading and good execution

Damiano Brigo

Hierarchical Simulation for Learning With Defaults

Stéphane Crépey

Maximum principles for stochastic time-changed Volterra games

Giulia di Nunno

Frank Knight's Legacy: the Economics of Uncertainty and Risk 

Frank Riedel

Mean Field Game of Mutual Holding

Nizar Touzi

Approximation of path space functionals with applications to Finance

Josef Teichmann

Signature based models in finance: relation to affine and polynomial processes, calibration and inclusion of jumps

Christa Cuchiero

Numerical methods for high-dimensional optimal control

H. Mete Soner

Infinite regularization by noise

Nicolas Perkowski