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PREVIOUS MEETINGS
Spring'24
  • Miryana
    Grigorova
    University of Warwick, UK
    Optimal stopping and non-zero-sum games of stopping:
    Bermudan strategies meet non-linear evaluations
  • RAMA
    CONT
    University of Oxford, UK
    Rough Volatility: Fact or Artefact?
  • Huyen
    Pham

    Université Paris Cité, France

    Nonparametric generative modeling for time series via Schrödinger bridge
  • Claudio
    Fontana

    University of Padova, Italy

    Interest rate modeling beyond stochastic continuity
  • Giulia
    Di Nunno
    University of Oslo, Norway
    Fully-dynamic risk measures: horizon risk and interest rate uncertainty
  • Igor
    Andrianov
    Professor, Doctor of physico-mathematical sciences
    Mathematical Models in Pure and Applied Mathematics
  • Rostislav
    berezovskiy
    Head of Research, Hash CIB
    Decentralized exchange liquidity based options
  • Xin
    Guo
    University of California, USA
    Alpha Potential Games: A New Paradigm for N-play Games
  • Birgit
    Rudloff
    Vienna University of Economics and Business, Austria
    Epic Math Battles: Nash vs Pareto
  • Kohta
    Takehara
    Tokyo Metropolitan University, Japan
    Analysis on Structure of Decentralized Exchanges: Decision Making for Liquidity Providers and Platformers
Fall'23
  • KONSTANTIN
    BOROVKOV
    University Of Melbourne, Australia
    Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
  • EMMANUEL
    GOBET
    École Polytechnique, France
    Thorough mathematical modeling and analysis of Uniswap v3
  • BOUALEM
    DJEHICHE

    Royal Institute Of Technology, Sweden

    Nonlinear reserving in life insurance - An overview
  • EMMANUEL
    LÉPINETTE

    Université Paris Dauphine, France

    Alternative approach to price European options in general discrete-time models without no-arbitrage condition
  • JORDAN
    STOYANOV
    Bulgarian Academy Of Sciences, Bulgaria
    Useful Properties of Probability Distributions in Stochastic Financial Models
  • NIZAR
    TOUZI
    New York University, USA
    Mean field game of cross-holding with common noise
  • MASAAKI
    FUKASAWA
    Osaka University, Japan
    Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers
Spring'23
  • Rostislav
    Berezovsky
    Hash CIB
    Liquidity provision in CLMMs
  • Rainer
    Buckdahn
    University of Western Brittany, France
    Mean field stochastic control under sublinear expectation
  • Evgeny
    Burnaev
    Skolkovo Institute of Science and Technology, Russia
    Neural Optimal Transport
  • Paolo
    Guasoni
    Dublin City University, Ireland
    Rogue Traders
  • Yuriy
    Kabanov
    MSU Lomonosov, Russia
    On no-arbitrage properties
  • Kostas
    Kardaras
    London School of Economics, UK
    Portfolio choice under taxation and expected market time constraint
  • Yury
    Kutoyants
    Le Mans University, France
    Adaptive Kalman-Bucy Filter. Ergodic Case
  • Serguei
    Pergamenchtchikov
    University of Rouen, France
    Optimal investment and consumption for spread financial markets
  • Eugene
    Feinberg
    Stony Brook University, USA
    Sequential Optimization of CVaR
  • Tahir
    Choulli
    University of Alberta, Canada
    Reflected BSDEs arising from pricing and hedging in models under random horizon
Fall'22
  • Çağın
    Ararat

    Bilkent University, Turkey

    Dynamic mean-variance problem: recovering time-consistency
  • Elena
    Boguslavskaya
    London University, UK
    Appell integral transforms and martingales: yet another way to construct martingales.
  • Alexander
    Veretennikov
    MSU Lomonosov, Russia
    On SDE with reflection
  • Arnak
    Dalalyan
    ENSAE, France
    Approximate sampling from smooth and log-concave densities
  • Mikhail
    Zhitlukhin
    Steklov Institute of Mathematics RAS, Russia
    Growth optimal strategies in a mean-field market
  • Yuriy
    Kabanov
    MSU Lomonosov, Russia
    Ruin theory with random interest rates
  • Alexander
    Lykov
    MSU Lomonosov, Russia
    On market regimes and adaptive portfolio models
  • Miklós
    Rásonyi
    Hungarian Academy of Sciences, Hungary
    Strongly risk-averse investors in mean-reverting market
  • Mikhail
    Urusov
    University of Duisburg-Essen, Germany
    Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems
  • Dean
    Fantazzini
    MSU Lomonosov, Russia
    Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death
  • Saïd
    Hamadene
    Le Mans University, France
    Mean-field doubly reflected backward SDEs and zero-sum Dynkin games
Spring'22
  • Sergey
    Vartanov
    Moscow Institute of Electronics and Mathematics, Russia
    Optimal advertising under uncertainty
  • Darrell
    Duffie

    Stanford University, USA

    Fragmenting Financial Markets
  • Mikhail
    Zhitlukhin
    Steklov Institute of Mathematics RAS, Russia
    Asymptotic optimality in a prediction game
  • Thaleia
    Zariphopoulou
    The University of Texas, USA
    Robo-advising
    Modeling and methodological challenges
  • Ioannis
    Karatzas
    Columbia University, USA
    Portfolio Theory and Arbitrage 
  • Alexander
    Melnikov
    University of Alberta, Canada
    Bachelier model revisited: extensions and option pricing
  • Zbigniew
    Palmowski

    Wroclaw University of Science and Technology, Poland

    Double continuation regions for American options
  • Walter
    Schachermayer
    University of Vienna, Austria
    A Weak Law of Large Numbers for Dependent Random Variables
  • Shige
    Peng
    Shandong University, China
    SDE, BSDE and Path-Solution of PDEs
Fall'21
  • Evgeniy
    Burnaev
    Skoltech, Russia
    Large-Scale Wasserstein Gradient Flows
  • Paolo
    Guasoni
    Dublin City University, Ireland
    Lightning network economics: channels
  • Kostas
    Kardaras
    London School of Economics, UK
    Estimation of growth in fund models
  • Vasily
    Kolokoltsov
    University of Warwick, UK
    Inspection — corruption game of illegal logging and other violations: generalized evolutionary approach
  • Rama
    Cont
    University of Oxford, UK
    Liquidity and volatility in electronic markets: a stochastic journey across time scales
  • Dmitriy
    Kramkov

    Carnegie Mellon University, USA

    Replication under Price Impact and Martingale Representation Property
  • Jan
    Obloj
    University of Oxford, UK
    Sensitivity analysis for Wasserstein Distributionally Robust Optimization and its applications
  • Josef
    Teichmann
    ETH Zurich, Switzerland
    Gaussian processes, Signatures and Kernelizations
  • Nizar
    Touzi
    Ecole Politechique, France
    Mean field game of mutual holding
  • Masaaki
    Fukasawa
    Osaka University, Japan
    Realized cumulants for martingales
  • Walter
    Schachermayer
    University of Vienna, Austria
    Faking Brownian motion with continuous Markov martingales
  • Martin
    Schweizer
    ETH Zurich, Switzerland
    What is absence of arbitrage in a general setting?
  • Thorsten
    Schmidt
    University of Freiburg, Germany
    The future of insurance? Taming the stock market in insurance products
  • Ernst
    Eberlein
    University of Freiburg, Germany
    Fourier Based Methods for the Management of Complex Life Insurance Products
Spring'21
  • Denis
    Belomestny
    University of Duisburg-Essen, Germany
    Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
  • Konstantin
    Borovkov
    Univeristy of Melbourne, Australia
    The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem
  • Miryana
    Grigorova
    University of Leeds, UK
    Pricing and hedging of options in a non-linear incomplete market model
  • Albina
    Danilova
    The London School of Economics, UK
    On pricing rules and optimal strategies in general Kyle-Back models
  • Alexander
    Lipton
    MIT, USA
    Blockchains in retrospective and perspective
  • Dmitriy
    Muravey
    MSU Lomonosov, Russia
    Semianalytic Pricing of Double Barrier Options with Time-Dependent Barriers and Discounts Upon Reaching the Barrier
  • Marvin
    Mueller
    ETH Zurich, Switzerland
    Statistical combination of analyst forecasts
  • Ernst
    Presman
    CEMI RAS, Russia
    Inventory Model with Commodity Prices Dependent on Markov Chain with Continuous Time
  • Rostislav
    Protassov
    Independent Consultant
    Practical Aspects of Risk Based Margining
  • Mikhail
    Urusov
    University of Duisburg-Essen, Germany
    Trade execution with stochastic liquidity in discrete and continuous time
  • Juri
    Hinz
    University of Technology Sydney, Australia
    An Algorithmic Approach to Optimal Asset Liquidation Problems
  • Pavel
    Shevchenko
    Macquarie University, Australia
    Bias-corrected Least Squares Monte Carlo for utility based optimal stochastic control problems
Fall'20
  • Rostislav
    Berezovsky
    FinForge
    Stablecoins: Implementation Examples and Lines of Research
  • Dmitry
    Kramkov
    Carnegie Mellon University, USA
    An optimal transport problem with backward martingale constraints motivated by insider trading
  • Alexander
    Melnikov
    University of Alberta, Canada
    On modifications of the Bachelier model and option pricing
  • Ilya
    Molchanov
    University of Bern, Switzerland
    Towards geometry and set-valued functions in multivariate finance
  • Sergey
    Pergamenchtchikov
    University of Rouen, France
    Hedging problems for Asian options with transaction costs
  • Peter
    Tankov
    ENSAE, France
    Price formation and optimal trading in intraday electricity markets
  • Juri
    Hinz
    University of Technology Sydney, Australia
    On optimal planning of double-spending attacks