WORKSHOP ON
"MATHEMATICAL FINANCE AND RELATED ISSUES"

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Program

Program and abstracts are here

March 13

09:30 - 09:40 Opening
09:40 - 10:20 Terry Lyons (University of Oxford)
TBA
10:20 - 11:00 Yu Ito (Kyoto Sangyo University)
A fractional calculus approach to rough path integration
11:00 - 11:20 Coffee Break
11:20 - 12:00 Yuzuru Inahama (Kyushu University)
Short time full asymptotic expansion of hypoelliptic heat kernel at the cut locus
12:00 - 14:00 Lunch Break
14:00 - 14:40 Shigeki Aida (The University of Tokyo)
Rough differential equations containing path-dependent bounded variation terms
14:40 - 15:20 Ismael Bailleul (Institut de recherche mathematiques de Rennes)
Mean field rough differential equations
15:20 - 16:00 Coffee Break
16:00 - 16:40 David Prömel (University of Oxford)
Optimal extension to Sobolev rough paths
16:40 - 17:20 Thomas Cass (Imperial College London)
Tree algebras over topological vector spaces in rough path theory
18:00 - 20:00 Welcome Party
See here

March 14

09:40 - 10:20 Shigeo Kusuoka (The University of Tokyo)
Euler-Maruyama Approximation and Greeks
10:20 - 11:00 Yuji Shinozaki (Tokyo Institute of Technology/The bank of Tokyo-Mitsubishi UFJ)
Higher order discretization methods of forward-backward SDEs using KLNV-scheme: Application to XVA pricing
11:00 - 11:20 Coffee Break
11:20 - 12:00 Toshihiro Yamada (Hitotsubashi University)
Higher order discretization methods using Malliavin Monte Carlo and Brownian Markov chain without Lévy area simulation
12:00 - 14:00 Lunch Break
14:00 - 17:20 Discussions

March 15

09:40 - 10:20 Jim Gatheral (Baruch College of The City University of New York)
Diamonds: A quant’s best friend
10:20 - 11:00 Paul Gassiat (Université Paris Dauphine)
A regularity structure for rough volatility
11:00 - 11:20 Coffee Break
11:20 - 12:00 Elisa Alòs (Universitat Pompeu Fabra)
Estimating the Hurst parameter from short term volatility swaps
12:00 - 14:00 Lunch Break
14:00 - 14:40 Peter Friz (Technische Universität Berlin/Weierstrass Institute for Applied Analysis and Stochastics)
From rough paths and regularity structures to short dated option pricing under rough volatility
14:40 - 15:20 Stefan Gerhold (Vienna University of Technology)
Moment Explosions in the Rough Heston Model
15:20 - 16:00 Coffee Break
16:00 - 16:40 Antoine Jacquier (Imperial College London)
TBA
16:40 - 17:20 Tai-ho Wang (Baruch College of The City University of New York)
Target volatility option pricing in lognormal fractional SABR model
18:00 - 20:00 Conference Dinner
See here

March 16

09:40 - 10:20 Shige Peng (Shandong University)
BSDE and Reflected BSDE driven by G-Brownian Motion
10:20 - 11:00 Dai Taguchi (Osaka University)
Implicit Euler-Maruyama scheme for non-colliding particle systems
11:00 - 11:20 Coffee Break
11:20 - 12:00 Nobuaki Naganuma (Osaka University)
Malliavin calculus for Dyson Brownian motions
12:00 - 14:00 Lunch Break
14:00 - 14:40 Mathieu Rosenbaum (Ecole Polytechnique)
Rough Volatility and No Arbitrage
14:40 - 15:20 Hiroshi Kawabi (Okayama University)
Functional central limit theorems for non-symmetric random walks on nilpotent covering graphs
15:20 - 16:00 Coffee Break
16:00 - 16:40 Arturo Kohatsu-Higa (Ritsumeikan University)
Unbiased simulation methods of order two
16:40 - 16:50 Closing