Program
Program and abstracts are hereMarch 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