Program Overview

A full schedule and abstracts can be found here.

Monday September 7

09:30-10:30

Registration + welcome coffee

10:30-11:00

Welcome

11:00-12:00

Darrell Duffie (slides)

12:00-13:00

Alexander Schied (slides)

13:00-14:00

Lunch break & poster session

14:00-15:30

Credit Risk

slides: talk1talk2talk3

Insurance

slides: talk1talk2

Random Fields and Stochastic Analysis

slides: talk1

15:30-16:00

Coffee break & poster session

16:00-17:30

Interest Rates

slides: talk1talk2talk3

Model Risk and Robustness

slides: talk1talk2talk3

Portfolio Optimization

slides: talk1talk2, talk3

 

Tuesday September 8

08:30-09:00

Coffee

09:00-10:00

Kay Giesecke

10:00-11:00

Alex Lipton

11:00-11:30

Coffee break & poster session

11:30-13:00

Econometrics

slides: talk1talk2talk3

Functional and Pathwise Calculus

slides: talk1talk2talk3

Multicurve Models

slides: talk1talk2talk3

13:00-14:00

Lunch break & poster session

14:00-15:30

Swissquote Practitioners’ Session

slides: talk1talk2

Functional and Pathwise Calculus

slides: talk1talk2talk3

BSDEs

slides: talk1talk2talk3

15:30-16:00

Coffee break & poster session

16:00-17:30

Panel discussion “future directions and challenges for mathematics in finance”
(Rene Carmona, Darrell Duffie, Alex Lipton, Chris Rogers)

 

Wednesday September 9

08:30-09:00

Coffee

09:00-10:00

Beatrice Acciaio (slides)

10:00-11:00

Francesca Biagini

11:00-11:30

Coffee break & poster session

11:30-13:00

Polynomial Models in Finance

slides: talk1talk2talk3

Long-Memory Models

slides: talk1talk2talk3

Systemic Risk

slides: talk1talk2

13:00-14:00

Lunch break & poster session

14:00-15:30

Polynomial Models in Finance

slides: talk1talk2talk3

Partial and Insider Information

slides: talk1talk2talk3

Systemic Risk

slides: talk1+2talk3

15:30-16:00

Coffee break & poster session

16:00-17:30

Polynomial Models in Finance

slides: talk2talk3

Optimal Transport in Mathematical Finance

slides: talk1talk2talk3

Limit Order Markets

slides: talk1talk2talk3

18:00-19:30

Olympic Museum Visit (included with the dinner)

19:30-22:00

Conference dinner at the Olympic Museum

 

Thursday September 10

08:30-09:00

Coffee

09:00-10:00

Constantinos Kardaras (slides)

10:00-11:00

Rene Carmona (slides)

11:00-11:30

Coffee break & poster session

11:30-13:00

Numerical Methods

slides: talk1talk2talk3

Energy Finance

slides: talk1talk2talk3

Liquidity Risk

slides: talk1talk2talk3

13:00-14:00

Lunch break & poster session

14:00-15:00

Jan Kallsen (slides)

15:00-16:00

Chris Rogers (slides)

16:00-16:30

Closing