Next Workshop
- 1st CFM-Imperial Workshop on Quantitative Finance - Thursday 27 February 2014
- 2nd CFM-Imperial Workshop on Quantitative Finance - Monday 20 October 2014
- 3rd CFM-Imperial Workshop on Quantitative Finance - Monday 28 September 2015
- 4th CFM-Imperial Workshop on Quantitative Finance - Monday 13 June 2016 (Paris)
1st CFM-Imperial Workshop on Quantitative Finance - Thursday 27 February 2014
CONTACTS: Rama Cont and Marta Guzzon
| Time | Activity |
|---|---|
|
09:20 - 09:30 |
Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks |
| 09:30 - 10:00 | Damiano Brigo (Imperial College) Funding, credit, collateral and hedging: nonlinearities and platonic pricing |
| 10:00 - 10:30 | Marc Potters (CFM) A Random Matrix Bayesian framework for out-of-sample Markowitz optimization |
| 10:30 - 11:00 | Coffee Break |
| 11:00 - 11:30 | Martijn Pistorius (Imperial College) Distance to default, inverse first-passage time problems & counterparty credit risk |
| 11:30 - 12:00 | Emeric Henry (CFM) How do trading costs modify Markowitz allocation procedures? |
| 12:00 - 12:30 | Jean-François Chassagneaux (Imperial College) Numerical Solution of Backward Stochastic Differential Equations |
| 12:30 - 14:00 | Lunch |
| 14:00 - 14:30 | Julien Kockelkoren (CFM) Statistical modeling of the queue dynamics of large tick stocks |
| 14:30 - 15:00 | Antoine Jacquier (Imperial College) Asymptotic properties of the forward smile |
| 15:00 - 15:30 | Rama Cont (Imperial College) CloseOut Risk Evaluation: an integrated approach to liquidity and market risk for financial portfolios |
| 15:30 - 16:00 | Coffee Break |
| 16:00 - 17:00 | Round Table Discussion Planning of future activities of the CFM-Imperial Institute |
| 17:00 - 18:00 | Free Discussion Time |
| 18:00 - 19:00 |
THE LONDON QUANTITATIVE FINANCE SEMINAR: Jean-Philippe Bouchaud (CFM) |
| 19:00-20:00 |
Reception |
2nd CFM-Imperial Workshop on Quantitative Finance - Monday 20 October 2014
CONTACTS: Rama Cont and Marta Guzzon
| Time | Activity |
|---|---|
|
09:15 - 09:30 |
Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks |
| 09:30 - 10:00 | Dan Crisan (Imperial College) Asset pricing through competing traders valuations |
| 10:00 - 10:15 | Discussion |
| 10:15 -10:45 | Emmanuel Serie (CFM) Market modeling, portfolio constuction and feedback loops |
| 10:45 - 11:00 | Discussion |
| 11:00 - 11:30 | Coffee Break |
| 11:30 - 12:00 | Pierre Degond (Imperial College) A kinetic theory framework for mean-field games and applications to economics |
| 12:00 - 12:15 | Discussion |
| 12:15 - 14:00 | Lunch |
| 14:00 - 14:30 | Julius Bonart (CFM) Instabilities in economic network models |
| 14:30 - 14:45 | Discussion |
| 14:45 - 15:15 | Joachim De Lataillade (CFM) Optimal trading with Linear Costs |
| 15:15 - 15:30 | Discussion |
| 15:30 - 16:00 | Coffee Break |
| 16:00 - 16:30 | Almut Veraart (Imperial College) Trawl processes and applications to high frequency financial data |
| 16:30 - 16:45 | Discussion |
| 16:45 - 17:15 | Lorenzo De Leo (CFM) Smile in the low moments |
| 17:15 - 17:30 | Discussion |
3rd CFM-Imperial Workshop on Quantitative Finance - Monday 28 September 2015
CONTACTS: Rama Cont and Marta Guzzon
| Time | Activity |
|---|---|
|
09:15 - 09:30 |
Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks |
| 09:30 - 10:00 | Martijn Pistorius (Imperial College) Market-consistent dynamic spectral risk-measures |
| 10:00 - 10:15 | Discussion |
| 10:15 -10:45 | Jean Philippe Bouchaud (CFM) Time reversal assymetry and Generalized Hawkes process |
| 10:45 - 11:00 | Discussion |
| 11:00 - 11:30 | Coffee Break |
| 11:30 - 12:00 | Julius Bonart (CFM-Imperial Institute) Cancellations and refill: Strategic behaviour of liquidity providers in limit order markets |
| 12:00 - 12:15 | Discussion |
| 12:15 - 14:00 | Lunch |
| 14:00 - 14:30 | Stefano Ciliberti (CFM) Value, low-volatility, and other behavioral factors |
| 14:30 - 14:45 | Discussion |
| 14:45 - 15:15 | Martin Gould (CFM-Imperial Institute) Queue imbalance and one-tick-ahead price prediction |
| 15:15 - 15:30 | Discussion |
| 15:30 - 16:00 | Coffee Break |
| 16:00 - 16:30 | Joel Bun (CFM) Estimation of large covariance matrices: theory and applications |
| 16:30 - 16:45 | Discussion |
| 16:45 - 17:15 | Justin Sirignano (Imperial College) Loan Portfolio Risk |
| 17:15 - 17:30 | Discussion |
4th CFM-Imperial Workshop on Quantitative Finance - Monday 13 June 2016 (Paris)
CONTACTS: Rama Cont and Marta Guzzon
| Time | Activity |
|---|---|
|
09:00 - 09:15 |
Rama Cont & Jean Philippe Bouchaud Registration and Opening remarks |
| 09:15 - 09:45 | Adam Rej (CFM) Optimal Trading with Linear and (small) Non-Linear Costs |
| 09:45 - 10:15 | Rama Cont (IC) Algorithmic Trade Execution and Dynamics of Order Flow |
| 10:15 - 10:45 | Michael Benzaquen (CFM) Unravelling the Trading Invariance Hypothesis |
| 10:45 - 11:15 | Coffee Break |
| 11:15 - 11:45 | Blanka Horvath (IC) Robust Methods for the SABR Model and Related Processes |
| 11:45- 12:15 | Felix Patzelt (CFM) Balancing Information - from Sticks to Speculative Markets |
| 12:15 - 13:45 | Lunch Break |
| 13:45 - 14:15 | Fabrizio Lillo (SNSP) Detection of Anomalous Intensity Bursts Using Hawkes Processes: An Application to High Frequency Financial Data |
| 14:15 - 14:45 | Lam Dao (CFM) Tail Protection for Long Investors: Convexity at Work |
| 14:45 - 15:15 | Maxime Morariu-Patrichi (IC) Reduced-Form Limit Order Book Modelling With Point Processes: Some Empirical Considerations |
| 15:15 - 15:45 | Coffee Break |
| 15:45 - 16:15 | Marc Abeille (CFM) Linear Thompson Sampling Revisited |
| 16:15 - 16:45 | Martijn Pistorius (IC) Portfolio Optimisation Under Dynamic Risk Measures |
| 16:45 - 17:00 | Closing Remarks |
Contact us
CFM-Imperial Institute of Quantitative Finance
Department of Mathematics,
Imperial College
London
SW7 1NE
Email: iqf-events@imperial.ac.uk