21-22 May 2019
The 2nd Imperial - CUHK Workshop on Quantitative Finance will bring together researchers and PhD students from the the Department of Systems Engineering at The Chinese University of Hong Kong (CUHK) and the Mathematical Finance group at the Chinese University of Hong Kong for a 2-day seminar on mathematical modelling in finance.
Venue
Rm. 502, Yasumoto International Academic Park (YIA),
The Chinese University of Hong Kong, Hong Kong.
Invited Speakers
CUHK
- Dohyun Ahn
- Nan Chen
- Xuefeng Gao
- Xuedong He
- Lingfei Li
- Qi Wu
- Chen Yang
Imperial College London
- Antoine Jacquier
- Alexander Kalinin
- Johannes Mhule-Karbe
- Eyal Neuman
- Mikko Pakkanen
- Alex Tse
External Guests
- Xiaolu Tan (Paris Dauphine)
- Lihu Xu (UMAC)
- Xinghua Zheng (HKSUT)
Presentations Schedule
| May-21 | Chair | ||
| 8:55 – 9:00 | Opening remarks | ||
| 9:00 – 9:40 | Xuefeng Gao (CUHK) | Scoring limit orders | Antoine Jacquier |
| 9:40 – 10:20 | Mikko Pakkanen (ICL) | Modelling Limit Order Book Data by State-Dependent Hawkes Processes | |
| 10:20 – 10:50 | Coffee break | ||
| 10:50 – 11:30 | Chen Yang (CUHK) | Inventory Management for High-Frequency Trading with Imperfect Competition | Alex Tse |
| 11:30 – 12:10 | Johannes Muhle-Karbe (ICL) | Liquidity and Asset Prices | |
| 12:10 – 13:30 | Lunch | ||
| 13:30 – 14:10 | Xinghua Zheng (HKUST) | Factor Modeling for Volatility | Alexander Kalinin |
| 14:10 – 14:50 | Eyal Neuman (ICL) | Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint | |
| 14:50 – 15:20 | Coffee break | ||
| 15:20 – 16:00 | Antoine Jacquier (ICL) | Deep learning and Path-dependent PDEs for rough volatility | Eyal Neuman |
| 16:00 – 16:40 | Xiaolu Tan (Dauphine) | From Martingale Optimal Transport to McKean-Vlasov Control Problems | |
| May-22 | Chair | ||
| 9:00 – 9:40 | Dohyun Ahn (CUHK) | Systemic risk quantification via shock amplification in financial network | Mikko Pakkanen |
| 9:40 – 10:20 | Lingfei Li (CUHK) | A General Method for Valuation of Drawdown Risk under Markovian Models | |
| 10:20 – 10:50 | Coffee break | ||
| 10:50 – 11:30 | Alex Tse (ICL) | A multi-asset investment and consumption problem with transaction costs | Dohyun Ahn |
| 11:30 – 12:10 | Nan Chen (CUHK) | Duality based dynamic programming and its applications | |
| 12:10 – 13:30 | Lunch | ||
| 13:30 – 14:10 | Qi Wu (CUHK) | Quantile forecast through serial dependence learning | Xuefeng Gao |
| 14:10 – 14:50 | Alexander Kalinin (ICL) | Uniqueness, Existence and regularity of solutions to stochastic Volterra integral equations | |
| 14:50 – 15:20 | Coffee break | ||
| 15:20 – 16:00 | Lihu Xu (UMAC) | Approximation of stable law by Stein’s method | Yang Chen |
| 16:00 – 16:40 | Xuedong He (CUHK) | On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time | |
| 18:15 – 20:00 | Banquet | ||
Conference Dinner
There will be a banquet in the evening of May 22 at 18:15. Details about the venue will be announced.
Accommodation
Hyatt Regency Hong Kong Sha Tin (24min walk from the conference venue)
Transportation to CUHK
How to get from the airport to CUHK
Organisers
Nan Chen (CUHK) and Eyal Neuman (ICL)
Campus map
Previous Workshops
Imperial-CUHK Workshop on Quantitative Finance 1-2 June 2016
The 1st Imperial - CUHK Workshop on Quantitative Finance brought together researchers and PhD students from the Department of Systems Engineering at The Chinese University of Hong Kong (CUHK) and the Mathematical Finance group at Imperial College London for a 2-day seminar on mathematical modeling in finance.
Venue: 58 Prince's Gate
Contact us
CFM-Imperial Institute of Quantitative Finance
Department of Mathematics,
Imperial College
London
SW7 1NE
Email: iqf-events@imperial.ac.uk