# VCMF 2019 Conference

- Overview schedule
- Schedule incl. details (titles, chairs, rooms)
- Poster session
- Panel discussion
- Printouts of schedule and details (files above) will be provided for every participant of the conference.
**Abstracts:**

From any list of presenters online (speakers, conference, workshop) you can jump to the abstracts by clicking on the name of the presenter.

Nevertheless we will also provide printfiles and have a few printouts at the registration desk:

## Schedule

Jump to abstracts incl. time & room by clicking on the name of the presenter

### Monday, 9:00

- Cerimonial Hall, plenary talks:
- Sebastian
**Jaimungal**"Mean-Field Games with Differing Beliefs for Algorithmic Trading" - Beatrice
**Acciaio**"Causal optimal transport as a tool in time-dependent optimization"

- Sebastian

### Monday, 10:40 (until Tuesday first coffee break)

- LC Forum, poster session:
- Tereza Cristina
**Amorelli**"Pricing non-traded assets using indifference pricing" - Alejandro
**Balbás**"Golden strategies in derivative markets" - Erwinna
**Chendra**"Pricing employee stock options with a binomial method: case study in indonesia" - Ewa
**Dziwok**"Fund Transfer Pricing mechanism – different approaches to the reference yield’s construction" - Alireza
**Fallahi**"Sufficient nonlinear forecasting using factor models" - Pavel V.
**Gapeev**"On the Fourier-Laplace transforms of first exit times for one-dimensional diffusions and their applications to models of stochastic volatility" - Laura
**Garcia-Jorcano**"Traffic light system for systemic stress: TALIS-cube" - Ivana
**Geček Tuđen**"Ruin probability for discrete risk processes" - Darjus
**Hosszejni**"Approaches toward the Bayesian estimation of the stochastic volatility Model with leverage" - Verena
**Köck**"Option hedging in models with jumps" - Borys
**Koval**"Estimating a time-varying parameter model with shrinkage for the Standard&Poor's 500 index." - Djaffar
**Lessy**"Markov chain model for microcredit leading to inclusion" - Paul Felix
**Reiter**"Feature engineering in univariate time series forecasting" - Anne
**Sumpf**"Credit Risk with Credibility Theory: a distribution-free estimator for probability of default, value-at-risk and expected shortfall"

- Tereza Cristina

### Monday, 11:20

- Room A, invited talks:
- Damir
**Filipovic**"A machine learning approach to portfolio risk management" - Kathrin
**Glau**"Low Rank Tensor Approximation and Deep Learning for Parametric Option Pricing"

- Damir

- Room B, contributed talks:
- Tobias
**Fissler**"Elicitability of Range-Value-at-Risk" - Olivier
**Le Courtois**"Mean-risk and stochastic dominance: a comparison of efficient frontiers" - Oliver
**Lubos**"Natural hedging with fix and floating strike guarantees"

- Tobias

- Room C, contributed talks:
- Zhuoqun
**Liang**"Stochastic volatility models for VIX option pricing" - Takuji
**Arai**"Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models" - Jiling
**Cao**"Pricing variance swaps under hybrid CEV and stochastic volatility"

- Zhuoqun

- Room D, contributed talks:
- Natalie
**Packham**"Rating migration processes based on conditional transition matrices" - Nils
**Bertschinger**"Financial cross-ownership as a structural explanation for rising stock correlations in crisis times" - Vladimir S.
**Ladyzhets**"Probability space of regression models and its applications to credit and operational risks"

- Natalie

- Room E, contributed talks:
- Troels Sønderby
**Christensen**"A dynamic programming approach for optimizing shipping scheduling in the liquefied natural gas market" - Janus
**Valberg-Madsen**"A vine copula panel model for day-ahead electricity prices" - Andrea
**Mazzoran**"A forward model for power markets based on branching processes."

- Troels Sønderby

### Monday, 14:10

- Room A, invited talks:
- Marcel
**Nutz**"Fine Properties of the Optimal Skorokhod Embedding Problem" - Sigrid
**Källblad**"Stochastic control of measure-valued martingales with applications to robust finance"

- Marcel

- Room B, contributed talks:
- Antonino
**Zanette**"Machine learning for pricing American options in high dimension" - Luca
**De Gennaro Aquino**"Bounds on multiasset derivatives via neural networks" - Anastasis
**Kratsios**"Universal Approximation Theorems"

- Antonino

- Room C, contributed talks:
- Assad
**Majid**"A comparison principle between classical and rough Heston models" - Cancellation:
~~Mesias~~**Alfeus**"Regime switching rough Heston model" - Eduardo
**Abi Jaber**"Reconciling rough volatility with jumps"

- Assad

- Room D, contributed talks:
- Gabriela
**Kovacova**"Time consistency of the mean-risk problem" - Moris Simon
**Strub**"Forward rank-dependent performance criteria: time-consistent investment under probability distortion" - Alessandro
**Calvia**"Risk measures and progressive enlargement of filtrations: a BSDE approach"

- Gabriela

- Room E, contributed talks:
- Max
**Souza**"Pricing options with non-uniform Fourier transform" - Moritz
**Voss**"A two-player price impact game" - Sofonias Alemu
**Korsaye**"Smart SDFs"

- Max

### Monday, 16:10

- Cerimonial Hall, plenary talk:
- Paul
**Embrechts**"Hawkes graphs: A graphical tool for the analysis of multi-type event streams"

- Paul

### Monday, 17:10

- Cerimonial Hall, panel discussion:

### Tuesday, 9:00

- Cerimonial Hall, plenary talks:
- Fred Espen
**Benth**"Stochastic volatility in energy and commodity forward markets" - Christa
**Cuchiero**"Deep neural networks, generic universal interpolation and controlled differential equations"

- Fred Espen

### Tuesday, 11:10

- Room A, invited talks:
- Julien
**Guyon**"The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach" - Archil
**Gulisashvili**"Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions"

- Julien

- Room B, contributed talks:
- Mathias
**Pohl**"Robust risk aggregation with neural networks" - Philipp
**Schmocker**"Deep stochastic portfolio theory" - Hanna
**Wutte**"Randomized shallow neural networks and their use in understanding gradient descent"

- Mathias

- Room C, contributed talks:
- Laura
**Garcia-Jorcano**"Measuring systemic risk using multivariate quantile-located ES models" - Martin
**Summer**"Systematic systemic stress tests" - Nils
**Detering**"Suffocating Fire Sales"

- Laura

- Room D, contributed talks:
- Hyungbin
**Park**"Sensitivity analysis of long-term cash flows" - Cosimo
**Munari**"Robust portfolio selection under regulatory constraints" - Hanwu
**Li**"Optimal consumption with Hindy-Huang-Kreps preference"

- Hyungbin

- Room E, contributed talks:
- Felix-Benedikt
**Liebrich**"Robustness vs. tractability: the class (S) property" - Max
**Nendel**"Semigroup envelopes and Markov processes under nonlinear expectation" - Julio
**Backhoff-Veraguas**"Adapted Wasserstein distances and their role in mathematical finance"

- Felix-Benedikt

### Tuesday, 14:30

- Room A, invited talks:
- Peter
**Bank**"Trading with transient price impact" - Eyal
**Neuman**"Deterministic vs Adaptive Strategies for Optimal Execution with Signals"

- Peter

- Room B, contributed talks:
- Rafael
**Serrano**"ALM for insurers in a Lévy-type jump-diffusion model with multiple underwriting lines and nonlinear wealth frictions" - Sascha
**Offermann**"Participating life insurance contracts with periodic premium payments under regime switching" - Corina
**Birghila**"Pareto robust reinsurance contracts"

- Rafael

- Room C, contributed talks:
- Carlo
**Sgarra**"A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process" - Sven
**Karbach**"Ornstein-Uhlenbeck processes in Hilbert spaces with state-dependent stochastic volatility" - Jan
**Pospíšil**"Robustnes and sensitivity analyses for rough fractional stochastic volatility models"

- Carlo

- Room D, contributed talks:
- Alexander
**Herbertsson**"Dynamic hedging of CDS index options in Markov chain models" - Nneka Ozioma
**Umeorah**"Valuation of basket credit default swaps under stochastic default intensity models" - Roberto
**Baviera**"A closed formula for illiquid corporate bonds and an application to the European market"

- Alexander

- Room E, contributed talks:
- Nikolay
**Gudkov**"Pricing and hedging of guaranteed minimum benefits using power series approximation techniques" - Emilio
**Barucci**"On the design of Sovereign Bond-Backed Securities" - Pawel
**Sobala**"Pricing Cyber-Insurance using Copula Based Actuarial Model"

- Nikolay

### Tuesday, 16:30

- Room A, invited talks:
- Zachary
**Feinstein**"Leverage and Capital Ratio Constrained Fire Sales and Price-Mediated Contagion" - Ying
**Jiao**"A branching process approach to default clustering modelling"

- Zachary

- Room B, contributed talks:
- Zehra
**Eksi-Altay**"Momentum and mean reversion under partial information" - Sühan
**Altay**"Optimal converge trading with unobservable pricing errors" - Thijs
**Kamma**"Near-optimal investment strategies in incomplete markets"

- Zehra

- Room C, contributed talks:
- David
**Shkel**"Model risk in a rough world" - Marc
**Lagunas Merino**"Pricing and hedging unit-linked policies under rough fractional stochastic volatility (RFSV) models" - Michele
**Azzone**"Additive normal tempered stable processes for equity derivatives and power law scaling"

- David

- Room D, contributed talks:
- Máté
**Gerencsér**"Discrete approximations of SDEs with irregular drift" - Christian
**Pötz**"Efficient pricing and exposure calculation for early-exercise options using Chebyshev Interpolation" - Cancellation:
~~Samson Adekola~~**Alagbe**"Derivation and application of a class of hybrid Adams Moulton schemes with continuous coefficients"

- Máté

### Wednesday, 9:00

- Room A, invited talks:
- Nikolaus
**Hautsch**"Limits to Arbitrage in Markets with Stochastic Settlement Latency" - Emmanuel
**Bacry**"Disentangling and quantifying market participant volatility contributions"

- Nikolaus

- Room B, contributed talks:
- Ludovic
**Mathys**"Intra-horizon expected shortfall and risk structure in models of jumps" - Michèle
**Vanmaele**"Utility maximization under time change" - Thomas
**Liebmann**"Subordination, conditional expectations, and integration by parts"

- Ludovic

- Room C, contributed talks:
- Katia
**Colaneri**"Value adjustments and dynamic hedging of reinsurance counterparty risk" - Stefan
**Rigger**"Interacting particle systems, default cascades and the M1-topology" - Pavel V.
**Gapeev**"Projections in enlargements of filtrations under Jacod's hypothesis and pricing of credit default swaps in two-dimensional models with various information flows"

- Katia

- Room D, contributed talks:
- Alexander
**Molitor**"Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs" - Alet
**Roux**"Optimal investment and contingent claim valuation with disutility under proportional transaction costs" - José
**Orihuela**"Mackey constraints for Lebesgue risk measures"

- Alexander

### Wednesday, 11:00

- Room A, invited talks:
- Luitgard A. M.
**Veraart**"When does portfolio compression reduce systemic risk?" - Cancellation:
~~Nizar~~**Touzi**"Optimal make-take fees for market making regulation" - News: Josef
**Teichmann**"Representing dynamics through random dynamical systems"

- Luitgard A. M.

- Room B, contributed talks:
- Zsolt
**Nika**"Log-optimal investments and adaptive strategies (based on Stochastic Gradient)" - Kinga
**Tikosi**"Optimizing threshold-type trading strategies with Kiefer-Wolfowitz algorithm" - Adriano
**Koshiyama**"Generative adversarial networks for financial trading strategies"

- Zsolt

- Room C, contributed talks:
- Markus
**Ulze**"Determinants of implied volatility smiles – An empirical analysis using intraday DAX equity options" - Jun
**Chen**"Application of exponential moving average smoothing to the computation of realized variance for irregular spaced high frequency data" - Dragana
**Radojicic**"Random arrival times for the LOB (Limit Order Book) in the discrete time approximation"

- Markus

- Room D, contributed talks:
- Salvador
**Ortiz-Latorre**"A Hull-White formula for fractional volatility Lévy models" - Martin
**Haubold**"Fractionally time-changed polynomial models" - Sara
**Svaluto-Ferro**"Infinite dimensional polynomial jump-diffusions"

- Salvador

### Wednesday, 13:30

- Room A, invited talks:
- Blanka
**Horvath**"Deep pricing and hedging in rough volatility models and beyond" - Miklos
**Rasonyi**"Optimal investment and correlation decay"

- Blanka

- Room B, contributed talks:
- Jana
**Hlavinová**"Elicitabity and identifiability of systemic risk measures" - Alexander
**Smirnow**"Systemic intrinsic risk measures" - Maria
**Arduca**"A simple approach to duality for systemic risk measures"

- Jana

- Room C, contributed talks:
- Michele
**Giordano**"Maximum principles for Volterra time change processes" - Andrea
**Fiacco**"On the approximation of Lévy driven Volterra processes and their integrals" - Wahid
**Khosrawi**"Polynomial Semimartingales"

- Michele

- Room D, contributed talks:
- Kevin
**Kurt**"Sovereign Bond backed Securities as a new safe Asset for the Eurozone: a dynamic Credit Risk Perspective" - Camilla
**Damian**"EM algorithm for a CIR process with Markov-modulated mean reversion level and application to Eurozone credit spreads" - Rainer
**Hirk**"A joint model of failures and credit ratings"

- Kevin

- Room E, contributed talks:
- Wayne
**Tarrant**"Financial contagion and self-organized criticality" - Vilen
**Abramov**"CCAR-consistent yield curve stress testing: from Nelson-Siegel to machine learning" - Axel Alejandro
**Araneda**"The fractional Jump-to-Default CEV model: pricing CDS with memory"

- Wayne

### Wednesday, 15:20

- Room A, plenary talks:
- Bruno
**Bouchard**"Dual formulation for perfect hedging with price impact" - Antoine
**Jacquier**"Deep learning and Path-dependent PDEs for rough local stochastic volatility" - Walter
**Schachermayer**"From discrete to continuous time models: Some surprising news on an old topic"

- Bruno