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Vienna Congress on Mathematical Finance - VCMF 2019
Mon–Wed, Sept. 9–11, 2019

VCMF Educational Workshop
Thu–Fri, Sept. 12–13, 2019

VCMF 2019 Conference


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

Monday, 9:00

  • Cerimonial Hall, plenary talks:

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"

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"
  • Room B, contributed talks:
  • 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"
  • 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"
  • Room E, contributed talks:

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"
  • 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"
  • 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"

Monday, 16:10

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

Monday, 17:10

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"

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"
  • 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"
  • 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"
  • Room E, contributed talks:

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"
  • 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"
  • 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"
  • 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"
  • 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"

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"
  • 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"
  • 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"
  • 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"

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"
  • 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"
  • 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"
  • 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"

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"
  • 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"
  • 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"

Wednesday, 13:30

  • Room A, invited talks:
  • Room B, contributed talks:
  • Room C, contributed talks:
  • 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"
  • 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"

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"


Gold Sponsors

Raiffeisen Bank International

Silver Sponsors

EAA-EnergieAllianz Austria
UNIQA Insurance Group AG
EY - Building a better working
B&W Deloitte GmbH
Meyerthole Siems Kohlruss


WU Vienna - Vienna University of Economics and Business
FAM @ TU Wien - Vienna University of Technology
Wolfgang Pauli Institute (WPI) Vienna
University of Vienna


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