VCMF 2019 – Information – https://fam.tuwien.ac.at/vcmf2019/ – vcmf2019@fam.tuwien.ac.at

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

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

https://fam.tuwien.ac.at/vcmf2019/

General Information

The second Vienna Congress on Mathematical Finance will be held from September 9-11, 2019, once again at the new campus of WU Vienna. The conference will bring together leading experts from various fields of Mathematical Finance such as:

Computational Methods and Machine Learning Credit Risk and Systemic Risk Limit Order Book and High Frequency Trading Markets with Frictions and Large Trader Models New Financial Markets (Cryptocurrencies, Electricity, Energy, Securitization) Risk Measures and Optimization (Portfolio Optimisation, Risk Allocation,

Risk Aggregation) Robust Finance Stochastic and Rough Volatility

The conference program will feature plenary lectures, parallel sessions with invited and contributed talks as well as poster sessions. Moreover, there will be an attractive social program.

In the framework of a Panel Discussion (September 9, 2019) on the topic "The big data revolution in mathematical finance" we offer the conference participants a platform for discussions with a number of renowned experts.

The conference is followed by a two-day Educational Workshop on September 12 and 13, 2019, with lectures by internationally recognized experts that will be a great learning opportunity in particular for younger scientists.

The VCMF 2019 follows the successful previous edition, VCMF 2016, with 240 attendees, 83 talks and 28 poster presentations.

VCMF 2019 – Information – https://fam.tuwien.ac.at/vcmf2019/ – vcmf2019@fam.tuwien.ac.at

VCMF 2019

Organisers

VCMF 2019 is jointly organised by the following 4 institutions from Vienna, Austria:

WU Vienna – Vienna Unversity of Economics and Business (Wirtschaftsuniversität Wien) TU Wien – Vienna University of Technology (Technische Universität Wien) University of Vienna (Universität Wien) Wolfgang Pauli Institute (WPI) Vienna, an independent research training institute

Scientific and Organizing Committee

Mathias Beiglböck (University of Vienna) Rüdiger Frey (WU Vienna) Stefan Gerhold (TU Wien) Friedrich Hubalek (TU Wien) Irene Klein (University of Vienna) Thorsten Rheinländer (TU Wien) Birgit Rudloff (WU Vienna) Walter Schachermayer (University of Vienna) Uwe Schmock (TU Wien)

Conference & Workshop Secretariat

Katrin Artner (WU Vienna) Sandra Trenovatz (TU Wien)

Location

WU Vienna, Welthandelsplatz 1, 1020 Vienna, Austria Campus of WU Vienna: Library & Learning Center (LC) and building D5

Mascots – Mu and Sigma waltzing the Congress

Picture: © Irene Klein

"Le congrès danse beaucoup, mais il ne marche pas." ("The congress does not move forward, it dances.")

Prince Charles de Ligne’s famous words at the Congress of Vienna (1814-1815)

(� & � from standard notation for drift and volatility of a diffusion model)

VCMF 2019 – Sponsors

https://fam.tuwien.ac.at/vcmf2019

Sponsors

The organisers of VCMF 2019 appreciate the support of the following sponsors:

Gold Sponsor:

BAWAG P.S.K.

BAWAG P.S.K. is the main operating subsidiary of BAWAG Group AG and one of Austria’s largest, most profitable and best capitalized banks with a well-recognized national brand. The bank applies a low-risk, efficient, simple and transparent business model focused on Austria and other developed markets – with approximately two-thirds of its customer loans within Austria. BAWAG P.S.K. is run in a safe and secure manner with a solid balance sheet and capitalization as well as low leverage. Delivering

simple, transparent and best-in-class products and services that meet its customers’ needs is its consistent strategy across all business units.

For additional information visit www.bawagpsk.com or www.bawaggroup.com.

Gold Sponsor:

Raiffeisen Bank International AG (RBI)

Raiffeisen Bank International AG (RBI) regards Austria, where it is a leading corporate and investment bank, as well as Central and Eastern Europe (CEE) as its home market. 13 markets of the region are covered by subsidiary banks. Additionally, the group comprises numerous other financial service providers, for instance in the fields of leasing, asset management, as well as M&A. To

support its business activities, RBI operates representative offices and service branches at selected Asian and Western European locations.

Around 47,000 employees service 16.1 million customers through more than 2,100 business outlets, the by far largest part thereof in CEE. RBI's shares have been listed on the Vienna Stock Exchange since 2005.

RBI is Austria's second-largest bank with a balance sheet total of € 140 billion (as per 31 December 2018). The Austrian Regional Raiffeisen Banks hold approximately 58.8 per cent of the shares, the remainder of around 41.2 per cent is free-float.

RBI was already active in CEE even before the process of political transition started in the region and the "Iron Curtain" fell: already back in 1986, its first subsidiary bank was founded in Hungary. Therefore, the bank looks back on more than 30 years of experience in the region's banking business.

For additional information visit www.rbinternational.com.

VCMF 2019 – Sponsors

https://fam.tuwien.ac.at/vcmf2019

Silver Sponsor:

B&W Deloitte GmbH

Being one of the leading advisory companies Deloitte brings together specialists from audit, actuarial, risk, corporate finance, consulting (strategy, operations, and technology), tax and legal. These skills, combined with deep industry knowledge, allow us to provide a broad range of high-quality services to life and health, property and casualty, reinsurers and insurance broker clients. Currently about 400 people are

working for Deloitte in this particular field, supporting all well-known insurers in the market. Almost 90 people are experts in actuarial and insurance services gathered in B&W Deloitte GmbH. In addition to the broad skill set, our sector specific know-how and the global Deloitte network enable us to combine local knowledge with global resources to ensure best and competitive service to our clients.

For additional information visit www.deloitte.com.

Silver Sponsor:

EAA-EnergieAllianz Austria

The EAA Group is the joint energy sales and trading company of ENERGIE BURGENLAND, EVN and WIEN ENERGIE. As the largest energy sales enterprise in Austria, EAA supplies around three million customers - from private households to businesses and industrial facilities – with electricity, natural gas, and energy-related services both in Austria and abroad. As a leading provider of energy solutions for more than 100,000 customer facilities in the segment of key account, industrial and business customers in Austria and Germany as well as a trading partner in all important European markets, EAA-EnergieAllianz Austria is headquartered in Vienna. EAA trades in electricity, natural gas, CO2 certificates and guarantees of origin all across Europe. The company conducts business

with sales offices in Austria and Germany. Aside from trading in Austria and Germany, EAA is also represented in the Netherlands, Hungary, the Czech Republic, Slovenia, and Serbia. Its approximately 170 employees recently generated annual sales of EUR 1.9 billion.

For additional information visit www.energieallianz.com.

Silver Sponsor:

Meyerthole Siems Kohlruss

Meyerthole Siems Kohlruss is an actuarial consulting firm based in Cologne, Germany. We have been successfully operating in Austria, Germany and Switzerland since 1998. Our focus is on non-life insurance, particulary in the areas of data pooling, pricing, loss reserves, reinsurance, and Solvency II.

Our mathematical analyses are a basis of sustainable decision-making. We combine the current trends of the industry with powerful, professional mathematics, for instance in the fields of telematics and cyber risks. We

are Germany's market leader in actuarial services for Solvency II.

The insurance sectors in Austria and Germany often face similar challenges, but operate each in their specific environment. We believe that learning from one another is a huge benefit for both.

We offer exciting career opportunities for open-minded persons with a passion for insurance mathematics who would like to join interesting projects and an inspiring team culture. At Meyerthole Siems Kohlruss, developing and implementing successful mathematical methods is always a team effort.

For additional information visit www.aktuare.de.

VCMF 2019 – Sponsors

https://fam.tuwien.ac.at/vcmf2019

Silver Sponsor:

EY

EY is a global leader in assurance, tax, transaction and advisory services. The insights and quality services we deliver help build trust and confidence in the capital markets and in economies the world over. We develop outstanding leaders who team to deliver on our promises to all of our stakeholders. In so doing, we play a critical role in building a better working world for our people, for our clients and for our communities.

In a world that’s changing faster than ever, our purpose acts as our ‘North Star’ guiding our more than 260,000 people – providing the context and meaning for the work we do every day. We help digital pioneers fight data piracy; guide governments through cash-flow crises; unlock new medical treatments with data

analytics; and pursue high quality audits to build trust in financial markets and business. In other words, working with entrepreneurs, companies, and entire countries to solve their most pressing challenges.

Through our integrated service lines and our deep sector knowledge, we help our clients to capitalize on opportunities. We help them fulfill regulatory requirements, keep investors informed and meet stakeholder needs. And in a fast-changing world, we give them the support they need to be effective today and create long-term growth for tomorrow.

For additional information visit www.ey.com/AT.

Silver Sponsor:

UNIQA Insurance Group AG

The UNIQA Group is one of the leading insurance groups in its core markets of Austria and Central and Eastern Europe (CEE). We have approximately 40 companies in 18 countries and serve about 10.1 million customers. With UNIQA and Raiffeisen Versicherung, we have the two strongest insurance brands in Austria and are well positioned in the CEE Markets. Employees:To whom are we actually referring when we say "we"? "We" are around 20,000 UNIQA employees and employees of the general agencies working exclusively for UNIQA, approximately 6,000 of whom work in Austria. "We" are people from many

different countries, with different native languages, ethnic origins and genders. "We" are a colourful, dedicated team united behind a common objective: offering our customers a degree of security that makes life easier for them and their families. Investment and innovation programme:We believe that the insurance industry is about to face some of the biggest shifts in its history. Digitalisation is leading to fundamental changes in customer expectations and behaviour. We believe that we must meet these challenges and we must embrace them as big opportunities. We transform our core business from a provider of insurance products to an integrated service provider that picks up their customers where they stand in their individual "environment of needs". In order to set off the paradigm shift required for this surge of innovation, in 2016 we have launched the largest renewal programme in our history. We will invest in the next ten years a total of about €500 million in our future. These investments are mostly earmarked for the “re-design” of our business model, for the creation of competence in terms of personnel and the necessary IT systems.

For additional information visit www.uniqagroup.com.

9:1

09

:20

9:3

0

10

:00

10

:10

10

:20

10

:30

10

:20

10

:30

10

:00

10

:10

10

:20

10

:30

23

:00

VC

MF

2019

S

ch

ed

ule

19

:00

Co

nfe

ren

ce D

inn

er

at

the V

ien

na C

ity H

all

19

:30

17

:30

17

:30

Ka

mm

aA

zzo

ne

Pö

tz

18

:00

18

:00

We

lco

me

Rec

ep

tio

n

& P

os

ter

Pre

se

nta

tio

n

LC

:

Pan

el

Dis

cu

ss

ion

"Th

e b

ig d

ata

re

vo

lutio

n in

ma

the

ma

tica

l fin

an

ce"

17

:15

Yin

g J

iao

17

:20

17

:00

17

:00

Alta

yL

ag

un

as

Me

rin

oA

lag

be

Clo

sin

g R

em

ark

s

16

:50

17

:10

10

:00

Zach

Fein

ste

in

Eksi-

Alta

yS

hke

lG

ere

ncsé

r

Clo

sin

g T

alk

:

D5:

W

alter

Sc

ha

ch

erm

ayer

D5

: C

off

ee B

reak

16

:05

16

:10

D5

:

A

nto

ine

Ja

cq

uie

r

D5

:

B

runo

Bo

uch

ard

Ab

i Ja

be

r

LC

:

Pau

l E

mb

rech

ts1

6:3

0

LC

: C

off

ee

Bre

ak &

P

oste

r S

essio

nB

avie

raS

ob

ala

15

:40

16

:00

Eya

l Neu

man

15

:20

Bir

gh

ilaP

osp

íšil

Ca

lvia

Ko

rsa

ye1

5:1

5

15

:30

D5

: C

off

ee

Bre

ak

15

:10

Kra

tsio

sS

igrid K

ällb

lad

15

:00

15

:00

Off

erm

an

nK

arb

ach

Um

eo

rah

Ba

rucci

14

:55

14

:40

14

:30

14

:30

Pete

r B

an

kS

err

an

o

So

uza

14

:15

Sg

arr

aH

erb

ert

sso

n

14

:10

Marc

el N

utz

Za

ne

tte

Ma

jidK

ova

co

va

De

Ge

nn

aro

A

qu

ino

Alfe

us

Str

ub

Vo

ss

Ard

uca

Kh

osra

wi

Hir

kA

ran

ed

aG

ud

ko

v

13

:40

Lunch B

reak

13

:50

Gio

rda

no

Ku

rtT

arr

an

t

14

:00

Sm

irn

ow

Fia

cco

Da

mia

nA

bra

mo

v

Mik

lós

Ráso

nyi

13

:30

13

:45

13

:20

13

:30

Bla

nka

Ho

rvath

Hla

vin

ová

12

:30

D5:

Lu

nch B

rea

k1

2:4

01

2:5

01

2:4

5G

uid

ed

Arc

hit

ectu

ral W

alk

on

WU

Cam

pu

s(r

eg

istr

atio

n n

ece

ssa

ry in

ad

va

nce

)Lu

nch

Bre

ak

&L

C: P

oste

r S

essio

n

Sva

luto

-F

err

oK

ath

rin G

lau

12

:10

Wu

tte

De

teri

ng

Li

Ba

ckh

off

-V

era

gu

as

12

:20

Lu

bo

sC

ao

La

dyz

he

tsM

azz

ora

n

Sch

mo

cke

rS

um

me

rM

un

ari

Ne

nd

el

11

:50

Josef

Teic

hm

an

nL

e C

ou

rto

isA

rai

Be

rtsch

ing

er

Va

lbe

rg-

Ma

dse

nA

rchil

Gu

lisash

vili

12

:00

12

:05

Ko

sh

iya

ma

Ra

do

jicic

Dam

ir

Filip

ovic

Fis

sle

rL

ian

gP

ackh

am

Ch

riste

nse

n

11

:55

Lie

bri

ch

11

:30

Tik

osi

Ch

en

Ha

ub

old

11

:45

11

:40

11

:10

Julie

n G

uyo

nP

oh

lG

arc

ia-

Jo

rca

no

Pa

rk

11

:00

11

:00

Luitg

ard

V

era

art

Nik

aU

lze

Ort

iz-L

ato

rre

10

:40

10

:20

10

:20

10

:40

LC

: C

off

ee

Bre

ak &

P

oste

r S

essio

nLC

: C

off

ee

Bre

ak

& P

oste

r S

essio

n

10

:30

10

:30

10

:30

D5

: C

off

ee

Bre

ak

11

:20

10

:00

10

:00

10

:00

10

:10

10

:10

Em

manuel

Bacry

LC

: B

eatr

ice

Acc

iaio

Lie

bm

an

nG

ap

ee

vO

rih

ue

laL

C: C

hri

sta

Cu

ch

iero

Va

nm

ae

leR

igg

er

Ro

ux

9:4

09

:40

9:3

09

:30

9:3

0

9:4

59

:50

9:5

0

9:2

09

:20

9:1

09

:10

LC

: S

eba

stian

Jaim

un

ga

lLC

:

Fre

d E

sp

en B

en

thN

ikola

us

Hau

tsch

Ma

thys

Co

lan

eri

Mo

lito

r

9:0

09

:00

9:0

0

8:4

08

:50

LC

...

Lib

rary

& L

earn

ing C

ente

r: p

len

ary

ta

lks, p

oste

r sessio

n a

nd

pa

nel d

iscussio

n o

n M

on

day

& T

uesd

ay

D5

…D

ep

art

me

nt

Bu

ildin

g:

all

pa

ralle

l sessio

ns a

s w

ell

as p

len

ary

ta

lk o

n W

ed

nesda

y8

:10

8:0

0

Vie

nn

a C

on

gre

ss

on

Ma

the

ma

tic

al F

ina

nc

eV

ien

na,

Mo

n–W

ed

, S

ep

t. 9

–11,

2019

Mo

n.,

Sep

t. 9

Tu

e.,

Sep

t. 1

0W

ed

., S

ep

t. 1

1

Reg

istr

ati

on

We

lco

me

Ad

dre

ss

9:1

09

:20

9:3

0

10

:00

10

:10

10

:20

10

:30

10

:20

10

:30

10

:00

10

:10

10

:20

10

:30

VC

MF

2019

Sch

ed

ule

fo

r C

PD

LC

... L

ibra

ry &

Learn

ing C

ente

r: p

lenary

talk

s, poste

r sessio

n a

nd p

anel d

iscussio

n o

n M

onday

& T

uesday

D5 …

Depart

ment B

uild

ing: all

para

llel s

essio

ns a

s w

ell

as p

lenary

talk

on W

ednesday

19

:00

Co

nfe

ren

ce D

inn

er

at

the

Vie

nn

a C

ity H

all

23

:00

I, .

....

....

......

....

....

....

....

....

....

....

....

....

....

....

......

....

. (n

am

e),

co

nfi

rm t

hat

I a

tten

de

d t

he

m

ark

ed

talk

s,

pa

rall

el

se

ssio

ns a

nd

pa

nel

dis

cu

ssio

n. P

lease

se

nd

me

a c

on

firm

ati

on

fo

r C

PD

for

the f

oll

ow

ing

ac

tua

ria

l a

sso

cia

tio

n:

....

....

....

....

....

....

....

....

....

....

....

....

....

....

....

....

....

....

......

....

....

....

....

....

....

....

....

....

....

....

......

....

....

.

date

, s

ign

atu

re:

....

....

....

....

....

....

....

....

....

....

....

....

....

......

....

....

...

19

:30

LC

:

Welc

om

e R

ec

ep

tio

n

& P

os

ter

Pre

se

nta

tio

n

18

:00

18

:00

17

:30

17

:30

Ka

mm

aA

zzo

ne

Pö

tz

17

:10

LC

:

Pan

el

Dis

cu

ss

ion

"Th

e b

ig d

ata

re

vo

lutio

n in

ma

the

ma

tica

l fin

an

ce"

17

:15

Yin

g J

iao

17

:20

17

:00

Alta

yL

ag

un

as

Me

rin

oA

lag

be

Clo

sin

g R

em

ark

s

16

:50

Clo

sin

g T

alk

:

D5:

W

alter

Sch

ac

herm

ayer

17

:00

16

:30

10

:00

Zach

Fein

ste

in

Eksi-

Alta

yS

hke

lG

ere

ncsé

rLC

:

Pau

l E

mb

rech

ts

D5: C

off

ee

Bre

ak

16

:05

16

:10

D5:

Anto

ine J

ac

qu

ier

LC

: C

off

ee

Bre

ak &

P

oste

r S

essio

nB

avie

raS

ob

ala

15

:40

16

:00

Eya

l Neu

man

15

:20

D5

:

B

runo B

ou

ch

ard

Bir

gh

ilaP

osp

íšil

Ca

lvia

Ko

rsa

ye1

5:1

5

15

:30

D5:

Coff

ee B

reak

15

:10

Kra

tsio

sA

bi J

ab

er

Sig

rid K

ällb

lad

15

:00

15

:00

Off

erm

an

nK

arb

ach

Um

eo

rah

Ba

rucci

De

Ge

nn

aro

A

qu

ino

Alfe

us

Str

ub

Vo

ss

Ard

uca

Kh

osra

wi

Hir

kA

ran

ed

a1

4:4

01

4:3

01

4:3

0

Pete

r B

an

kS

err

an

o

So

uza

14

:15

Sg

arr

aH

erb

ert

sso

nG

ud

ko

v1

4:5

5

14

:10

Marc

el N

utz

Za

ne

tte

Ma

jidK

ova

co

va

14

:00

Sm

irn

ow

Fia

cco

Da

mia

nA

bra

mo

v

Mik

lós

Ráso

nyi

13

:40

Lun

ch B

rea

k1

3:5

0

Gio

rda

no

Ku

rtT

arr

an

t1

3:3

01

3:4

5

13

:20

13

:30

Bla

nka

Ho

rvath

Hla

vin

ová

12

:50

12

:45

Gu

ided

Arc

hit

ectu

ral W

alk

on

WU

Cam

pu

s(r

eg

istr

atio

n n

ece

ssa

ry in

ad

va

nce

)Lu

nch

Bre

ak

&L

C: P

oste

r S

essio

n

12

:40

12

:30

D5: L

unch B

reak

12

:20

Lu

bo

sC

ao

La

dyz

he

tsM

azz

ora

nK

ath

rin G

lau

12

:10

Wu

tte

De

teri

ng

Li

Ba

ckh

off

-V

era

gu

as

Arc

hil

Gu

lisash

vili

12

:00

12

:05

Ko

sh

iya

ma

Ra

do

jicic

Sva

luto

-F

err

o

11

:50

Josef

Teic

hm

an

nL

e C

ou

rto

isA

rai

Be

rtsch

ing

er

Va

lbe

rg-

Ma

dse

n

11

:40

Sch

mo

cke

rS

um

me

rM

un

ari

Ne

nd

el

11

:30

Tik

osi

Ch

en

Ha

ub

old

11

:45

Dam

ir

Filip

ovic

Fis

sle

rL

ian

gP

ackh

am

Ch

riste

nse

n

11

:55

Lie

bri

ch

11

:20

11

:10

Julie

n G

uyo

nP

oh

lG

arc

ia-

Jo

rca

no

Pa

rk

11

:00

11

:00

Luitg

ard

V

era

art

10

:50

Nik

aU

lze

Ort

iz-L

ato

rre

10

:40

10

:40

LC

: C

off

ee

Bre

ak &

P

oste

r S

essio

nL

C: C

off

ee B

rea

k &

P

oste

r S

essio

n

10

:30

10

:30

10

:30

D5:

Coff

ee B

reak

10

:20

10

:20

Lie

bm

an

nG

ap

ee

vO

rih

ue

laLC

:

Ch

rista

Cu

ch

iero

10

:00

10

:00

10

:00

10

:10

10

:10

9:4

59

:50

9:5

0E

mm

anuel

Bacry

LC

: B

eatr

ice

Acc

iaio

Va

nm

ae

leR

igg

er

Ro

ux

9:4

09

:40

9:3

09

:30

9:3

09

:20

9:2

09

:10

9:1

0

LC

: S

eba

stian

Jaim

un

ga

lLC

:

Fre

d E

spe

n B

en

thN

ikola

us

Hau

tsch

Ma

thys

Co

lan

eri

Mo

lito

r

We

lco

me

Ad

dre

ss

9:0

09

:00

9:0

0

8:4

08

:50

8:3

08

:20

Reg

istr

ati

on

8:1

08

:00

Vie

nn

a C

on

gre

ss o

n M

ath

em

ati

cal

Fin

an

ce

- S

ch

ed

ule

fo

r A

ctu

ari

es (

CP

D)

Ple

ase c

learl

y m

ark

th

e t

alk

s y

ou

vis

ited

, e.g

., w

ith

a c

ircle

aro

un

d t

he s

peaker'

s n

am

e.

Mo

n.,

Sep

t. 9

Tu

e.,

Sep

t. 1

0W

ed

., S

ep

t. 1

1

VCMF 2019 – Conference Dinner

https://fam.tuwien.ac.at/vcmf2019

VCMF 2019 – Conference Dinner – Tuesday, September 10, 2019, Vienna City Hall

The Conference Dinner on Tuesday evening will take place in the Vienna City Hall (Wiener Rathaus). In the spectacular Festival Hall (71 meters long, 20 meters wide and 18.5 meters high) we will have a delicious dinner as well as a dancing lesson (from quadrille to Viennese waltz).

19:00: Entrance / official start 19:30: Welcome speech of a representant of the City of Vienna 19:45: Opening of the buffet 20:45: Brief talk Walter Schachermayer 21:00: Dancing lesson 22:00: Dessert 23:30: End of event

Direction to the Vienna City Hall: We suggest taking the metro U2 from stop “Messe Prater” (closest stop to the conference venue) to stop “Rathaus” (German for “Vienna City Hall”). Take exit „Friedrich-Schmidt-Platz, Rathaus“ and walk to the side entrance of the Vienna City Hall in the street „Lichtenfelsgasse“. Walk through the arcade court, take the entrance on the right and then the grand staircase. The free cloakroom is on the first floor, the Festival Hall on the second floor.

(Please note that no luggage is allowed in the Festival Hall. Please leave suitcases or laptop bags at the hotel or check them at the cloakroom.)

Entrance Lichtenfelsgasse to Vienna City Hall (German: Rathaus)

▲

metro U2 ► (to stop „Rathaus“, exit „Friedrich-Schmidt-Platz, Rathaus“)

VCMF 2019 –Conference

https://fam.tuwien.ac.at/vcmf2019

Detailed Schedule of the VCMF 2019 Conference

Campus of WU Vienna, Mon-Wed, September 9-11, 2019

LC Forum, LC - Library & Learning Center, ground floor (LC.0.000) Ceremonial Hall, LC - Library & Learning Center, ground floor (LC.0.100) Room A/B, D5 - Department Building, ground floor (D5.0.001 / D5.0.002)Room C/D/E, D5 - Department Building, 1st floor (D5.1.001 / D5.1.002 / D5.1.003) Mensa Cafeteria, D1/TC - Teaching Center, ground floor

Monday, September 9, 2019, morning

8:00 – 8:50 LC ForumRegistration

8:50 – 9:00 Ceremonial HallWelcome Address

Ceremonial Hall, Chair: Rüdiger Frey

9:00 – 9:50 Sebastian Jaimungal (University of Toronto) “Mean-Field Games with Differing Beliefs for Algorithmic Trading"

9:50 – 10:40 Beatrice Acciaio (London School of Economics) “Causal optimal transport as a tool in time-dependent optimization”

LC Forum10:40 – 11:20 Coffee Break & Poster Session

Room AChair: Christa Cuchiero

Room BChair: Marcel Nutz

Room CChair: Julien Guyon

Room DChair: Rüdiger Frey

Room EChair: Fred Espen Benth

11:20 – 12:05 Damir Filipovic (EPFL and Swiss Finance Institute) “A machine learning approach to portfolio risk management”

11:20 – 11:50 Tobias Fissler(Imperial College London)“Elicitability of Range-Value-at-Risk”

11:20 – 11:50 Zhuoqun Liang(Stockholm School of Economics) “Stochastic volatility models for VIX option pricing”

11:20 – 11:50 Natalie Packham(Hochschule für Wirtschaft und Recht Berlin) “Rating migration processes based on conditional transition matrices”

11:20 – 11:50 Troels Sønderby Christensen(Aalborg University) “A dynamic programming approach for optimizing shipping scheduling in the liquefied natural gas market”

11:50 – 12:20 Olivier Le Courtois(emlyon business school)“Mean-risk and stochastic dominance: a comparison of efficient frontiers”

11:50 – 12:20 Takuji Arai(Keio University) “Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models”

11:50 – 12:20 Nils Bertschinger(Frankfurt Institute for Advanced Studies) “Financial cross-ownership as a structural explanation for rising stock correlations in crisis times”

11:50 – 12:20 Janus Valberg-Madsen(Aalborg University) “A vine copula panel model for day-ahead electricity prices” 12:05 – 12:50

Kathrin Glau(Queen Mary University of London) “Low Rank Tensor Approximation and Deep Learning for Parametric Option Pricing”

12:20 – 12:50 Oliver Lubos (University of Duisburg-Essen) “Natural hedging with fix and floating strike guarantees”

12:20 – 12:50 Jiling Cao (Auckland University of Technology)“Pricing variance swaps under hybrid CEV and stochastic volatility”

12:20 – 12:50 Vladimir S. Ladyzhets(University of Connecticut) “Probability space of regression models and its applications to credit and operational risks”

12:20 – 12:50 Andrea Mazzoran(University of Padova) “A forward model for power markets based on branching processes.”

Mensa Cafeteria / LC Forum 12:50 – 14:10 Lunch Break / Poster Session

VCMF 2019 –Conference

https://fam.tuwien.ac.at/vcmf2019

Monday, September 9, 2019, afternoon

Room AChair: Mathias Beiglböck

Room BChair: Kathrin Glau

Room CChair: Antoine Jacquier

Room DChair: Daniela Escobar

Room EChair: Blanka Horvath

14:10 – 14:55 Marcel Nutz (Columbia University) “Fine Properties of the Optimal Skorokhod Embedding Problem”

14:10 – 14:40 Antonino Zanette(University of Udine) “Machine learning for pricing American options in high dimension”

14:10 – 14:40 Assad Majid(TU Dresden) “A comparison principle between classical and rough Heston models”

14:10 – 14:40 Gabriela Kovacova (WU Vienna) “Time consistency of the mean-risk problem”

14:10 – 14:40 Max Souza (Universidade Federal Fluminense) “Pricing options with non-uniform Fourier transform”

14:40 – 15:10 Luca De Gennaro Aquino (Grenoble École de Management) “Bounds on multiasset derivatives via neural networks”

14:40 – 15:10 Mesias Alfeus (University of Wollongong) “Regime switching rough Heston model”

14:40 – 15:10 Moris Simon Strub(The Chinese University of Hong Kong) “Forward rank-dependent performance criteria: time-consistent investment under probability distortion”

14:40 – 15:10 Moritz Voss (University of California, Santa Barbara)“A two-player price impact game”

14:55 – 15:40 Sigrid Källblad(KTH Royal Institute of Technology) “Stochastic control of measure-valued martingales with applications to robust finance”

15:10 – 15:40 Anastasis Kratsios(ETH Zurich) “Universal Approximation Theorems”

15:10 – 15:40 Eduardo Abi Jaber(École Polytechnique) “Reconciling rough volatility with jumps”

15:10 – 15:40 Alessandro Calvia(University of Milano-Bicocca) “Risk measures and progressive enlargement of filtrations: a BSDE approach”

15:10 – 15:40 Sofonias Alemu Korsaye(University of Geneva, Swiss Finance Institute) “Smart SDFs”

LC Forum15:40 – 16:10 Coffee Break & Poster Session

Ceremonial Hall, Chair: Uwe Schmock

16:10 – 17:00 Paul Embrechts (ETH Zurich) “Hawkes graphs: A graphical tool for the analysis of multi-type event streams”

17:10 – 18:00 Panel Discussion“The big data revolution in mathematical finance”

LC Forum

18:00 – 19:30 Welcome Reception & Poster Presentation

VCMF 2019 –Conference

https://fam.tuwien.ac.at/vcmf2019

Tuesday, September 10, 2019, morning

Ceremonial Hall, Chair: Mathias Beiglböck

9:00 – 9:50 Fred Espen Benth (University of Oslo) “Stochastic volatility in energy and commodity forward markets”

9:50 – 10:40 Christa Cuchiero (WU Vienna) “Deep neural networks, generic universal interpolation and controlled differential

equations”

LC Forum 10:40 – 11:10 Coffee Break & Poster Session

Room AChair: Stefan Gerhold

Room BChair: Christa Cuchiero

Room CChair: Luitgard A. M. Veraart

Room DChair: Peter Bank

Room EChair: Bruno Bouchard

11:10 – 11:55 Julien Guyon(Bloomberg, Columbia Univ., New York Univ.) “The Joint S&P 500/VIX Smile Calibration Puzzle Solved: A Dispersion-Constrained Martingale Transport Approach”

11:10 – 11:40 Mathias Pohl(University of Vienna) “Robust risk aggregation with neural networks”

11:10 – 11:40 Laura Garcia-Jorcano(Universidad de Castilla-La Mancha) “Measuring systemic risk using multivariate quantile-located ES models”

11:10 – 11:40 Hyungbin Park (Seoul National University) “Sensitivity analysis of long-term cash flows”

11:10 – 11:40 Felix-Benedikt Liebrich(LMU Munich) “Robustness vs. tractability: the class (S) property”

11:40 – 12:10 Philipp Schmocker(University of St. Gallen) “Deep stochastic portfolio theory”

11:40 – 12:10 Martin Summer(Oesterreichische Nationalbank) “Systematic systemic stress tests”

11:40 – 12:10 Cosimo Munari(University of Zurich) “Robust portfolio selection under regulatory constraints”

11:40 – 12:10 Max Nendel(Bielefeld University) “Semigroup envelopes and Markov processes under nonlinear expectation”

11:55 – 12:40 Archil Gulisashvili(Ohio University) “Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions”

12:10 – 12:40 Hanna Wutte(ETH Zurich) “Randomized shallow neural networks and their use in understanding gradient descent”

12:10 – 12:40 Nils Detering(University of California Santa Barbara) “Suffocating Fire Sales”

12:10 – 12:40 Hanwu Li(Bielefeld University) “Optimal consumption with Hindy-Huang-Kreps preference”

12:10 – 12:40 Julio Backhoff-Veraguas(University of Vienna and TU Wien) “Adapted Wasserstein distances and their role in mathematical finance”

12:45 – 13:45 Guided Architectural Walk on WU Campus(registration necessary in advance)

Mensa Cafeteria 12:40 – 14:30 Lunch Break

VCMF 2019 –Conference

https://fam.tuwien.ac.at/vcmf2019

Tuesday, September 10, 2019, afternoon

Room AChair: Zehra Eksi-Altay

Room BChair: Michèle Vanmaele

Room CChair: Stefan Gerhold

Room DChair: Damir Filipovic

Room EChair: Uwe Schmock

14:30 – 15:15 Peter Bank (TU Berlin) “Trading with transient price impact”

14:30 – 15:00 Rafael Serrano(Universidad del Rosario)“ALM for insurers in a Lévy-type jump-diffusion model with multiple underwriting lines and nonlinear wealth frictions”

14:30 – 15:00 Carlo Sgarra(Politecnico di Milano) “A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process”

14:30 – 15:00 Alexander Herbertsson(University of Gothenburg) “Dynamic hedging of CDS index options in Markov chain models”

14:30 – 15:00 Nikolay Gudkov(ETH Zurich) “Pricing and hedging of guaranteed minimum benefits using power series approximation techniques”

15:00 – 15:30 Sascha Offermann(University of Duisburg-Essen) “Participating life insurance contracts with periodic premium payments under regime switching”

15:00 – 15:30 Sven Karbach (University of Amsterdam, KdVI) “Ornstein-Uhlenbeck processes in Hilbert spaces with state-dependent stochastic volatility”

15:00 – 15:30 Nneka Ozioma Umeorah(North-West University) “Valuation of basket credit default swaps under stochastic default intensity models”

15:00 – 15:30 Emilio Barucci(Politecnico di Milano) “On the design of Sovereign Bond-Backed Securities” 15:15 – 16:00

Eyal Neuman (Imperial College London) “Deterministic vs Adaptive Strategies for Optimal Execution with Signals”

15:30 – 16:00 Corina Birghila(University of Vienna) “Pareto robust reinsurance contracts”

15:30 – 16:00 Jan Pospíšil (University of West Bohemia) “Robustnes and sensitivity analyses for rough fractional stochastic volatility models”

15:30 – 16:00 Roberto Baviera(Politecnico di Milano) “A closed formula for illiquid corporate bonds and an application to the European market”

15:30 – 16:00 Pawel Sobala(UNIQA Insurance Group)“Pricing Cyber-Insurance using Copula Based Actuarial Model”

D5 – Department Building, 1st floor16:00 – 16:30 Coffee Break

Room AChair: Tobias Fissler

Room BChair: Katia Colaneri

Room CChair: Carlo Sgarra

Room DChair: Max Souza

16:30 – 17:15 Zachary Feinstein (Washington University in St. Louis) “Leverage and Capital Ratio Constrained Fire Sales and Price-Mediated Contagion”

16:30 – 17:00 Zehra Eksi-Altay (WU Vienna) “Momentum and mean reversion under partial information”

16:30 – 17:00 David Shkel(University of Hagen) “Model risk in a rough world”

16:30 – 17:00 Máté Gerencsér (IST Austria) “Discrete approximations of SDEs with irregular drift”

17:00 – 17:30 Sühan Altay (WU Vienna) “Optimal converge trading with unobservable pricing errors”

17:00 – 17:30 Marc Lagunas Merino(University of Oslo) “Pricing and hedging unit-linked policies under rough fractional stochastic volatility (RFSV) models”

17:00 – 17:30 Samson Adekola Alagbe (Isaac Jasper Boro COE, Sagbama) “Derivation and application of a class of hybrid Adams Moulton schemes with continuous coefficients”

17:15 – 18:00 Ying Jiao (Université Claude Bernard Lyon 1) “A branching process approach to default clustering modelling”

17:30 – 18:00 Thijs Kamma(Maastricht University) “Near-optimal investment strategies in incomplete markets”

17:30 – 18:00 Michele Azzone(Politecnico di Milano) “Additive normal tempered stable processes for equity derivatives and power law scaling”

17:30 – 18:00 Christian Pötz (Queen Mary University of London) “Efficient pricing and exposure calculation for early-exercise options using Chebyshev Interpolation”

19:00 – 23:00 Conference Dinnerat the Vienna City Hall

VCMF 2019 –Conference

https://fam.tuwien.ac.at/vcmf2019

Wednesday, September 11, 2019, morning

Room AChair: Junjian Yang

Room BChair: Bruno Bouchard

Room CChair: Sühan Altay

Room DChair: Miklos Rasonyi

9:00 – 9:45 Nikolaus Hautsch(University of Vienna) “Limits to Arbitrage in Markets with Stochastic Settlement Latency”

9:00 – 9:30 Ludovic Mathys(University of Zurich) “Intra-horizon expected shortfall and risk structure in models of jumps”

9:00 – 9:30 Katia Colaneri(University of Leeds) “Value adjustments and dynamic hedging of reinsurance counterparty risk”

9:00 – 9:30 Alexander Molitor(Goethe-Universität) “Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs”

9:30 – 10:00 Michèle Vanmaele(Ghent University) “Utility maximization under time change”

9:30 – 10:00 Stefan Rigger(University of Vienna) “Interacting particle systems, default cascades and the M1-topology”

9:30 – 10:00 Alet Roux (University of York) “Optimal investment and contingent claim valuation with disutility under proportional transaction costs” 9:45 – 10:30

Emmanuel Bacry(École Polytechnique and Université Paris-Dauphine) “Disentangling and quantifying market participant volatility contributions”

10:00 – 10:30 Thomas Liebmann(Thomas Liebmann) “Subordination, conditional expectations, and integration by parts”

10:00 – 10:30 Pavel V. Gapeev(London School of Economics) “Projections in enlargements of filtrations under Jacod's hypothesis and pricing of credit default swaps in two-dimensional models with various information flows”

10:00 – 10:30 José Orihuela(Murcia University) “Mackey constraints for Lebesgue risk measures”

D5 – Department Building, 1st floor10:30 – 11:00 Coffee Break

Room AChair: Irene Klein

Room BChair: Eyal Neuman

Room CChair: Thorsten Rheinländer

Room DChair: Archil Gulisashvili

11:00 – 11:45 Luitgard A. M. Veraart(London School of Economics) “When does portfolio compression reduce systemic risk?”

11:00 – 11:30 Zsolt Nika (Pázmány Péter Catholic University) “Log-optimal investments and adaptive strategies (based on Stochastic Gradient)”

11:00 – 11:30 Markus Ulze(University of Augsburg) “Determinants of implied volatility smiles – An empirical analysis using intraday DAX equity options”

11:00 – 11:30 Salvador Ortiz-Latorre(University of Oslo) “A Hull-White formula for fractional volatility Lévy models”

11:30 – 12:00 Kinga Tikosi(Central European University) “Optimizing threshold-type trading strategies with Kiefer-Wolfowitz algorithm”

11:30 – 12:00 Jun Chen(University of New South Wales)“Application of exponential moving average smoothing to the computation of realized variance for irregular spaced high frequency data”

11:30 – 12:00 Martin Haubold (TU Dresden) “Fractionally time-changed polynomial models”

11:45 – 12:30 New:Josef Teichmann (ETH Zurich) "Representing dynamics through random dynamical systems"

2019-09-04: cancelled: Nizar Touzi(École Polytechnique)

12:00 – 12:30 Adriano Koshiyama(University College London) “Generative adversarial networks for financial trading strategies”

12:00 – 12:30 Dragana Radojicic(FAM @ TU Wien) “Random arrival times for the LOB (Limit Order Book) in the discrete time approximation”

12:00 – 12:30 Sara Svaluto-Ferro(University of Vienna) “Infinite dimensional polynomial jump-diffusions”

Mensa Cafeteria 12:30 – 13:30 Lunch Break

VCMF 2019 –Conference

https://fam.tuwien.ac.at/vcmf2019

Wednesday, September 11, 2019, afternoon

Room AChair: Friedrich Hubalek

Room BChair: Nikolaus Hautsch

Room CChair: Eyal Neuman

Room DChair: Martin Summer

Room EChair: Zachary Feinstein

13:30 – 14:15 Blanka Horvath(King's College and Imperial College London)“Deep pricing and hedging in rough volatility models and beyond”

13:30 – 14:00 Jana Hlavinová(WU Vienna) “Elicitabity and identifiability of systemic risk measures”

13:30 – 14:00 Michele Giordano(University of Oslo) “Maximum principles for Volterra time change processes”

13:30 – 14:00 Kevin Kurt (WU Vienna) “Sovereign Bond backed Securities as a new safe Asset for the Eurozone: a dynamic Credit Risk Perspective”

13:30 – 14:00 Wayne Tarrant(Rose-Hulman Institute of Technology) “Financial contagion and self-organized criticality”

14:00 – 14:30 Alexander Smirnow(University of Zurich) “Systemic intrinsic risk measures”

14:00 – 14:30 Andrea Fiacco(University of Oslo) “On the approximation of Lévy driven Volterra processes and their integrals”

14:00 – 14:30 Camilla Damian(WU Vienna) “EM algorithm for a CIR process with Markov-modulated mean reversion level and application to Eurozone credit spreads”

14:00 – 14:30 Vilen Abramov (BB&T) “CCAR-consistent yield curve stress testing: from Nelson-Siegel to machine learning” 14:15 – 15:00

Miklos Rasonyi(Alfred Renyi Institute of Mathematics) “Optimal investment and correlation decay”

14:30 – 15:00 Maria Arduca(Università degli Studi di Milano Bicocca) “A simple approach to duality for systemic risk measures”

14:30 – 15:00 Wahid Khosrawi(ETH Zurich) “Polynomial Semimartingales”

14:30 – 15:00 Rainer Hirk (WU Vienna)“A joint model of failures and credit ratings”

14:30 – 15:00 Axel Alejandro Araneda(Frankfurt Institute for Advanced Studies) “The fractional Jump-to-Default CEV model: pricing CDS with memory”

D5 – Department Building, 1st floor15:00 – 15:20 Coffee Break

Room A, Chair: Thorsten Rheinländer

15:20 – 16:05 Bruno Bouchard (Université Paris-Dauphine) “Dual formulation for perfect hedging with price impact”

16:05 – 16:50 Antoine Jacquier (Imperial College London) “Deep learning and Path-dependent PDEs for rough local stochastic volatility”

16:50 – 17:20 Closing Talk: Walter Schachermayer (University of Vienna)

“From discrete to continuous time models: Some surprising news on an old topic”

17:20 – 17:30 Closing Remarks

VCMF 2019 – Poster Presentations

https://fam.tuwien.ac.at/vcmf2019

Poster Presentations

WU Vienna, Mon, September 9, 2019, 10:40 (first coffee break) to Tue, September 10, 2019, 11:10 (morning coffee break) LC Forum, LC - Learning Center, ground floor (LC.0.000)

Tereza Cristina Amorelli (Banco do Brasil) Pricing non-traded assets using indifference pricing

Alejandro Balbás (University Carlos III of Madrid/Spain) Golden strategies in derivative markets

Erwinna Chendra (Parahyangan Catholic University) Pricing employee stock options with a binomial method: case study in indonesia

Ewa Dziwok (University of Economics in Katowice) Fund Transfer Pricing mechanism – different approaches to the reference yield’s construction

Alireza Fallahi (Amirkabir University of Technology) Sufficient nonlinear forecasting using factor models

Pavel V. Gapeev (London School of Economics) On the Fourier-Laplace transforms of first exit times for one-dimensional diffusions and their applications to models of stochastic volatility

Laura Garcia-Jorcano (Universidad de Castilla-La Mancha) Traffic light system for systemic stress: TALIS-cube

Ivana Geček Tuđen (University of Zagreb) Ruin probability for discrete risk processes

Darjus Hosszejni (WU Vienna) Approaches toward the Bayesian estimation of the stochastic volatility Model with leverage

Verena Köck (WU Wien) Option hedging in models with jumps

Borys Koval (Vienna University of Economics and Business) Estimating a time-varying parameter model with shrinkage for the Standard&Poor's 500 index.

Djaffar Lessy (Université Cote d'Azur) Markov chain model for microcredit leading to inclusion

Paul Felix Reiter (TU Dresden) Feature engineering in univariate time series forecasting

Anne Sumpf (Technische Universität Dresden) Credit Risk with Credibility Theory: a distribution-free estimator for probability of default, value-at-risk and expected shortfall

VCMF 2019 – Panel Discussion

Panel Discussion Monday, September 9, 2019, 17:10-18:00, Ceremonial Hall, LC - Learning Center (LC.0.000), WU Vienna, Welthandelsplatz 1, 1020 Wien

"The big data revolution in mathematical finance"

Panellists:

• Isabelle Flückiger Managing Director - Accenture, leading the Financial Services Applied Intelligence practice and solutions in Austria, Switzerland, Germany & Russia

• Nikolaus HautschProfessor of Finance and Statistics of University of Vienna

• Jonas HirzBoston Consulting Group (BCG) and Head of the Data Science Section of the Actuarial Association of Austria (AVÖ)

• Sebastian JaimungalProfessor at the Department of Statistical Sciences of University of Toronto, Director of the professional Masters of Financial Insurance program, Chair for the SIAM activity group in Financial Mathematics and Engineering (SIAG/FM&E), Fields-CQAM lab leader for the Systemic Risk Analytics lab.

• Hannes MösenbacherChief Risk Officer and Member of Management Board of Raiffeisen Bank International AG

Moderator:

• Josef TeichmannProfessor of Financial Mathematics, ETH Zürich

Abstract: The financial industry has enthusiastically and profitably embraced big data and computational algorithms such as machine learning to (sometimes seemingly) better substantiate trading and risk management decisions. Specific examples include algorithmic trading, sophisticated pattern recognition methods to find drivers of stock market evolution, neural network approaches to calibration, scenario generation, prediction and many more. This opens new and exciting directions for research in quantitative finance: the development of new statistical methods and tools to treat high dimensional time series, research on automatic trading as well as machine learning techniques for traditional fields such as hedging of derivatives or portfolio optimization. It of course also urges broader questions related to the impact of the big data revolution on financial stability. In the panel discussion we want to shed light on these new developments from the perspective of financial industry, regulators and academia.

https://fam.tuwien.ac.at/vcmf2019