The 3rd London-Paris Bachelier Workshop on Mathematical Finance

Location:

Thursday, 29 September 2016 : Féderation Bancaire Française, 18 rue la Fayette, 75009 Paris. https://goo.gl/maps/41UqdGCPJRs
Friday, 30 September 2016 : Institut Henri Poincaré, amphithéâtre Hermite, 11 rue Pierre et Marie Curie, 75005 Paris. https://goo.gl/maps/yfzfqbFX6K32

Participation: 

Thanks to our sponsors, there is no registration fee. Coffee breaks and lunch on Friday will be available to all participants. If you are interested in participating to the conference, please send an e-mail to fontana [at] math.univ-paris-diderot.fr

Organizing Committee: (in collaboration with the Bachelier Paris group):

Bruno BOUCHARD (Université Paris Dauphine)
Luciano CAMPI (London School of Economics)
Claudio FONTANA (Université Paris Diderot)
Emmanuel GOBET (École Polytechnique)
Lane HUGHSTON (Brunel University London)
Antoine JACQUIER (Imperial College London)
Teemu PENNANEN (King's College London)
Johannes RUF (University College London)
Xiaolu TAN (Université Paris Dauphine)

Webpage:


Financial Engineering Workshops 2016

These workshops take place at Cass Business School (Room 2005), 18:10 - 19:15. Light refreshments are available in the room at 17:40. Participation is free but registration is essential. Please telephone 020 7040 0928 or email faculty.administration@city.ac.uk.  

For more information : http://www.cass.city.ac.uk/research-and-faculty/faculties/faculty-of-finance/seminars-and-workshops/financial-engineering-workshops 

05 October 2016"From Macro to Micro Variables: Under Determination and Network Effects - How Can Machine Learning Techniques Help"
Alexander Denev, (Head of Quantitative Research IHS Markit) 
19 October 2016"Pricing and Hedging of European Plain Vanilla Options Under Jump Uncertainty"
Olaf Menkins, (Dublin City University, Ireland)
02 November "Multiple Curve Interest Rate Modelling with Negative Rates"
Ernst Eberlein (Department of Mathematical Stochastic's, University of Freiburg)
16 November 2016"Risk Optimisation"
Ben Burnett & Simon O'Callaghan, (Barclays Corporate & International)
30 November 2016"The New XVA: MVA, KVA and NSFR-VA"
Matteo Rolle, (Head of Capital and Collateral Optimisation at Lloyds Banking Group)