London Oxford Warwick Financial Mathematics Workshop
Workshop Warwick April 2021
Dates: Mon 4th April 2022 and Tue 5th April 2022.
Venue: MS.01 (Zeeman building), Warwick campus.
Call for speakers
We are taking submissions of proposed talks for the next London/Oxford/Warwick workshop. If you would like to give a talk you, please submit your title and abstract using this link by 5pm on Wed 26 Jan (extended to 5pm on Thu 10 Feb). We particularly encourage Postdocs and PhD students to submit proposed talks.
Registration
Please visit the page here to complete your registration details.
Organising Committee
London: John Armstrong, Roxana Dumitrescu, Blanka Horvath
Oxford: Sam Cohen
Warwick: Martin Herdegen, Gechun Liang
Scientific Committee
London: John Armstrong, Antoine Jacquier and Daniel Schwarz.
Oxford: Sam Cohen and Ben Hambly
Warwick: Saul Jacka and Gechun Liang
About
This year we plan to hold three London/Oxford/Warwick Financial Mathematics workshops to bring together researchers at our different institutions and to establish new research networks.
The first London/Oxford/Warwick Financial Mathematics Workshop took take place online on Tue 11 and Wed 12 Jan 2022. The planned face-to-face event in London had to be cancelled due to the coronavirus situation. See details under this link.
The second event (this one) will take place on Mon 4th and Tue 5th April at Warwick campus and will be held face to face.
Details of the Oxford event will be confirmed soon.
Conference Schedule
| Monday 4 April | MS.01 (Zeeman building), Warwick campus |
| 9:45-10:15 |
conference registration |
|
10:15-11:15 |
Keynote talk: Luitgard Veraart (LSE) Systemic Risk in Markets with Multiple Central Counterparties |
|
11:15-12:00 |
Contribution talk: Raymond Pang (LSE) Assessing and mitigating fire sales risk under partial information |
|
12:00-13:30 |
lunch break |
|
13:30-14:15 |
Invited talk: Alex Tse (UCL) Portfolio Selection, Periodic Evaluations and Risk Taking |
|
14:15-15:00 |
Contribution talk: Justin Gwee (LSE) Equilibrium under Proportional Transaction Costs |
|
15:00-15:30 |
coffee break |
|
15:30-16:15 |
Contribution talk: Osian Shelley (Warwick) On Tauberian Theorems for Generalised Signed Measures |
|
16:15-17:00 |
Contribution talk: Andrei Ionescu (KCL) Pathwise and model-free gamma hedging of exotic options using Malliavin calculus and rough path theory |
|
19:00-21:00 |
conference dinner at Scarman Conference centre |
| Tuesday 5 April | MS.01 (Zeeman building), Warwick campus |
| 9:00-10:00 |
Keynote talk: Albina Danilova (LSE) Option Markets in the Age of Robinhood (and before). |
|
10:00-10:30 |
coffee break |
|
10:30-11:15 |
Contribution talk: Yuwei Wang (Warwick) Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications |
|
11:15-12:00 |
Contribution talk: Huining Yang (Oxford) Learning in Linear Quadratic Framework: From Single-agent to Multi-agent |
|
12:00-13:30 |
lunch break |
|
13:30-14:15 |
Invited talk: Pietro Siorpaes (invited talk) How to replace nets with sequences when dealing with martingales |
|
14:15-15:00 |
Contribution talk: Ruiqi Liu (Warwick) The Optimal Control of Inventory and Production for a Hybrid Energy Producer |
|
15:00 |
conference ends |
Conference Abstract link
Miscellaneous
FinMathMentor Mentoring Scheme
The SIAM Activity Group on Financial Mathematics and Engineering and the Bachelier Finance Society have launched a new mentoring scheme for early career financial mathematicians and engineers from underrepresented groups. You can find out more here.
Funding
We are grateful to the Heilbronn Institute of Mathematical Research for partial funding of our workshop series. This HIMR award was funded by the Additional Funding Programme for Mathematical Sciences, a £300 million investment over a five-year period from 2020/21 to 2024/25. This new funding is being delivered by EPSRC. The Programme is providing a significant boost to the UK's world-leading mathematical sciences community, increasing support for this key discipline and increasing the pool of mathematicians able to participate in and deploy state of the art research.
We are also grateful to the Statistics Department at Warwick and Standard Chartered for partial support of the event at Warwick.
