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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.