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Oxford-ETH Workshop
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Monday 26 JuneDickson Poon Building, St Hugh's College on Mathematical & Computational Finance
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09:00 - 09:30Registration and coffee
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9:25-9:30Rama Cont (Oxford)Welcome
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A robust start
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9:30-10:00Jan Obloj (Oxford)Wasserstein adversarial robustness for neural networks
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10:00-10:30Saad Labyad (Oxford) Estimation of Hawkes processes and application to high-frequency finance
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10:30 - 11:00Coffee Break
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McKean meets Vlasov
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11.00 - 11.30Philipp Jettkant (Oxford)Optimal Bailout in a Mean-Field Systemic Risk Model with Contagious Defaults
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11:30-12:00Robert Crowell (ETH)
Weak existence for McKean-Vlasov SDE's with common noise and propagation of chaos
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12:00-12:30Maria-Olympia Tsianni (Oxford)A regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models
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12:30 -13:30Lunch (Wordsworth Room)
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Computational methods
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14:00-14:30Justin Sirignano (Oxford)Global Convergence of the Deep Galerkin Method for Solving Partial Differential Equations
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14:30 -15:00Florian Krach (ETH)Regret-Optimal One-Shot Federated Transfer-Learning
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15:00- 15:30Filippo De Angelis (Oxford)Multilevel Function Approximation
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15:30 - 16:00Tea Time
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V for volatility
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16:00-16:30Milena Vuletic (Oxford)Simulation of arbitrage-free implied volatility surfaces
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16:30-17:00David Martins (ETH)Mean-variance hedging in the rough Heston model
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17:00-17:30Aymeric Vie (Oxford)
Simulating the S&P500 universe with a data-driven agent-based model of mutual funds
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19:30-22:00
Dinner (Wordsworth Room, St Hugh's College)
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Tuesday June 27
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S for Signatures
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9:00-9:30Josef Teichmann (ETH)Invariant Theory on path space
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9:30-10:00Owen Futter (Oxford)Robust Factor-Based Trading Strategies using Signatures
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10:00-10:30Lingyi Yang (Oxford & Alan Turing Institute)Economic Nowcasting with signatures
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10:30 - 11:00Coffee Break
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Deep learning
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11.00 - 11.30Alain Rossier (Oxford)Asymptotic analysis of Deep Learning algorithms
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11:30-12:00Jakob Heiss (ETH)Bayesian Optimization-based Combinatorial Assignment
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12:00-12:30Felix Illes (ETH)Deep Hedging Energy Futures using a Mean Variance Objective
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12:30 -14:00Lunch (Wordsworth Room)
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G for Games
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14:00-14:30Dylan Possamai (ETH)Golden parachutes and accidents in Sannikov’s contracting problem
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14:30 -15:00Wei Xiong (Oxford)
Dynamics of Market Making Algorithms in Dealer Markets: Learning and Tacit Collusion
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15:00- 15:30Patrick Chang (Oxford Man Institute)A Folk Theorem from Learning in Games
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15:30 - 16:00Tea Time
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Decentralised Finance
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16:00-16:30Thomas Krabichler (ETH)Automated Market Makers and their Implications for Liquidity Providers
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16:30-17:00Faycal Drissi (Oxford Man Institute)Automated Market Makers Designs Beyond Constant Functions
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17:00-17:15
Rama Cont (Oxford) and Josef Teichmann (ETH)
 Conclusion
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