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ETH Zurich, 4-6 April 2018

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Fractional Brownian motion with zero Hurst parameter

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Functional central limit theorems for rough volatility models

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A log-normal rough volatility FX framework

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Support theorems for path-dependent SDEs

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Optimal extension to rough paths of Sobolev type

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Information-theoretic limits of approximation through deep neural networks    

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Daily Rebalancing of Leveraged ETFs

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The multivariate Kyle model and cross-impact estimation

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Friday April 6, 2018

Deep learning, curse of dimensionality, and stochastic approximation algorithms for PDEs

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