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ETH Zurich, 4-6 April 2018

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Schedule

Wednesday April 4, 2018

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Registration

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Introduction

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Fractional Brownian motion with zero Hurst parameter

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Turbocharging Monte Carlo pricing for the rough Bergomi model

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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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Deep Hedging

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Support theorems for path-dependent SDEs

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Pathwise change of variable formulas for weakly differentiable functionals

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Optimal extension to rough paths of Sobolev type

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Stochastic Stefan-type Problems

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State constrained optimal control problems: reachability approach

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Thursday April 5, 2018

 

Information-theoretic limits of approximation through deep neural networks    

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Hybrid point processes and limit order book modelling

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Daily Rebalancing of Leveraged ETFs

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Discrete dividends in continuous time

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The multivariate Kyle model and cross-impact estimation

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Trade duration and the square root law of price impact

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Friday April 6, 2018

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

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