March 10, 2020
In this workshop, Mathieu Rosenbaum (Ecole Polytechnique) and Johannes Muhle-Karbe (Imperial College London) will survey recent progress in Market Microstructure. More specifically, they will discuss the statistical modelling of limit-order books, the design and transaction-cost analysis of optimal trading strategies, and how liquidity risk is priced over time and across different assets.
- Johannes Muhle-Karbe, professor, Department of Mathematics, Imperial College London and chair in Mathematical Finance and director, CFM-Imperial Institute of Quantitative Finance
- Mathieu Rosenbaum, professor, Ecole Polytechnique
Deep learning volatility
March 13, 2020
Join a trio of quants who combined established models with number-crunching machine learning tools to optimise model calibration, showing it is possible to have the best of both worlds in volatility modelling and beyond. This pioneering approach has been widely recognized in finance community and gained the Risk.net award this year.
Blanka Horvath, lecturer in financial mathematics, King's College London
Aitor Muguruza, equities research quant, Natixis & PhD student, Imperial College London
Mehdi Tomas, PhD student, École Polytechnique