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Conference

The Conference takes place at Shanghai Jiao Tong University, Xuhui campus:

  • Place: Xuhui Campus, Engineering Building (工程馆)
  • Room: Room 102
Time Speaker Title
08:30–08:50 Registration
08:50–09:00 Opening
09:00–09:40 Damir Filipović Fundamental Properties of Linear Factor Models
09:40–10:20 Huyên Pham Learning operators on labelled conditional distributions with applications to mean field control of non exchangeable systems
10:20–10:40 Coffee Break
10:40–11:20 Peter Bank Anticipative optimal investment by rough dynamic programming
11:20–12:00 Juan Li Controllability Concepts for Mean-Field Dynamics With Reduced-Rank Coefficients
12:00–13:40 Lunch
13:40–14:20 Zengjing Chen A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits
14:20–15:00 Yufeng Shi BSDE Deep learning approaches for option pricing
15:00–15:40 Christian Bayer Global and local regression: a signature approach with applications
15:40–16:00 Coffee Break
16:00–16:40 Xuefeng Gao Generating solution paths of Markovian stochastic differential equations using diffusion models
16:40–17:20 Lingfei Li Deep learning of derivatives pricing functions in jump-diffusion models
17:20–18:00 Harry Zheng Reinforcement Learning for Speculative Trading under Exploratory Framework
18:30 Conference Dinner
Time Speaker Title
09:00–09:40 Mathieu Rosenbaum A unified theory of order flow, market impact, and volatility
09:40–10:20 Sebastian Jaimungal Deep Learning and Elicitability for McKean-Vlasov FBSDEs with common noise
10:20–10:40 Coffee Break
10:40–11:20 Jingtang Ma Optimal Investment Under Non-Markovian Models via BSPDEs and Deep Learning
11:20–12:00 Hans Buehler Learning Strictly Arbitrage-Free Option Surfaces
12:00–13:40 Lunch
13:40–14:20 Chenghu Ma Disentangling the quantitative measure of risk and uncertainty
14:20–15:00 Christoph Czichowsky No-Arbitrage, Superreplication and Utility Maximisation in Propagator Transient Price Impact Models
15:00–15:40 Na Li (Dalian) Linear-Quadratic Stochastic Stackelberg Games of N Players for Time-Delay Systems and Related FBSDEs
15:40–16:00 Coffee Break
16:00–18:30 Parallel Sessions

Parallel Sessions — Tue 21

Time Room 102 Room 103
16:00–16:30 Emma Hubert — Revisiting contract theory with volatility control Youssef Ouazzani Chahdi — Trading with market resistance and concave price impact
16:30–17:00 Hélène Halconruy — Local transfer learning for nonparametric regression Xiaozhen Wang — Entropic Optimal Transport Problem with Convex Functional Cost
17:00–17:30 Xin Zhang — Gradient flow for weak optimal transport Yupeng Bai — Self-fictitious-play for Potential Monotone Ergodic Mean-field Games
17:30–18:00 Xiaofei Shi — A Dynamic Equilibrium Model of Liquidity Risk Antoine Debouchage — Transfer learning of entropic optimal transport
18:00–18:30 Kyunghyun Park — Robust Q-Learning for Mean Field Control under Wasserstein Uncertainty in Common Noise Yuchao Dong — A Two-fold Randomization Framework for Impulse Control Problems
Time Speaker Title
09:00–09:40 Alexander Schied Exploring Roughness in Stochastic Processes: From Weierstrass Bridges to Volatility Estimation
09:40–10:20 Shi Jin Quantum Computation of Linear and Nonlinear Partial Differential Equations with financial applications.
10:20–10:40 Coffee Break
10:40–11:20 Xianhua Peng A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging
11:20–12:00 Jing Yao Distributionally Robust Downside Risk Optimization
12:00 Free Afternoon
Time Speaker Title
09:00–09:40 Josef Teichmann Stochastic factors can matter: improving robust growth under ergodicity
09:40–10:20 Stéphane Crépey Comparison of Tax and Cap-and-Trade Carbon Pricing Schemes
10:20–10:40 Coffee Break
10:40–11:20 Nan Chen Optimal Bonding Function for Decentralized Exchange Design: A Convex Analysis Approach
11:20–12:00 Hoi Ying Wong Duality and DeepMartingale for High-Dimensional Optimal Switching
12:00–13:40 Lunch
13:40–14:20 Nan Li (SJTU) The Training Set Delusion: Machine Learning Overfitting in Bitcoin Return and Volatility Prediction
14:20–15:00 Zuoquan Xu Learning to optimally stop diffusion processes, with financial applications
15:00–15:40 Ruimeng Hu Learning Mean Field Games via Mean Field Actor Critic Flow
15:40–16:00 Coffee Break
16:00–18:30 Parallel Sessions

Parallel Sessions — Thu 23

Time Room 102 Room 111
16:00–16:30 Zhenjie Ren — Specific Entropic Martingale Optimal Transport Zhenhua Wang — Existence of Equilibrium for Time-Inconsistent Control Problems by Vanishing Entropy Regularization
16:30–17:00 Wenjing Cao — Quantitative weak propagation of chaos for McKean–Vlasov branching diffusion processes Mehdi Talbi — Deep Learning for the Multiple Optimal Stopping Problem
17:00–17:30 Julien Claisse — Optimal Control of McKean-Vlasov Branching Diffusion Yuchen Sun — Feynman-Kac for Singular HJB-PDE and FBSDE with Application to KPZ
17:30–18:00 Shuoqing Deng — Distribution constrained optimal stopping: beyond the Root-type solution Jiacheng Zhang — Major-Minor Mean Field Game of Stopping: An Entropy Regularization Approach
18:00–18:30 Gu Wang — Continuous Policy and Value Iteration for Stochastic Control Problem and Its Convergence Marko Weber — Incomplete Market Equilibrium under Social Comparisons
Time Speaker Title
09:00–09:40 Min Dai Connecting Singular Control and Optimal Stopping in Multi-Asset Portfolio Selection with Transaction Costs
09:40–10:20 Álvaro Cartea AI Bubbles with Large Language Models
10:20–10:40 Coffee Break
10:40–11:20 Paolo Guasoni A Variational Approach to Portfolio Choice
11:20–12:00 Tianyi Wang Regime switching, time-varying volatility, and discrete-time option pricing
12:00–13:40 Lunch
13:40–14:20 Xiaolu Tan On the regularity of solutions to a class of path-dependent HJB equations
14:20–15:00 Ariel Neufeld Deep Learning algorithm for solving high-dimensional nonlinear PIDEs in finance
15:00–15:40 Chen Yang Arbitrage on Decentralized Exchanges
15:40–16:00 Coffee Break
16:00–16:40 Ruixun Zhang DORADO: Dynamic Optimization of R&D Options
16:40–17:20 Tianyang Nie Connection between MP and DPP for Stochastic Mean-Field Control Problem