Frontiers in Quantitative Finance

Program 

9:00 Introduction, welcome

9:10 Christa Cuchiero (Universität Wien): Modeling (affine) rough covariance processes

9:55 Mathieu Rosenbaum (Ecole Polytechnique, Paris)

10:40 Coffee break

11:00 Adil Reghaï (Natixis, Paris)

11:45 William McGhee (Citadel, London): ANNs representations - vanillas and exotics

12:30 Lunch

14:00 PhD-session
Anine Bolko (Aarhus University): Estimation of fractional volatility models using high frequency data
Sigurd Emil Rømer (University of Copenhagen): Historical Calibration of Rough Volatility Models
Søren Brøgger Bundgaard Copenhagen Business School)

15:15 Coffee break

15:30 Jesper Andreasen (Saxo Bank)

16:00 Mads Ingwar (Kvasir AI)

16:30 Antoine Savine (Danske Bank): Deep Analytics

18:00 Speakers’ dinner


Participation is free; REGISTER HERE - before 1st October 2019

For information please contact professor Rolf Poulsen, rolf@math.ku.dk