Conference Programme

BFS World Congress 2026 (Bologna)

Modified

May 28, 2026

Preliminary programme. The schedule may be subject to changes.

Day 1 AM · PM

Day 2 AM · PM

Day 3 AM · PM

Day 4 AM · PM

Day 5 AM

500Talks

49Mini-symposia

127Sessions

39Countries

Day 1

General programme

Time	Session	Room	Event
9:00 - 10:00	AM	Room 1	Nicole El KarouiBachelier LectureT.B.D.
10:00 - 10:30	AM		Coffee Break
10:30 - 12:30	AM	Rooms 1-14	Parallel sessions
12:30 - 14:00	PM		Lunch Break
14:00 - 16:00	PM	Rooms 1-14	Parallel sessions
16:00 - 16:30	PM		Coffee Break
16:30 - 17:30	PM	Room 1	Sebastian JaimungalPlenary SessionT.B.D.
19:00 - onwards	PM		Welcome Reception: Chiostro San Giovanni in Monte

Morning

Room	Session	Talks	Speakers
Room 1	Recent developments in interest rate modeling - Part 1Mini-symposium (ID_65)	4	Erik Schlögl; Simona Sanfelici; Simone Pavarana; Thorsten Schmidt
Room 2	Deep learning methods for stochastic control and BSDEsMini-symposium (ID_215)	4	Ariel Neufeld; Kristoffer Andersson; Zhipeng Huang; Cornelis Oosterlee
Room 3	Contemporary Stochastic Control of Interacting Particle SystemsMini-symposium (ID_247)	4	Guillermo Alonso Alvarez; Agnes Sulem; Zhongyuan Cao; Fabrice Djete
Room 4	Memory in Quantitative Finance - Part 1Mini-symposium (ID_40) - Part 1	4	Edouard Motte; Christian Bayer; Dimitri Sotnikov; Florian Gutekunst
Room 5	Topics in Contemporary Stochastic Control of Interacting Particle SystemsMixed mini-symposium (ID_54)	4	Chiara Rossato; Lane Chun Yeung; Ludovic Tangpi; Alekos Cecchin
Room 6	Recent advances in Stackelberg games and applicationsMini-symposium (ID_57)	4	Emma Hubert; Nicolas Hernandez; Matías Vera Villalobos; Thibaut Mastrolia
Room 7	Advances in Market Microstructure, Market Making, and CompetitionMini-symposium (ID_79)	4	Julius Graf; Adrien Mathieu; Philippe Bergault; Martin Herdegen
Room 8	HedgingOral session	4	Carlos Octavio Perez Mendoza; Andrea Pallavicini; Konstantinos Chatziandreou; Purba Banerjee
Room 9	Interest Rates/Term-Structure ModelsOral session	4	Stefano Herzel; Ali Movahhedrad; Felix Sachse; Claudio Fontana
Room 10	Credit RiskOral session	4	Fabio Menozzi; Joshua Hayes; Elia Smaniotto; Felix Barrez Tambe Ndonfack
Room 11	Risk ManagementOral session	4	Lea Zicchino; Elisa Mastrogiacomo; Cosimo Munari; Steven Kou
Room 12	Empirical FinanceOral session	4	Cathy Goldberg; Vicky Henderson; Seungju Lee; Xunbai Yin
Room 13	Jump-Diffusions/Levy ProcessesOral session	4	Yildiray Yildirim; Fabio Baschetti; Adamaria Perrotta; Andrea Mazzoran
Room 14	Stochastic VolatilityOral session	4	Andrea Macrina; Eghbal Rahimikia; Laura Bonisoli; Dennis Schroers
Poster		2	Kensuke Kato; Maren Dück

Room 1Mini-symposium (ID_65) Recent developments in interest rate modeling - Part 1 Organizer: Claudio Fontana

4 talks

1

ID_701 — Implications of Scheduled Jumps in Interest Rate Term Structure DynamicsMS

Erik Schlögl (University of Technology Sydney, Australia)
2

ID_593 — Short-rate models with stochastic discontinuities: a PDE approachMS

Simona Sanfelici (Università degli Studi di Parma, Italy)
3

ID_300 — An extended CIR process with stochastic discontinuitiesMS

Simone Pavarana (University of Freiburg, Germany)
4

ID_734 — Affine and polynomial modeling of overnight ratesMS

Thorsten Schmidt (University of Freiburg, Germany)

Room 2Mini-symposium (ID_215) Deep learning methods for stochastic control and BSDEs Organizer: Kristoffer Andersson

4 talks

1

ID_562 — Deep Learning Algorithm for Solving High-dimensional Nonlinear PIDEs in FinanceMS

Ariel Neufeld (Nanyang Technological University, Singapore)
2

ID_565 — A deep solver for backward stochastic Volterra integral equationsMS

Kristoffer Andersson (Università degli studi di Verona, Italy)Organizer
3

ID_573 — The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in FinanceMS

Zhipeng Huang (University of Utrecht, Mathematical Institute, Mathematical Modelling, Netherlands)
4

ID_737 — The Deep Multi-FBSDE Method: A Robust Deep Learning Method for Coupled FBSDEsMS

Cornelis Oosterlee (University of Utrecht, Mathematical Institute, Mathematical Modelling, Netherlands)

Room 3Mini-symposium (ID_247) Contemporary Stochastic Control of Interacting Particle Systems Organizer: Idris Kharroubi

4 talks

1

ID_556 — Contracting a crowd of heterogeneous agentsMS

Guillermo Alonso Alvarez (University of Michigan, United States)
2

ID_567 — Graphon Mean-Field Games with Jumps and approximate Nash equilibria of large network gamesMS

Agnes Sulem (INRIA Paris, France)
3

ID_697 — Probabilistic Analysis of Heterogeneous Mean Field Control with Graphon InteractionsMS

Zhongyuan Cao (NYU Shanghai, China)
4

ID_743 — A non-exchangeable mean field control problem with controlled interactionsMS

Fabrice Djete (Ecole Polytechnique, France)

Room 4Mini-symposium (ID_40) - Part 1 Memory in Quantitative Finance - Part 1 Organizer: Eduardo Abi Jaber

4 talks

1

ID_541 — Signature approach for pricing and hedging path-dependent options with frictionsMS

Edouard Motte (Université catholique de Louvain, Belgium)
2

ID_571 — Global and local regression: a signature approach with applicationsMS

Christian Bayer (WIAS Berlin, Germany)
3

ID_597 — Signature volatility model: Martingale property and Laplace transformMS

Dimitri Sotnikov (Ecole Polytechnique, France)
4

ID_675 — Optimal Consumption in non-Markovian Stochastic Factor ModelsMS

Florian Gutekunst (University of Warwick, United Kingdom)

Room 5Mixed mini-symposium (ID_54) Topics in Contemporary Stochastic Control of Interacting Particle Systems Organizer: Camilo Hernández

4 talks

1

ID_542 — Variance strikes back: sub-game–perfect Nash equilibria in time‑inconsistent \(N\)‑player games, and their mean‑field sequelMS

Chiara Rossato (ETH Zurich, Switzerland)
2

ID_607 — Quantitative propagation of chaos and fluctuation limits for non-exchangeable diffusionsMS

Lane Chun Yeung (Illinois Institute of Technology, United States)
3

ID_752 — The convergence problem for ergodic mean field gameMS

Ludovic Tangpi (Princeton University, United States)
4

ID_417 — Convergence for linear quadratic potential mean field games

Alekos Cecchin (University of Padova, Italy)

Room 6Mini-symposium (ID_57) Recent advances in Stackelberg games and applications Organizer: Matías Vera Villalobos

4 talks

1

ID_574 — Revisiting contract theory with volatility controlMS

Emma Hubert (Université Paris Dauphine, France)
2

ID_585 — Closed-loop Equilibria for Stackelberg Games: A Story About Stochastic TargetsMS

Nicolas Hernandez (Universidad Técnica Federico Santa María, Chile)
3

ID_706 — Revisiting deterministic Stackelberg games with closed-loop strategiesMS

Matías Vera Villalobos (ETH Zurich, Switzerland)Organizer
4

ID_708 — Incentives, Competition and Efficiency in Auction MarketsMS

Thibaut Mastrolia (UC Berkeley, United States)

Room 7Mini-symposium (ID_79) Advances in Market Microstructure, Market Making, and Competition Organizer: Leandro Sánchez Betancourt

4 talks

1

ID_536 — Learning Market Making with Closing AuctionsMS

Julius Graf (UC Berkeley, United States)
2

ID_548 — Market Making, Informed Trading, and the Price of InformationMS

Adrien Mathieu (University of Oxford, United Kingdom)
3

ID_669 — Optimal Exit Time for Liquidity Providers in Automated Market MakersMS

Philippe Bergault (Université Paris Dauphine, France)
4

ID_731 — Optimal Dynamic Fees in Automated Market MakersMS

Martin Herdegen (Universität Stuttgart, Germany)

Room 8Oral session Hedging

4 talks

1

ID_47 — Deep Hedging with Options Using the Implied Volatility Surface

Carlos Octavio Perez Mendoza (Concordia University, Canada)
2

ID_129 — Optimal strategy and deep hedging for share repurchase programs

Andrea Pallavicini (Intesa Sanpaolo, Italy)
3

ID_220 — Semi-static variance optimal hedging of multi-asset derivatives under affine stochastic covariance models

Konstantinos Chatziandreou (University of Amsterdam, Netherlands)
4

ID_398 — Robust Static Hedging of path-dependent options using Martingale Optimal Transport

Purba Banerjee (Indian Institute of Science, India)

Room 9Oral session Interest Rates/Term-Structure Models

4 talks

1

ID_84 — Sensitivity of the Euro OIS Term Structure to ECB Policy Rate Surprises

Stefano Herzel (University of Rome - Tor Vergata, Italy)
2

ID_182 — Stochastic Short Rate Interpolation of Monetary Policy Decision Updates

Ali Movahhedrad (Universtiy college London Department of Mathematics, United Kingdom)
3

ID_464 — Term Structure Shapes in the Hull-White Model with Svensson-Parameterized Initial Yield Curves

Felix Sachse (Saarland University, Germany)
4

ID_474 — Data-driven Heath-Jarrow-Morton models

Claudio Fontana (University of Padova, France)

Room 10Oral session Credit Risk

4 talks

1

ID_616 — A Coherent Framework for Transition Matrices and Credit Spread Term Structures Simulation

Fabio Menozzi (Prometeia, Italy)
2

ID_10 — Joint Learning of Credit Ratings and Term Structures

Joshua Hayes (EPFL, Switzerland)
3

ID_386 — Assessing the presence of the physical risk with a structural credit risk model

Elia Smaniotto (Università Cattolica del Sacro Cuore, Italy)
4

ID_387 — Filtering Credit Risk with Stochastic Discontinuities

Felix Barrez Tambe Ndonfack (University of Freiburg, Germany)

Room 11Oral session Risk Management

4 talks

1

ID_594 — Measuring and Mapping Public Investment for Hydrologic Risk Management in Italy

Lea Zicchino (Prometeia, Italy)
2

ID_459 — Ranking Metrics: Extending Acceptability and Performance Indexes

Elisa Mastrogiacomo (Università dell’Insubria, Italy)
3

ID_471 — How to reduce risk by increasing risk

Cosimo Munari (Università degli studi di Verona, Italy)
4

ID_45 — Tail Dispersion Measures: From Inequality Indices to Relative Risk Measures

Steven Kou (Boston University, United States)

Room 12Oral session Empirical Finance

4 talks

1

ID_39 — From risk-on to risk-off: The role of risk and uncertainty in shaping market sentiment

Cathy Goldberg (University of San Francisco, United States)
2

ID_61 — Memory Shapes Reaction to Extreme Returns in Stock Sale Decisions

Vicky Henderson (University of Warwick, United Kingdom)
3

ID_105 — Predicting Cryptocurrency Returns with Multi-Agent LLM Stress Scores

Seungju Lee (Seoul National University, Korea, Republic of)
4

ID_135 — Mean-Variance Hedging in Informational Markets

Xunbai Yin (University of Alberta, Canada)

Room 13Oral session Jump-Diffusions/Levy Processes

4 talks

1

ID_230 — No-Arbitrage Valuation of Residential Real Estate: Evidence from Rent-to-Own Contracts

Yildiray Yildirim (Baruch college, United States)
2

ID_309 — Polynomial Path-Dependent Volatility models

Fabio Baschetti (University of Verona, Italy)
3

ID_313 — Wealth dynamics in a multi-aggregate closed monetary system

Adamaria Perrotta (University C, Ireland)
4

ID_316 — Joint Calibration of Affine Jump-Diffusion Models to S&P 500 and VIX Option Data

Andrea Mazzoran (University of Freiburg, Germany)

Room 14Oral session Stochastic Volatility

4 talks

1

ID_470 — Information-Based Martingale Optimal Transport

Andrea Macrina (Department of Mathematics, University College London, United Kingdom)
2

ID_508 — Re(Visiting) Time Series Foundation Models in Finance

Eghbal Rahimikia (Manchester University, United Kingdom)
3

ID_115 — A PDV Extension of the FMM for Long-Term Simulations

Laura Bonisoli (Università degli studi di Verona, Italy)
4

ID_380 — Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

Dennis Schroers (University of Bonn, Germany)

Poster

2 posters

1

ID_159 — Pricing Model for Path-Dependent American Options Using Tensors

Kensuke Kato (SMBC, Japan)
2

ID_238 — Time-Dependent Mean Reversion in Hawkes-Based Heston Models

Maren Dück (Justus Liebig University, Germany)

Afternoon

Room	Session	Talks	Speakers
Room 1	Martingale Optimal Transport and friends: new frontiers, numerics and applicationsMini-symposium (ID_298)	4	Benjamin Jourdain; Manuel Hasenbichler; Antoine Debouchage; Gregoire Loeper
Room 2	Memory in Quantitative Finance - Part 2Mini-symposium (ID_40) - Part 2	4	Bruno Dupire; Christa Cuchiero; Paul Peter Hager; Caroline Hillairet
Room 3	Recent developments in interest rate modeling - Part 2Mini-symposium (ID_70)	4	Damir Filipović; Andreas Celary; Silvia Lavagnini; Lech Grzelak
Room 4	Optimal Control and Incentive Design in Automated Market MakersMini-symposium (ID_80)	4	Marina Georgiou; Sébastien Bieber; Xuedong He; Steve Zambou Woukeng
Room 5	Optimal Control/OptimizationOral session	4	Haoyang Cao; Davide Zanni; Daria Sakhanda; Tianjiao Yang
Room 6	Advances in optimal control with applications in financeMini-symposium (ID_88)	4	Zhenhua Wang; Ruyi Liu; Jingjie Zhang; Fengyi Yuan
Room 7	Stochastic Volterra modelsMini-symposium (ID_101)	4	Aurélien Alfonsi; Alexandre Pannier; Sergio Pulido; Alessandro Bondi
Room 8	Machine Learning including reinforcement learning and deep learningOral session	4	Daisuke Yoshikawa; Andrea Ruglioni; Yihe Qian; Energy Sonono
Room 9	Stochastic VolatilityOral session	4	Lorenz Schneider; Lorenzo Lombardi; Roberto Daluiso; Ying Liao
Room 10	Credit Risk/Credit PortfoliosOral session	4	Masahiko Egami; Pasquale Cirillo; Federico Maglione; Alexander Herbertsson
Room 11	Systemic RiskOral session	4	Dohyun Ahn; Florian Grell; Markus Karl; Alexander Voß
Room 12	Learning in Dynamic Games: Theory, Algorithms and Applications - Part 1Mini-symposium (ID_426) - Part 1	4	Philipp Plank; Ruimeng Hu; Zakaria Bensaid; Felix Hoefer
Room 13	Jump-Diffusions/Levy ProcessesOral session	4	Sascha Desmettre; Marco Vitelli; Josep Vives Santa Eulalia; Massimiliano Moda
Room 14	Limit-Order Books/Market Frictions/Liquidity/Optimal ExecutionOral session	4	Konstantinos Stefanakis; Gemma Sedrakjan; Fenghui Yu; Alex Tse
Poster		2	Ioanna-Yvonni Tsaknaki; Hideki Iwaki

Room 1Mini-symposium (ID_298) Martingale Optimal Transport and friends: new frontiers, numerics and applications Organizer: Jan Obloj

4 talks

1

ID_600 — Regularity of the Wasserstein projections in the convex orderMS

Benjamin Jourdain (Ecole des Ponts ParisTech - CERMICS, France)
2

ID_624 — The Martingale Sinkhorn AlgorithmMS

Manuel Hasenbichler (Technical University of Gratz, Austria)
3

ID_636 — Generative Transfer for Entropic Optimal Transport with Unknown CostsMS

Antoine Debouchage (University Evry Paris-Saclay, France)
4

ID_715 — From entropic transport to martingale transport, and applications to model calibrationMS

Gregoire Loeper (BNP ParisBas, France)

Room 2Mini-symposium (ID_40) - Part 2 Memory in Quantitative Finance - Part 2 Organizer: Eduardo Abi Jaber

4 talks

1

ID_691 — Functional Expansions and Path Dependent OptionsMS

Bruno Dupire (Bloomberg, United States)
2

ID_713 — Dynamic universal approximation and modeling with signature SDEsMS

Christa Cuchiero (University of Vienna, Austria)
3

ID_714 — Signature-inspired advances in non-Markovian optimal control: open-loop, closed-loop, analytic, kernel-based, and dualMS

Paul Peter Hager (University of Vienna, Austria)
4

ID_726 — Multivariate Self-Exciting Processes with DependenciesMS

Caroline Hillairet (ENSAE, France)

Room 3Mini-symposium (ID_70) Recent developments in interest rate modeling - Part 2 Organizer: Alessandro Gnoatto

4 talks

1

ID_586 — Transfer Learning Across Fixed-Income Product ClassesMS

Damir Filipović (EPFL, Switzerland)
2

ID_547 — Invariant Spaces for Kernel Interpolation Schemes of the Discount CurveMS

Andreas Celary (WU Vienna, Austria)
3

ID_590 — Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve SettingMS

Silvia Lavagnini (BI Norwegian Business School, Norway)
4

ID_729 — On the Hull-White model with volatility smile for Valuation AdjustmentsMS

Lech Grzelak (University of Utrecht, Mathematical Institute, Mathematical Modelling, Netherlands)

Room 4Mini-symposium (ID_80) Optimal Control and Incentive Design in Automated Market Makers Organizer: Leandro Sánchez Betancourt

4 talks

1

ID_692 — Fixed For Floating Swap in AMM Liquidity ProvisionMS

Marina Georgiou (Stevens Institute, United States)
2

ID_705 — Optimal Funding Rate Mechanisms in Cryptocurrency Perpetual FuturesMS

Sébastien Bieber (Université Paris Dauphine, France)
3

ID_712 — Arbitrage on Decentralized ExchangesMS

Xuedong He (The Chinese University of Hong Kong, Hong Kong)
4

ID_735 — A Grid-Based Approach to Optimal Liquidity Provision in Automated Market MakersMS

Steve Zambou Woukeng (University of Oxford, United Kingdom)

Room 5Oral session Optimal Control/Optimization

4 talks

1

ID_423 — A Two-fold Randomization Framework for Impulse Control Problems

Haoyang Cao (Johns Hopkins University, United States)
2

ID_431 — A Schrödinger Bridge approach for the generation of OHLC financial data

Davide Zanni (Centre de Mathématiques Appliquées, Ecole Polytechnique, France)
3

ID_452 — Infinite-Horizon Optimal Control of Jump-Diffusion Models for Pollution-Dependent Disasters

Daria Sakhanda (ETH Zürich, Department of Mathematics, Switzerland)
4

ID_453 — Pathwise Learning of Stochastic Dynamical Systems with Partial Observations

Tianjiao Yang (University of Tennessee, United States)

Room 6Mini-symposium (ID_88) Advances in optimal control with applications in finance Organizer: Zhou Zhou

4 talks

1

ID_538 — On the Well-Posedness of Extended HJB Equations for Time-Inconsistent Control ProblemsMS

Zhenhua Wang (Shandong University, China)
2

ID_539 — Optimal Information Disclosure In A Stackelberg GameMS

Ruyi Liu (University of New South Wales, Australia)
3

ID_629 — Stackelberg stopping gamesMS

Jingjie Zhang (University of International Business and Economics, China)
4

ID_651 — Mean-field games with rough common noise: the compactification approachMS

Fengyi Yuan (Chinese University of Hong Kong (Shenzhen), China)

Room 7Mini-symposium (ID_101) Stochastic Volterra models Organizer: Sergio Pulido

4 talks

1

ID_549 — Weak error approximation for rough and Gaussian mean-reverting stochastic volatility modelsMS

Aurélien Alfonsi (Ecole des Ponts ParisTech - CERMICS, France)
2

ID_572 — Kolmogorov equations for stochastic Volterra processes with singular kernelsMS

Alexandre Pannier (Université Paris Cité - LPSM, France)
3

ID_667 — Explosions of stochastic Volterra equationsMS

Sergio Pulido (ENSIIE, France)Organizer
4

ID_690 — Osgood-type criteria for stochastic Volterra equations with additive noiseMS

Alessandro Bondi (Luiss University Rome, Italy)

Room 8Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_36 — Machine learning approach for asset pricing

Daisuke Yoshikawa (Kansai University, Japan)
2

ID_122 — Beyond the Mean: A Probabilistic Linear Factor Model

Andrea Ruglioni (EPFL, Switzerland)
3

ID_148 — What Drives Stock Return Predictability: Models, Data, or Market Regimes?

Yihe Qian (The Hong Kong Polytechnic University, Hong Kong)
4

ID_293 — A structural-deep Bayesian framework for uncertainty-aware forecasting and macroeconomic shock modelling in financial markets

Energy Sonono (North-West University, South Africa)

Room 9Oral session Stochastic Volatility

4 talks

1

ID_64 — Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models

Lorenz Schneider (EMLYON Business School, France)
2

ID_274 — Model calibration with no-arbitrage constraints on the option prices and on the implied volatility

Lorenzo Lombardi (University of Salerno, Italy)
3

ID_428 — Rough volatility dynamics in commodity markets

Roberto Daluiso (Intesa Sanpaolo, Italy)
4

ID_485 — Implied volatility expansions in forward variance models for VIX options

Ying Liao (University of Glasgow, United Kingdom)

Room 10Oral session Credit Risk/Credit Portfolios

4 talks

1

ID_19 — Loss-given-default modeling by post-last passage time process

Masahiko Egami (Kyoto University, Japan)
2

ID_127 — The Softmax of Default: Exact Pricing and Analytic Risk Attribution for First-to-Default Basket Swaps with Heterogeneous Recoveries

Pasquale Cirillo (ZHAW School of Management and Law, Switzerland)
3

ID_136 — Option-implied asset volatility surfaces

Federico Maglione (University of Florence, Italy)
4

ID_359 — Optimal collateralization levels in OTC-trading networks

Alexander Herbertsson (University of Gothenburg, Sweden)

Room 11Oral session Systemic Risk

4 talks

1

ID_20 — Bond Pricing in Financial Networks

Dohyun Ahn (The Chinese University of Hong Kong, Hong Kong)
2

ID_203 — Fair Control of Financial Networks via Reinforcement Learning

Florian Grell (Heinrich Heine University Düsseldorf, Germany)
3

ID_361 — A Gibbs Sampler for Financial Network Models with multiple CCPs

Markus Karl (LSE, United Kingdom)
4

ID_482 — Assessing and Mitigating Systemic Cyber Risk in Financial Networks

Alexander Voß (Leibniz Universität Hannover, Germany)

Room 12Mini-symposium (ID_426) - Part 1 Learning in Dynamic Games: Theory, Algorithms and Applications - Part 1 Organizer: Yufei Zhang

4 talks

1

ID_544 — Learning Distributed Equilibria in Linear-Quadratic Stochastic Differential Games: An alpha-Potential ApproachMS

Philipp Plank (Imperial College London, United Kingdom)
2

ID_551 — Learning Mean Field Games via Mean Field Actor Critic FlowMS

Ruimeng Hu (University of California, Santa Barbara, United States)
3

ID_595 — Deep learning algorithms for FBSDEs with jumps: Applications to a MFG model for smart gridsMS

Zakaria Bensaid (Le Mans University, France)
4

ID_626 — Iterative Schemes for Markov Perfect EquilibriaMS

Felix Hoefer (Princeton University, United States)

Room 13Oral session Jump-Diffusions/Levy Processes

4 talks

1

ID_27 — Pricing of geometric Asian options in the Volterra‑Heston model

Sascha Desmettre (Johannes Kepler University Linz, Austria)
2

ID_112 — Parametric local volatility: exact prices lead to sound continuous Markovian models

Marco Vitelli (Università di Bologna, Italy)
3

ID_249 — Option price asymptotics under stochastic volatility Lévy models with infinite activty jumps

Josep Vives Santa Eulalia (Universitat de Barcelona, Spain)
4

ID_305 — Numerical Valuation of European Options under Two-Asset Infinite Activity Exponential Lévy Models

Massimiliano Moda (University of Antwerp, Belgium)

Room 14Oral session Limit-Order Books/Market Frictions/Liquidity/Optimal Execution

4 talks

1

ID_191 — Log optimality with small liability stream

Konstantinos Stefanakis (University of Piraeus, Greece)
2

ID_373 — Trading with the flow: Optimal execution and liquidity provision in a stylized limit order book model

Gemma Sedrakjan (Technische Universitat Berlin, Germany)
3

ID_447 — Unified Signal-Driven Optimal Quoting Strategies

Fenghui Yu (TU Delft, Netherlands)
4

ID_495 — Optimal Market-Making with Hawkes Process: A Markovian Approximation Approach via Mercer’s Expansion

Alex Tse (Department of Mathematics, University College London, United Kingdom)

Poster

2 posters

1

ID_254 — Tackling estimation risk in Kelly investing using options

Ioanna-Yvonni Tsaknaki (Scuola Normale Superiore di Pisa, Italy)
2

ID_299 — Time-Consistent Optimized Certainty Equivalent: Primal–Dual Theory, Properties, and Explicit Solutions

Hideki Iwaki (Tokyo University of Science, Japan)

Day 2

General programme

Time	Session	Room	Event
9:00 - 10:00	AM	Room 1	Luitgard VeraartPlenary SessionT.B.D.
10:00 - 10:30	AM		Coffee Break
10:30- 12:30	AM	Rooms 1-14	Parallel sessions
12:30 - 14:00	PM		Lunch Break
14:00 - 16:00	PM	Rooms 1-14	Parallel sessions
16:00 - 17:00	PM		BFS General Assembly
17:00 - 18:00	PM	Room 1	Ruodu WangPlenary SessionT.B.D.

Morning

Room	Session	Talks	Speakers
Room 1	Stochastic Games in Environmental FinanceMini-symposium (ID_99)	4	Stéphane Crépey; Igor Cialenco; Gokce Dayanikli; Mike Ludkovski
Room 2	Cyber Risk Modeling and Control under Ambiguity and AsymmetryMini-symposium (ID_139)	4	Filippo Beretta; Wissal Sabbagh; Haoze Yan; Thomas Peyrat
Room 3	Distributionally Robust Optimisation Methods in FinanceMini-symposium (ID_233)	4	Jose Blanchet; Yifan Jiang; Ariel Neufeld; Guangyi He
Room 4	Rough Volatility in 2026 part 1: Mathematical foundations and econometric methodologiesMini-symposium (ID_165)	4	Youssef Ouazzani Chahdi; Carsten Chong; Emmanuel Gnabeyeu Mbiada; Paul Peter Hager
Room 5	Operator Learning in Stochastic Analysis, Control, and Mathematical FinanceMini-symposium (ID_95)	4	Anastasis Kratsios; Jackson Hebner; Filippo De Feo; Samy Mekkaoui
Room 6	Recent Advances in Transform (Fourier/Laplace) Methods for Computational Finance and Risk Management - Part 2Mini-symposium (ID_759)	4	Abderrahmene Ben Romdhane; Riccardo Brignone; Svetlana Boyarchenko; Sergei Levendorskii
Room 7	Theoretical and empirical analysis of market microstructureMini-symposium (ID_374)	5	Mingwei Lin; Leandro Sánchez-Betancourt; Fabrizio Lillo; Marie Scheid; Eyal Neuman
Room 8	Transaction CostsOral session	4	David Itkin; Yadh Hafsi; Lorant Nagy; Christoph Czichowsky
Room 9	Machine Learning including reinforcement learning and deep learningOral session	4	Diogo Franquinho; Yihan Zou; Vedant Choudhary; Niklas Weber
Room 10	Energy FinanceOral session	4	Tommaso Mengoli; Benjamin Bitterlich; Thomas Kloster; Marco Rossi
Room 11	HedgingOral session	4	Eva Lütkebohmert; Piergiacomo Sabino; Michele Colombi; Uwe Schmock
Room 12	Mean Field Control/Mean Field GamesOral session	4	Ioannis-Paraskevas Tzouanas; Yucheng Guo; Jiamin Jian; Dirk Becherer
Room 13	DerivativesOral session	4	Ivo Richert; Paul Glasserman; Bartolomeo Fanciulli; Gianluca Fusai
Room 14	Asset Allocation/Optimal Investment/Portfolio TheoryOral session	4	Jack Kerr; Min Dai; Qianyu Liu; Pavel Gapeev
Poster		2	Yeji Kim; Niccolò Bagnoli

Room 1Mini-symposium (ID_99) Stochastic Games in Environmental Finance Organizer: Mike Ludkovski

4 talks

1

ID_532 — Comparison of Tax and Cap-and-Trade Carbon Pricing SchemesMS

Stéphane Crépey (Universite Paris-Cite, France)
2

ID_622 — Pro-Rata Market Design for Natural Resource AllocationMS

Igor Cialenco (Illinois Institute of Technology, United States)
3

ID_648 — Cooperation, Competition, and Common Pool Resources in Mean Field Games and extensions with LearningMS

Gokce Dayanikli (University of Illinois Urbana-Champaign, United States)
4

ID_700 — Dynamic Multi-Period Groundwater MarketsMS

Mike Ludkovski (University of California, Santa Barbara, United States)Organizer

Room 2Mini-symposium (ID_139) Cyber Risk Modeling and Control under Ambiguity and Asymmetry Organizer: Thibaut Mastrolia

4 talks

1

ID_523 — Closed-loop equilibria in leader-follower games with private and common informationMS

Filippo Beretta (ETH Zurich, Switzerland)
2

ID_654 — Optimal Impulse Control for Cyber Risk ManagementMS

Wissal Sabbagh (Le Mans University, France)
3

ID_688 — Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber ThreatsMS

Haoze Yan (UC Berkeley, United States)
4

ID_738 — Stress scenarios of cyber loss processes with dependenciesMS

Thomas Peyrat (ENSAE, France)

Room 3Mini-symposium (ID_233) Distributionally Robust Optimisation Methods in Finance Organizer: Jan Obloj

4 talks

1

ID_322 — Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein ProjectionsMS

Jose Blanchet (Stanford University, United States)
2

ID_615 — Robust hedging under small model uncertainty and transaction costsMS

Yifan Jiang (Imperial College London, United Kingdom)
3

ID_661 — Robust Q-learning Algorithm for Mean Field Control Problems under Wasserstein UncertaintyMS

Ariel Neufeld (Nanyang Technological University, Singapore)
4

ID_725 — Distributional Adversarial Attacks and Training in FinanceMS

Guangyi He (Imperial College London, China)

Room 4Mini-symposium (ID_165) Rough Volatility in 2026 part 1: Mathematical foundations and econometric methodologies Organizer: Carsten Chong

4 talks

1

ID_591 — A unified theory of order flow, market impact, and volatilityMS

Youssef Ouazzani Chahdi (Université Paris-Saclay, Centrale-Supélec, France)
2

ID_707 — Intraday Volatility DynamicsMS

Carsten Chong (The Hong Kong University of Science and Technology, Hong Kong)Organizer
3

ID_718 — On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston ModelMS

Emmanuel Gnabeyeu Mbiada (Sorbonne Université, France)
4

ID_749 — Microstructural Foundation of Rough Log-Normal Volatility ModelsMS

Paul Peter Hager (University of Vienna, Austria)

Room 5Mini-symposium (ID_95) Operator Learning in Stochastic Analysis, Control, and Mathematical Finance Organizer: Filippo De Feo

4 talks

1

ID_364 — The power of neural operators in games and controlMS

Anastasis Kratsios (McMaster University, Canada)
2

ID_525 — Deep Hilbert Galerkin Methods for PDEs on Hilbert spaces via derivative-informed operator learning with applications to infinite-dimensional optimal controlMS

Jackson Hebner (Mathematical Institute, University of Oxford, United Kingdom)
3

ID_552 — Derivative-informed Hilbert neural operators solve PDEs on Hilbert spaces and infinite-dimensional optimal control problemsMS

Filippo De Feo (Technische Universitat Berlin, Italy)Organizer
4

ID_680 — Learning operators on labelled conditional distributions with applications to mean field control of non exchangeable systemsMS

Samy Mekkaoui (Centre de Mathématiques Appliquées, Ecole Polytechnique, France)

Room 6Mini-symposium (ID_759) Recent Advances in Transform (Fourier/Laplace) Methods for Computational Finance and Risk Management - Part 2 Organizer: Michael Samet

4 talks

1

ID_634 — Hierarchical Fourier Quadrature for Option Pricing under Rough Heston ModelsMS

Abderrahmene Ben Romdhane (King Abdullah University of Science and Technology | KAUST, Saudi Arabia)
2

ID_641 — Pricing path dependent options under stochastic volatility models with arbitrary accuracy. Part II: Applications and numerical performanceMS

Riccardo Brignone (University of Pavia, Italy)
3

ID_645 — Efficient pricing of options on realized variance and volatilityMS

Svetlana Boyarchenko (University of Texas at Austin, United States)
4

ID_647 — Fast reliable pricing and calibration of the rough Heston modelMS

Sergei Levendorskii (Calico Consulting, United States)

Room 7Mini-symposium (ID_374) Theoretical and empirical analysis of market microstructure Organizer: Charles-Albert Lehalle

5 talks

1

ID_664 — Information dynamics under heavy-tailed irrationality: a multi-period equilibrium in limit order marketsMS

Mingwei Lin (London School of Economics and Political Sciences, United Kingdom)
2

ID_672 — Market Making with Fads, Informed, and Uninformed TradersMS

Leandro Sánchez-Betancourt (University of Oxford, United Kingdom)
3

ID_677 — Why is the estimation of metaorder impact with public market data so challenging?MS

Fabrizio Lillo (Scuola Normale Superiore di Pisa, Italy)
4

ID_685 — Lessons from empirical modeling of multivariate intraday dynamics with diffusion generative modelsMS

Marie Scheid (Centre de Mathématiques Appliquées, Ecole Polytechnique, France)
5

ID_748 — Prisoner’s Dilemma in Dealer MarketsMS

Eyal Neuman (Imperial College London, United Kingdom)

Room 8Oral session Transaction Costs

4 talks

1

ID_86 — Relative Arbitrage with Price Impact

David Itkin (London School of Economics and Political Sciences, United Kingdom)
2

ID_179 — Optimal Execution under Liquidity Uncertainty

Yadh Hafsi (Ecole Polytechnique, France)
3

ID_407 — On the utility problem in a market where price impact is transient

Lorant Nagy (HUN-REN Alfred Renyi Institute of Mathematics and Budapest University of Technology and Economics, Hungary)
4

ID_454 — No-Arbitrage, Superreplication and Utility Maximisation for Propagator Price Impact Models

Christoph Czichowsky (London School of Economics and Political Sciences, United Kingdom)

Room 9Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_221 — Neural network empowered liquidity pricing in a two-price economy under conic finance settings

Diogo Franquinho (University of Lisbon, Portugal)
2

ID_234 — Convergence of a deep backward scheme for solving RBSDEs via regularization

Yihan Zou (University of Glasgow, United Kingdom)
3

ID_269 — Bridging Physical and Risk-Neutral Worlds with Neural SDEs

Vedant Choudhary (University of Toronto, Canada)
4

ID_384 — Theory of graph neural networks and applications to systemic risk

Niklas Weber (Ludwigs Maximilian University Munich, Germany)

Room 10Oral session Energy Finance

4 talks

1

ID_761 — Systematic Approach to Energy Trading

Tommaso Mengoli (Illumia, Italy)
2

ID_413 — Hedging Power Purchase Agreements: A Cointegration Model

Benjamin Bitterlich (University of Bielefeld, Germany)
3

ID_319 — An ambit field framework for the full panel of day-ahead electricity prices

Thomas Kloster (University of Aarhus, Denmark)
4

ID_500 — A Temperature-Driven Stochastic Volatility Model for the Evolution of Day-Ahead Prices in Gas and Power Markets

Marco Rossi (University of Verona, Italy)

Room 11Oral session Hedging

4 talks

1

ID_224 — Trapped by Climate Stress: Vulnerability Dynamics and Sovereign Credit Risk

Eva Lütkebohmert (University of Freiburg, Germany)
2

ID_343 — M-method Estimation of Jump-diffusion OU Processes: an Application to Energy Markets

Piergiacomo Sabino (University of Vaasa, Finland)
3

ID_427 — Deep Option Hedging From Simulation To Reality

Michele Colombi (Scuola Normale Superiore di Pisa, Italy)
4

ID_446 — Algorithmic strategies in continuous-time hedging and stochastic integration

Uwe Schmock (FAM @ TU Wien, Vienna, Austria, Austria)

Room 12Oral session Mean Field Control/Mean Field Games

4 talks

1

ID_257 — Learning Algorithms for Mean-Field Coarse Correlated Equilibrium: A Linear Programming Approach

Ioannis-Paraskevas Tzouanas (University of Bielefeld, Germany)
2

ID_342 — Optimal Loss Allocation as a Singular McKean-Vlasov Control Problem in Systemic Risk Modeling

Yucheng Guo (Princeton University, United States)
3

ID_365 — Convergence and turnpike properties of linear-quadratic mean field control problems with common noise

Jiamin Jian (University of Michigan, United States)
4

ID_520 — Limiting Mean-Field Games and Structural Decomposition of Equilibria for Portfolio Games of Optimal Hedging

Dirk Becherer (Humboldt University of Berlin, Germany)

Room 13Oral session Derivatives

4 talks

1

ID_304 — Parameter estimation for dynamically recalibrated affine models in finance

Ivo Richert (Kiel University, Germany)
2

ID_347 — Total Positivity Properties of American Options

Paul Glasserman (Columbia University, United States)
3

ID_383 — Moments-Informed Neural Networks for Option Pricing when the Characteristic Function is Unavailable

Bartolomeo Fanciulli (University of Freiburg, Germany)
4

ID_475 — Monotonic transformation, implied stock price process and market consistent pricing of derivatives contracts

Gianluca Fusai (Bayes Business School, United Kingdom)

Room 14Oral session Asset Allocation/Optimal Investment/Portfolio Theory

4 talks

1

ID_142 — Optimal Liquidity Taking in an Automated Market Maker

Jack Kerr (Universität Stuttgart, Germany)
2

ID_175 — Learning an Optimal Investment Policy with Transaction Costs via a Randomized Dynkin Game

Min Dai (The Hong Kong Polytechnic University, Hong Kong)
3

ID_283 — Optimal Portfolio Selection with Quadratic Transaction Costs in a Multifactor and Stochastic Interest Rate Environment

Qianyu Liu (The Chinese University of Hong Kong., Hong Kong)
4

ID_353 — Optimal autonomous trading strategies in Heston-type models of stochastic volatility

Pavel Gapeev (LSE, United Kingdom)

Poster

2 posters

1

ID_362 — Closed-Form Solutions for Partial Double Barrier Options

Yeji Kim (Gyeongsang National University, South Korea, Korea, Republic of)
2

ID_376 — Recovering the Physical Measure from Options: A Non-Parametric Approach with Economic Constraints

Niccolò Bagnoli (ESADE Business School, Ramon Llull University, Spain)

Afternoon

Room	Session	Talks	Speakers
Room 1	Path-dependent Stochastic Analysis and Control and Applications in Finance and EconomicsMini-symposium (ID_96)	4	Andrzej Swiech; Niccolò Fontana; Fausto Gozzi; Gabriele Bolli
Room 2	Rough, pathwise and mean-field analysis in finance - Part 1Mini-symposium (ID_102) - Part 1	4	Peter Bank; Ofelia Bonesini; Janns Dause; Andrew Allan
Room 3	Stochastic control, Reinforcement learning and applications in financeMixed mini-symposium (ID_107)	4	Xin Zhang; Yanwei Jia; Anran Hu; Carlos Miguel Dos Santos Oliveira
Room 4	Recent advances in Transform (Fourier/Laplace) methods for computational finance and risk management - Part 1Mini-symposium (ID_126)	4	Laura Ballotta; Chiheb Ben Hammouda; Gero Junike; Truong Nguyen Ngoc
Room 5	Adapted Transport and Calibration in FinanceMixed mini-symposium (ID_145)	4	Fang Rui Lim; Ibrahim Ekren; Julio Backhoff; Blanka Horvath
Room 6	Beyond Gaussian modelling in financeMini-symposium (ID_147)	4	Annamaria Gambaro; Michele Azzone; Luca Luigi Alberici; Alessandro Mutti
Room 7	Rough Volatility in 2026 part 2: Modelling and pricing challenges for derivativesMixed mini-symposium (ID_166)	4	Gilles Pagès; Jim Gatheral; Florian Bourgey; Pietro Rossi
Room 8	MacroeconomicsOral session	4	Yongyeon Oh; Tal Morgenstern; Guido Spanò; Andrea Perchiazzo
Room 9	Empirical FinanceOral session	4	Jonas Blessing; Luca Zanin; Nicola Bartolini; Giorgio Bongermino
Room 10	Learning in Dynamic Games: Theory, Algorithms and Applications - Part 2Mini-symposium (ID_426) - Part 2	4	Grégoire Lambrecht; Mingyue Zhong; Nizar Touzi; Sebastian Jaimungal
Room 11	Insurance and Actuarial SciencesOral session	4	Weijia Zeng; Davide Feleppa; Jean-Francois Renaud; Vinícius Grijó
Room 12	Stochastic AnalysisOral session	4	Wouter Andringa; Tomoyuki Ichiba; Thijs Maessen; Arthur Bourdon
Room 13	Asset Allocation/Optimal Investment/Portfolio TheoryOral session	4	Chen Yang; Ho Man Tai; Giacomo Zarfati; Daniele Mancinelli
Room 14	Machine Learning including reinforcement learning and deep learningOral session	4	Zhichao Lu; Athanasios Vasileiadis; Yanzhao Yang; Yuqiong Wang
Poster		2	Mario Morawski; Samira Amiriyan

Room 1Mini-symposium (ID_96) Path-dependent Stochastic Analysis and Control and Applications in Finance and Economics Organizer: Fausto Gozzi

4 talks

1

ID_560 — Stochastic Optimal Control of Particle Systems in Hilbert Spaces and ApplicationsMS

Andrzej Swiech (Georgia Institute of Technology, United States)
2

ID_673 — Randomization method and BSDEs representation for optimal control of stochastic Volterra equationsMS

Niccolò Fontana (Politecnico di Milano, Italy)
3

ID_716 — On Mean Field Games and Mean Field Control of Stochastic Delay EquationsMS

Fausto Gozzi (Luiss University Rome, Italy)Organizer
4

ID_730 — Optimal control of stochastic Volterra integral equations with completely monotone kernels and stochastic differential equations on Hilbert spaces with unbounded control and diffusion operatorsMS

Gabriele Bolli (Sapienza Università di Roma, Italy)

Room 2Mini-symposium (ID_102) - Part 1 Rough, pathwise and mean-field analysis in finance - Part 1 Organizer: Anna Kwossek

4 talks

1

ID_754 — Rough PDEs for Local Stochastic Volatility ModelsMS

Peter Bank (Technische Universitat Berlin, Germany)
2

ID_665 — Rough differential equations for volatilityMS

Ofelia Bonesini (London School of Economics and Political Sciences, United Kingdom)
3

ID_758 — Duality Methods for Stochastic Control with Random Coefficients via Rough HJB EquationsMS

Janns Dause (Technische Universitat Berlin, Germany)
4

ID_545 — Rough SDEs and Robust Filtering for Jump-DiffusionsMS

Andrew Allan (Durham University, United Kingdom)

Room 3Mixed mini-symposium (ID_107) Stochastic control, Reinforcement learning and applications in finance Organizer: Jiacheng Zhang

4 talks

1

ID_570 — Optimization of win martingalesMS

Xin Zhang (New York University, United States)
2

ID_576 — Quitting a Venture without Beliefs: Normative and Positive PerspectivesMS

Yanwei Jia (The Chinese University of Hong Kong, Hong Kong)
3

ID_693 — Simple Policies for Long Horizons: Reinforcement Learning in Finite-Horizon LQ ControlMS

Anran Hu (Columbia University, United States)
4

ID_507 — Firm’s Response to Adverse Weather Events: Risk Management or Market Exit?

Carlos Miguel Dos Santos Oliveira (ISEG Lisbon School of Economics and Management, Portugal)

Room 4Mini-symposium (ID_126) Recent advances in Transform (Fourier/Laplace) methods for computational finance and risk management - Part 1 Organizer: Chiheb Ben Hammouda

4 talks

1

ID_558 — Efficient random quadrature methods for Fourier valuation of multi-asset optionsMS

Laura Ballotta (Bayes Business School, United Kingdom)
2

ID_611 — Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi- Asset OptionsMS

Chiheb Ben Hammouda (Utrecht University, Netherlands)Organizer
3

ID_628 — Pricing path dependent options under stochastic volatility models with arbitrary accuracy. Part I: Theory and MethodologyMS

Gero Junike (LMU Munich, Germany)
4

ID_638 — Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall RiskMS

Truong Nguyen Ngoc (Utrecht University, Netherlands)

Room 5Mixed mini-symposium (ID_145) Adapted Transport and Calibration in Finance Organizer: Ibrahim Ekren

4 talks

1

ID_580 — Computing the adapted Wasserstein distance between the laws of stochastic processesMS

Fang Rui Lim (University of Michigan, United States)
2

ID_605 — Analytical Approach To Continuous-Time Causal Optimal TransportMS

Ibrahim Ekren (University of Michigan, United States)Organizer
3

ID_643 — On Schrödinger and Bass MartingalesMS

Julio Backhoff (University of Vienna, Austria)
4

ID_456 — Scalable Signature-Based Distribution Regression via Reference Sets

Blanka Horvath (University of Oxford, United Kingdom)

Room 6Mini-symposium (ID_147) Beyond Gaussian modelling in finance Organizer: Alessandro Mutti

4 talks

1

ID_524 — Navigating Supply Shocks: Sector Resilience and Production Prices through Stochastic Input-Output ModelingMS

Annamaria Gambaro (Università del Piemonte Orientale, Italy)
2

ID_527 — A Simulation Scheme for Martingale Diffusions with Explicit MarginalsMS

Michele Azzone (Politecnico di Milano, Italy)
3

ID_564 — Hierarchical NIG Factor Model: An EM-Based Estimation ApproachMS

Luca Luigi Alberici (Bayes Business School, United Kingdom)
4

ID_683 — Additive time-change of multiparameter Markov processesMS

Alessandro Mutti (Politecnico di Torino, Italy)Organizer

Room 7Mixed mini-symposium (ID_166) Rough Volatility in 2026 part 2: Modelling and pricing challenges for derivatives Organizer: Florian Bourgey

4 talks

1

ID_612 — Volterra equations with affine drift: looking for stationarity with application to the quadratic rough Heston modelMS

Gilles Pagès (Sorbonne Université, France)
2

ID_686 — Quadratic Rough Heston: SPX, VIX, and the SSRMS

Jim Gatheral (Baruch college, United States)
3

ID_696 — Smile Dynamics and Rough VolatilityMS

Florian Bourgey (Bloomberg, United States)Organizer
4

ID_378 — Learning the exact SABR model

Pietro Rossi (Prometeia, Italy)

Room 8Oral session Macroeconomics

4 talks

1

ID_109 — Climate Transition as Structural Change: A Computable Time-Varying-Parameter ABM for Macro-Finance

Yongyeon Oh (Bank of Korea, Korea, Republic of)
2

ID_318 — Pricing Climate Transition Risk via Behavioural Cash-Flow Dynamics in Incomplete Markets

Tal Morgenstern (University of Sydney, Australia)
3

ID_436 — Ample Reserves and Deposit Pass-Through

Guido Spanò (University College London, United Kingdom)
4

ID_437 — Market-Implied Time to Transition to a Low-Carbon Economy from the Greenium Term Structure

Andrea Perchiazzo (Eastern Piedmont University (UPO), Italy)

Room 9Oral session Empirical Finance

4 talks

1

ID_114 — Discrete approximation of risk-based prices under volatility uncertainty

Jonas Blessing (ETH Zurich, Switzerland)
2

ID_119 — Decarbonization, Public Debt, and Sovereign Credit Risk in Europe: Interaction Effects and Spillovers

Luca Zanin (Prometeia, Italy)
3

ID_223 — Understanding climate risk in Europe: Are transition and physical risk priced in equity and fixed-income markets?

Nicola Bartolini (University of Bologna, Italy)
4

ID_252 — Carbon Sink Valuation and Sovereign Risk: Modelling Carbon Offset Swap Lines and Forest Optimization under Climate Risk

Giorgio Bongermino (Università di Bologna, Italy)

Room 10Mini-symposium (ID_426) - Part 2 Learning in Dynamic Games: Theory, Algorithms and Applications - Part 2 Organizer: Yufei Zhang

4 talks

1

ID_642 — Population-Aware Imitation Learning in Mean-field Games with Common NoiseMS

Grégoire Lambrecht (New York University, United States)
2

ID_650 — A Two Time-Scale Evolutionary Game Approach to Multi-Agent Reinforcement Learning and Its Application in Algorithmic Collusion StudiesMS

Mingyue Zhong (The Chinese University of Hong Kong, Hong Kong)
3

ID_682 — On Approximate Nash Equilibria in Mean Field GamesMS

Nizar Touzi (New York University, United States)
4

ID_687 — Sample-Efficient Learning of Quantal Leader-Follower Mean-Field GamesMS

Sebastian Jaimungal (University of Toronto, Canada)

Room 11Oral session Insurance and Actuarial Sciences

4 talks

1

ID_218 — Pricing of Guaranteed Minimum Withdrawal Benefit in Variable Annuities within a Principal-Agent Framework

Weijia Zeng (The Hong Kong Polytechnic University, Hong Kong)
2

ID_302 — Optimal equilibrium in parametric insurance markets under basis risk

Davide Feleppa (Sapienza Università di Roma, Italy)
3

ID_462 — Insurance Risk Models with Epidemic Dynamics: Scaling Limits and Ruin Asymptotics

Jean-Francois Renaud (Université du Québec à Montréal, Canada)
4

ID_465 — Threshold CPPI

Vinícius Grijó (Vrije Universiteit Brussel, Belgium)

Room 12Oral session Stochastic Analysis

4 talks

1

ID_229 — Semimartingality of signatures and applications to optimal control

Wouter Andringa (University of Amsterdam, Netherlands)
2

ID_360 — Branching directed-chain diffusions with applications

Tomoyuki Ichiba (University of California, Santa Barbara, United States)
3

ID_432 — UNIVERSAL APPROXIMATION FOR FUNCTIONS OF INFINITE-DIMENSIONAL SIGNATURES

Thijs Maessen (University of Amsterdam, Netherlands)
4

ID_499 — Linear independence properties of the signature components of time-augmented stochastic processes

Arthur Bourdon (Ecole des Ponts ParisTech - CERMICS, France)

Room 13Oral session Asset Allocation/Optimal Investment/Portfolio Theory

4 talks

1

ID_244 — Periodic Evaluation with Non-Concave Utility

Chen Yang (The Chinese University of Hong Kong, Hong Kong)
2

ID_282 — Incentives of Defined-Contribution Pension Managers

Ho Man Tai (University of Sydney, Australia)
3

ID_372 — Climate-Driven Financial Risk and Optimal Portfolio Choice with Temperature-Linked Derivatives

Giacomo Zarfati (Sapienza Università di Roma, Italy)
4

ID_492 — Carbon-Sensitive Fund Construction and Hedging for Green Unit-Linked Life Insurance

Daniele Mancinelli (Politecnico di Milano, Department of Mathematics, Italy)

Room 14Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_169 — When Reinforcement Learning Aligns with Estimate-Then-Plug-In? Insights from Continuous-Time Portfolio Selection

Zhichao Lu (The Hong Kong Polytechnic University, Hong Kong)
2

ID_303 — Markov Decision Processes of the Third Kind: Learning Distributions by Policy Gradient Descent

Athanasios Vasileiadis (Karlsruhe Institute of T, Germany)
3

ID_395 — Adaptive Partitioning and Learning for Stochastic Control of Diffusion Processes

Yanzhao Yang (University of Oxford, United Kingdom)
4

ID_444 — Thompson Sampling Algorithm for Stochastic Games

Yuqiong Wang (University of Michigan, United States)

Poster

2 posters

1

ID_489 — How Patterns Dictate Learnability in Sequential Data

Mario Morawski (Université Paris Dauphine PSL, France)
2

ID_493 — COMPUTING THE IMPLIED VOLATILITY THROUGH NEURAL NETWORKS WITH ASYMPTOTIC REGIMES

Samira Amiriyan (University of Liverpool, United Kingdom)

Day 3

General programme

Time	Session	Room	Event
9:00 - 10:00	AM	Main Room	Nan ChenPlenary SessionT.B.D.
10:00 - 10:30	AM		Coffee Break
10:30 - 12:30	AM	Rooms 1-15	Parallel sessions
12:30 - 14:00	PM		Lunch Break
14:00 - 16:00	PM	Rooms 1-14	Parallel sessions
16:00 - 16:30	PM		Coffee Break
16:30 - 17:30	PM	Room 1	Roberto Violi, Mark Burnett, Xunyu Zhou, Chris Russell.AI PanelT.B.D.
17:30 - 18:30	PM	Room 1	Clémence AlasseurPlenary SessionT.B.D.

Morning

Room	Session	Talks	Speakers
Room 1	Path-dependent and signature modeling in finance - Part 1Mini-symposium (ID_312) - Part 1	4	Andrea Stanghellini; Mihriban Ceylan; Luca Pelizzari; Eduardo Abi Jaber
Room 2	Rough, pathwise and mean-field analysis in finance - Part 2Mini-symposium (ID_102) - Part 2	4	Dörte Kreher; Julian Pachschwöll; Fride Straum; Anna Kwossek
Room 3	Optimal Transport and Robust ModelingMini-symposium (ID_513)	5	Antonio Marini; Gudmund Pammer; Alessandro Sgarabottolo; Armand Ley; Evgeny Kolosov
Room 4	Rough Volatility in 2026 part 3: Numerics, forecasting and market impactMini-symposium (ID_167)	4	Grégoire Szymanski; Giorgia Callegaro; Paolo Pigato; Markus Bibinger
Room 5	Mean-field games in economics IMini-symposium (ID_180)	4	Peter Tankov; Charles-Albert Lehalle; Jodi Dianetti; Dena Firoozi
Room 6	Mean-risk optimization and machine learningMini-symposium (ID_181)	4	Sebastien Lleo; Natalie Packham; Giorgio Consigli; Michael Villaverde
Room 7	Advances in FinTech and Financial Decision-Making - Part 1Mixed mini-symposium (ID_255) - Part 1	4	Jean Loup Dupret; Julian Sester; Zachary Feinstein; Shuaijie Qian
Room 8	Ambiguity/Knightian Uncertainty/RobustnessOral session	4	Johannes Langner; Sven Knaust; Irene Klein; Gusti Van Zyl
Room 9	Equilibrium ModelsOral session	4	Christoph Frei; Laurence Carassus; Carlos Miguel Glória; Jan Vecer
Room 10	Machine Learning including reinforcement learning and deep learningOral session	4	Xunyu Zhou; Aleksandar Arandjelovic; Bingyu Hu; Martin Bergerhausen
Room 11	Asset Allocation/Optimal Investment/Portfolio TheoryOral session	4	Rodrigo Targino; Mohamed Amine Ben Ghalleb; Mesias Alfeus; Henry Chiu
Room 12	Stochastic VolatilityOral session	4	João Pedro Nunes; Othmane Zarhali; Matthias Fengler; Ranieri Dugo
Room 13	Time InconsistencyOral session	4	Luca De Gennaro Aquino; Edoardo Berton; Ali Lazrak; Wilfried Kuissi Kamdem
Room 14	FinTech: Blockchains and Cryptocurrencies, Peer-to-Peer Lending and Robo-advisoryOral session	4	Ziteng Cheng; Ankush Agarwal; Natascha Hey; Luca Luigi Alberici
Poster		2	Jorge Zubelli; Danila Shabalin

Room 1Mini-symposium (ID_312) - Part 1 Path-dependent and signature modeling in finance - Part 1 Organizer: Luca Pelizzari

4 talks

1

ID_566 — A joint framework for SPX, VIX and VXXMS

Andrea Stanghellini (University of Verona, Italy)
2

ID_578 — Universal approximation with signatures of non-geometric rough pathsMS

Mihriban Ceylan (University of Mannheim, Germany)
3

ID_579 — The Volterra signatureMS

Luca Pelizzari (University of Vienna, Austria)Organizer
4

ID_583 — The Fading Memory SignatureMS

Eduardo Abi Jaber (Ecole Polytechnique, France)

Room 2Mini-symposium (ID_102) - Part 2 Rough, pathwise and mean-field analysis in finance - Part 2 Organizer: Anna Kwossek

4 talks

1

ID_660 — Fractional invariance principles and rough pathsMS

Dörte Kreher (Humboldt University of Berlin, Germany)
2

ID_633 — Signature McKean-Vlasov EquationsMS

Julian Pachschwöll (University of Vienna, Austria)
3

ID_546 — Universal approximation on non-geometric rough paths and applications to financial derivatives pricingMS

Fride Straum (NTNU Trondheim, Norway)
4

ID_526 — Pathwise stochastic integration for model-free financeMS

Anna Kwossek (University of Vienna, Austria)Organizer

Room 3Mini-symposium (ID_513) Optimal Transport and Robust Modeling Organizer: Antonio Marini

5 talks

1

ID_543 — q-Bass martingales: properties and applicationsMS

Antonio Marini (ETH Zurich, Switzerland)Organizer
2

ID_627 — Brenier’s Theorem for \(\Pc_2(\dots \Pc_2(H) \dots )\) and Applications to Adapted TransportMS

Gudmund Pammer (TU Graz, Austria)
3

ID_662 — Scaling limits of multi-period distributionally robust optimization problemsMS

Alessandro Sgarabottolo (Ludwigs Maximilian University Munich, Germany)
4

ID_694 — Entropic martingale optimal transportMS

Armand Ley (University of Vienna, Austria)
5

ID_720 — On Arbitrage-Free Prices of American OptionsMS

Evgeny Kolosov (ETH Zurich, Switzerland)

Room 4Mini-symposium (ID_167) Rough Volatility in 2026 part 3: Numerics, forecasting and market impact Organizer: Giorgia Callegaro

4 talks

1

ID_666 — The Quadratic Rough Heston+ Model for Short-Dated OptionsMS

Grégoire Szymanski (University of Luxemburg, Luxembourg)
2

ID_719 — Efficient simulation of a new class of Volterra-type SDEsMS

Giorgia Callegaro (University of Padova, Italy)Organizer
3

ID_732 — The multivariate fractional Ornstein–Uhlenbeck process and applicationsMS

Paolo Pigato (Roma Tor Vergata, Italy)
4

ID_762 — Multivariate Fractional Brownian Motion – How correlations improve volatility forecasting and statistical inferenceMS

Markus Bibinger (Marburg University, Germany)

Room 5Mini-symposium (ID_180) Mean-field games in economics I Organizer: Peter Tankov

4 talks

1

ID_533 — Propagation of carbon price shocks through the value chain: the mean-field game of defaultsMS

Peter Tankov (CREST, ENSAE, Institut Polytechnique de Paris, France)Organizer
2

ID_659 — Optimal Maritime Transport through Mean Field Games and inference of its parametersMS

Charles-Albert Lehalle (Ecole Polytechnique, France)
3

ID_668 — Entropy Regularization in MFGs of Optimal StoppingMS

Jodi Dianetti (Department of Economics and Finance, University of Rome Tor Vergata, Italy)
4

ID_723 — Ranking Quantilized Mean-Field Games with an Application to Early-Stage Venture InvestmentsMS

Dena Firoozi (University of Toronto, Canada)

Room 6Mini-symposium (ID_181) Mean-risk optimization and machine learning Organizer: Giorgio Consigli

4 talks

1

ID_557 — The Role of Entropy Regularization in Linking Reinforcement Learning and Risk-Sensitive Investment ManagementMS

Sebastien Lleo (NEOMA Business School, France)
2

ID_559 — Real Estate Portfolio Valuation and Climate Risk Scenario Generation using Machine Learning MethodsMS

Natalie Packham (Berlin School of Economics and Law, Germany)
3

ID_561 — Optimal multi-period portfolio risk‐distribution based on reinforcement learningMS

Giorgio Consigli (Khalifa University of Science and Technology, United Arab Emirates)Organizer
4

ID_740 — Guaranteed funds’ replication by reinforcement learningMS

Michael Villaverde (Pulsar Research, United Kingdom)

Room 7Mixed mini-symposium (ID_255) - Part 1 Advances in FinTech and Financial Decision-Making - Part 1 Organizer: Fenghui Yu

4 talks

1

ID_540 — Deep Learning for Continuous-Time Stochastic Control with Jumps in FinanceMS

Jean Loup Dupret (ETH Zurich, Switzerland)
2

ID_588 — Distributionally Robust Deep Q-LearningMS

Julian Sester (National University of Singapore, Singapore)
3

ID_601 — Proactive Market Makers: Oracle-Aware Liquidity Provision and Loss-Versus-RebalancingMS

Zachary Feinstein (Stevens Institute of Technology, United States)
4

ID_246 — A deep-learning approach for solving HJB equations from stochastic control

Shuaijie Qian (The Hong Kong University of Science and Technology, Hong Kong)

Room 8Oral session Ambiguity/Knightian Uncertainty/Robustness

4 talks

1

ID_111 — Reinforcement Learning for Markov Games under Model Uncertainty

Johannes Langner (Leibniz Universität Hannover, Germany)
2

ID_192 — Empirical performances of the Bayesian generalized recovery

Sven Knaust (University of Freiburg, Germany)
3

ID_260 — Robust duality for L^1-spaces and an application to robust large binomial markets

Irene Klein (University of Vienna, Austria)
4

ID_285 — Distributionally robust Expected Shortfall for convex risks

Gusti Van Zyl (University of Pretoria, South Africa)

Room 9Oral session Equilibrium Models

4 talks

1

ID_12 — A Doubly Continuous Model for Equilibrium Trading Dynamics

Christoph Frei (University of Alberta, Canada)
2

ID_37 — On the existence of personal equilibria

Laurence Carassus (Université Paris-Saclay, Centrale-Supélec, France)
3

ID_351 — Robust Equilibrium Asset and Option Pricing

Carlos Miguel Glória (European Central Bank and BRU-IUL, Portugal)
4

ID_375 — Adaptive Portfolio Choice and Bayesian Training of Trading Bots

Jan Vecer (Charles University, Czechia)

Room 10Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_265 — Data-driven generative simulation of SDEs using diffusion models

Xunyu Zhou (Columbia University, United States)
2

ID_409 — Neural importance sampling and stratification for Monte Carlo option pricing

Aleksandar Arandjelovic (ETH Zurich, Switzerland)
3

ID_177 — Data-driven Learning of Value Paths in Continuous Time and Space: A Reproducing Kernel Hilbert Space Approach

Bingyu Hu (The Chinese University of Hong Kong, Hong Kong)
4

ID_152 — Neural Stochastic Volterra Equations

Martin Bergerhausen (University of Mannheim, Germany)

Room 11Oral session Asset Allocation/Optimal Investment/Portfolio Theory

4 talks

1

ID_187 — Risk-Budgeted Mean-Variance Portfolio

Rodrigo Targino (Fundação Getulio Vargas (FGV), Brazil)
2

ID_188 — Characterizing and Computing Efficient Portfolios: A Stochastic Dominance Approach

Mohamed Amine Ben Ghalleb (University of Twente, Netherlands)
3

ID_210 — Benchmarking Emerging-Market Fine-Wine Indices against the Liv-ex 100: Risk, Dependence, and Portfolio Value

Mesias Alfeus (Stellenbosch University, South Africa)
4

ID_724 — Mathematical Finance w/o probability: Path-dependent portfolio allocation

Henry Chiu (University of Birmingham, United Kingdom)

Room 12Oral session Stochastic Volatility

4 talks

1

ID_78 — Unpuzzling Volatility Risk Premiums through the Joint SPX/VIX Smile Calibration

João Pedro Nunes (ISCTE-IUL and BRU-IUL, Portugal)
2

ID_134 — From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model

Othmane Zarhali (Université Paris Dauphine, France)
3

ID_158 — Proxy-identification of an MGARCH model

Matthias Fengler (University of St. Gallen, Switzerland)
4

ID_240 — Multivariate Rough Volatility

Ranieri Dugo (University of Rome - Tor Vergata, Italy)

Room 13Oral session Time Inconsistency

4 talks

1

ID_56 — Equilibrium investment under dynamic preference uncertainty

Luca De Gennaro Aquino (Reykjavik University, Iceland)
2

ID_292 — On consistency of optimal portfolio choice for state-dependent exponential utilities

Edoardo Berton (Politecnico di Milano, Italy)
3

ID_369 — Managerial turnover and time inconsistency in portfolio choice with illiquid securities

Ali Lazrak (UBC, Canada)
4

ID_476 — Competition under liability constraints and additive relative performance among (heterogeneous) agents with CRRA and Epstein-Zin utilities

Wilfried Kuissi Kamdem (University of Freiburg, Germany)

Room 14Oral session FinTech: Blockchains and Cryptocurrencies, Peer-to-Peer Lending and Robo-advisory

4 talks

1

ID_214 — Eliciting Risk Aversion with Inverse Reinforcement Learning via Interative Questioning

Ziteng Cheng (The Hong Kong University of Science and Technology (Guangzhou), China)
2

ID_241 — Optimal exit from Uniswap v3 and best expected return for a liquidity provider

Ankush Agarwal (University of Western Ontario, Canada)
3

ID_466 — A Risk-Based Perspective on Autodeleveraging Rules

Natascha Hey (Columbia University, United States)
4

ID_750 — Implied Impermanent Loss for Concentrated Liquidity

Luca Luigi Alberici (Bayes Business School, United Kingdom)

Poster

2 posters

1

ID_751 — The Probability Distribution Function of a Call Option

Jorge Zubelli (Khalifa University of Science and Technology, United Arab Emirates)
2

ID_756 — On the First Hitting Time Problem for General Diffusions: Local Time-Space Approach

Danila Shabalin (Lomonosov Moscow State University, Russian Federation)

Afternoon

Room	Session	Talks	Speakers
Room 1	Path-dependent and signature modeling in finance - Part 2Mini-symposium (ID_312) - Part 2	4	Tomás Carrondo; Sara Svaluto-Ferro; Asma Khedher; Fabian Harang
Room 2	Advances in FinTech and Financial Decision-Making - Part 2Mixed mini-symposium (ID_255) - Part 2	4	Yuri Saporito; Patrick Chang; Josef Teichmann; Wenbin Yan
Room 3	Statistical and Numerical Perspectives on Diffusion-Based Models: From Data to DynamicsMini-symposium (ID_271)	4	Yating Liu; Armand Bernou; Franck Gabriel; Antonio Ocello
Room 4	Robust finance: recent developments and applicationsMini-symposium (ID_291)	4	Anna Aksamit; Haoyu Xie; Michael Kupper; Max Nendel
Room 5	Perspectives on stochastic control with uncertainty and frictionsMini-symposium (ID_328)	4	Mateo Rodriguez Polo; Camilo Hernández; Marco Rodrigues; Alberto Gennaro
Room 6	Strategic interaction among many agents: games and controlMini-symposium (ID_331)	4	Hao Wang; Mehdi Talbi; Anna De Crescenzo; Isabel Agostino
Room 7	Modeling, Prediction, and Control in Energy Markets and Climate Finance - Part 1Mini-symposium (ID_341) - Part 1	4	Jisu Yu; Mustapha Regragui; Nicolò Filippas; Michael Samet
Room 8	Optimal Control/OptimizationOral session	4	Federico Cannerozzi; Alif Aqsha; Marco Scaratti; Chaorui Wang
Room 9	Optimal TransportOral session	4	Mauricio Junca; Valentin Tissot-Daguette; Linn Engström; Xiaozhen Wang
Room 10	Energy FinanceOral session	4	Ihsan Arharas; Christina Erlwein-Sayer; Francesco Rotondi; Masood Tadi
Room 11	Market MicrostructureOral session	4	Tingyi Lin; Albina Danilova; Salma Elomari; Tommi Vuorenmaa
Room 12	DerivativesOral session	4	Kefentse Freddy Dipudi; Amia Santini; Pere Diaz Lozano; Michael Hanke
Room 13	Arbitrage TheoryOral session	4	Qijin Shi; Miklos Rasonyi; Marco Frittelli; Alessandro Doldi
Room 14	HedgingOral session	4	Zuoquan Xu; Nathan Sauldubois; Florian Ostendorf; Amal Omrani
Poster		1	Milena Kojic

Room 1Mini-symposium (ID_312) - Part 2 Path-dependent and signature modeling in finance - Part 2 Organizer: Luca Pelizzari

4 talks

1

ID_674 — Dynamic Universal Approximation via Signature Controlled Differential EquationsMS

Tomás Carrondo (University of Vienna, Austria)
2

ID_679 — Local signature-based expansionsMS

Sara Svaluto-Ferro (University of Verona, Italy)
3

ID_699 — A universal approximation theorem for norm-bounded sets of geometric rough paths.MS

Asma Khedher (University of Amsterdam, Netherlands)
4

ID_671 — The Attention SignatureMS

Fabian Harang (BI Norwegian Business School, Norway)

Room 2Mixed mini-symposium (ID_255) - Part 2 Advances in FinTech and Financial Decision-Making - Part 2 Organizer: Fenghui Yu

4 talks

1

ID_698 — A McKean–Vlasov Mean Field Game Model for Coupled Wealth–Human Capital DynamicsMS

Yuri Saporito (Fundação Getulio Vargas (FGV), Brazil)
2

ID_733 — AI Bubbles with Large Language ModelsMS

Patrick Chang (University of Oxford, United Kingdom)
3

ID_742 — Geometries of generative AI with applications to time series modellingMS

Josef Teichmann (ETH Zurich, Switzerland)
4

ID_490 — Long Time Average of Mean Field Game Systems with Common White Noise and Long Time Behavior of Second Order Master Equations

Wenbin Yan (Université Paris Dauphine PSL, China)

Room 3Mini-symposium (ID_271) Statistical and Numerical Perspectives on Diffusion-Based Models: From Data to Dynamics Organizer: Yating Liu

4 talks

1

ID_534 — Learning drift functions in diffusion processes: from estimation to classification via neural networksMS

Yating Liu (Université Paris Dauphine PSL, France)Organizer
2

ID_575 — Recent advances on the simulation of McKean-Vlasov type equationsMS

Armand Bernou (Université Claude Bernard Lyon 1, France)
3

ID_577 — Kernel-Smoothed Scores for Denoising Diffusion: A Bias-Variance StudyMS

Franck Gabriel (Université Claude Bernard Lyon 1, France)
4

ID_599 — On Forgetting and Stability of Score-based Generative modelsMS

Antonio Ocello (ENSAE Paris, France)

Room 4Mini-symposium (ID_291) Robust finance: recent developments and applications Organizer: Anna Aksamit

4 talks

1

ID_649 — Partially Ordered PeacocksMS

Anna Aksamit (University of Sydney, Australia)Organizer
2

ID_653 — Delta Upsilon HedgingMS

Haoyu Xie (National University of Singapore, Singapore)
3

ID_678 — An optimal transport foundation for a class of dynamically consistent risk measuresMS

Michael Kupper (University of Konstanz, Germany)
4

ID_689 — Hidden Dependence and Aggregate Tail RiskMS

Max Nendel (University of Waterloo, Canada)

Room 5Mini-symposium (ID_328) Perspectives on stochastic control with uncertainty and frictions Organizer: Marco Rodrigues

4 talks

1

ID_528 — Equilibrium prices with uncertain fundamentalsMS

Mateo Rodriguez Polo (ETH Zurich, Switzerland)
2

ID_603 — Dynamic Schrödinger bridges beyond entropyMS

Camilo Hernández (University of Southern California, United States)
3

ID_631 — Robust hedging of American options via aggregated Snell envelopesMS

Marco Rodrigues (WIAS Berlin, Germany)Organizer
4

ID_722 — 2BSDE erratic horizon: theory and applicationsMS

Alberto Gennaro (UC Berkeley, United States)

Room 6Mini-symposium (ID_331) Strategic interaction among many agents: games and control Organizer: Anna De Crescenzo

4 talks

1

ID_550 — Regulation or Competition: Major-Minor Optimal Liquidation across Dark and Lit PoolsMS

Hao Wang (UC Berkeley, United States)
2

ID_563 — An alpha-potential approach to games of stopping timesMS

Mehdi Talbi (Universite Paris-Cite, France)
3

ID_640 — Mean-field control of heterogeneous systemsMS

Anna De Crescenzo (ETH Zurich, Switzerland)Organizer
4

ID_728 — Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPsMS

Isabel Agostino (UC Berkeley, United States)

Room 7Mini-symposium (ID_341) - Part 1 Modeling, Prediction, and Control in Energy Markets and Climate Finance - Part 1 Organizer: Chiheb Ben Hammouda

4 talks

1

ID_598 — Optimal Switching Games for Climate Green TransitionMS

Jisu Yu (University of California, Santa Barbara, United States)
2

ID_613 — Numerical Methods for Impulse Control Problems in Swing Option PricingMS

Mustapha Regragui (Ghent University, Belgium)
3

ID_618 — Italian Market Signals for Hybrid Wind-Battery Dispatch: from Price-Agnostic to Price-Driven ControlMS

Nicolò Filippas (University of Genoa, Italy)
4

ID_655 — Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable ProducersMS

Michael Samet (RWTH Aachen University, Germany)

Room 8Oral session Optimal Control/Optimization

4 talks

1

ID_113 — Optimal Policy Characterization for Multi-Dimensional Ergodic Singular Stochastic Control Problems

Federico Cannerozzi (University of Bielefeld, Germany)
2

ID_219 — Signature scheme to solve linear-quadratic control problems

Alif Aqsha (University of Oxford, United Kingdom)
3

ID_323 — Neural network approximations for stochastic control problems with degenerate dynamics

Marco Scaratti (University of Verona, Italy)
4

ID_335 — A measure-valued HJB perspective on Bayesian adaptive optimal control

Chaorui Wang (University of Bath, United Kingdom)

Room 9Oral session Optimal Transport

4 talks

1

ID_272 — Options Implied Pricing Measure Extraction via Optimal Transport

Mauricio Junca (Universidad de los Andes, Colombia)
2

ID_337 — Bid-Ask Martingale Optimal Transport

Valentin Tissot-Daguette (Bloomberg, United States)
3

ID_371 — Low-dimensional adapted optimal transport and its Schrödinger equations

Linn Engström (KTH Royal Institute of Technology, Sweden)
4

ID_418 — Entropic Optimal Transport Problem with Convex Functional Cost

Xiaozhen Wang (Université Paris-Dauphine PSL, France)

Room 10Oral session Energy Finance

4 talks

1

ID_137 — Deep Learning for Energy Market Contracts: Dynkin Game with Doubly RBSDEs

Ihsan Arharas (Linnaeus University, Sweden)
2

ID_273 — A hybrid Hidden Markov–LSTM Modell for adaptive forecasting in Electricity Spot Markets

Christina Erlwein-Sayer (HTW Berlin, Department of Business Mathematics, Germany)
3

ID_440 — Seasonality and Spikes in the Natural Gas Market

Francesco Rotondi (Università Commerciale L. Bocconi, Italy)
4

ID_504 — Natural Gas Storage Valuation Using Deep Reinforcement Learning

Masood Tadi (Prague University of Economics and Business, Czechia)

Room 11Oral session Market Microstructure

4 talks

1

ID_74 — The Private Enforcer: Algorithmic Deterrence and the Shadow Tax on Insider Trading

Tingyi Lin (Central University of Finance and Economics, China)
2

ID_198 — Risk aversion of insider and dynamic asymmetric information.

Albina Danilova (LSE, United Kingdom)
3

ID_385 — Price Manipulation in equity auctions

Salma Elomari (Université Paris-Saclay, Centrale-Supélec, France)
4

ID_457 — Decentralized Simulation of Automated Trading in Intelligent Markets: Risk-Averse Agent Optimization

Tommi Vuorenmaa (Rayleigh Research, Finland)

Room 12Oral session Derivatives

4 talks

1

ID_48 — Effective Markovian Projection Using Coefficient Matching: Application to Forward Starting Options

Kefentse Freddy Dipudi (University of Cape Town, South Africa)
2

ID_89 — A Copula-Based Approach for the Pricing of Energy Quanto Options

Amia Santini (Università di Bologna, Italy)
3

ID_183 — A Wiener–Chaos Approach to Martingale Modelling and Implied Volatility Calibration

Pere Diaz Lozano (University of Oslo, Norway)
4

ID_284 — A Framework for Event Risk Pricing with Stochastic Event Outcome Probabilities

Michael Hanke (University of Liechtenstein, Liechtenstein)

Room 13Oral session Arbitrage Theory

4 talks

1

ID_3 — No-Arbitrage in Continuous Rough Path Markets: Rigidity toward the Semimartingale Paradigm

Qijin Shi (University of California, Santa Barbara, United States)
2

ID_204 — Hedging American options under local viability

Miklos Rasonyi (Alfréd Rényi Institute of Mathematics and Eötvös Lorand University, Hungary)
3

ID_266 — Collective Arbitrage and Individual Rationality

Marco Frittelli (Università degli Studi di Milano, Italy)
4

ID_301 — Collective completeness and superhedging duality

Alessandro Doldi (Università degli Studi di Milano, Italy)

Room 14Oral session Hedging

4 talks

1

ID_32 — Monotone mean-variance investment-reinsurance under the Cramer-Lundberg model

Zuoquan Xu (The Hong Kong Polytechnic University, Hong Kong)
2

ID_243 — Model Risk Static-Hedging a Constrained Distributionally Robust Optimization approach

Nathan Sauldubois (New York University, United States)
3

ID_310 — Limit theorems for the hedging error of contingent claims under integer constraints

Florian Ostendorf (FAM @ TU Wien, Vienna, Austria, Austria)
4

ID_494 — Explicit Characterization and Backward Construction of Superhedging Prices with Transaction Costs

Amal Omrani (Université Paris Dauphine PSL, France)

Poster

1 posters

1

ID_314 — Decomposing synchronous and noisy components in market of Green and Sustainable Stocks

Milena Kojic (Florida International University, United States)

Day 4

General programme

Time	Session	Room	Event
8:30 - 9:30	AM	Room 1	Julien HugonnierPlenary Session
9:30 - 10:00	AM		Coffee Break
10:00- 12:00	AM	Rooms 1-14	Parallel sessions
12:00 - 12:45	AM	Room 1	Ian Jubb (Susquehanna)Plenary SessionT.B.D.
13:00 - 14:00	PM		Lunch Break
14:00 - 16:00	PM	Rooms 1-14	Parallel sessions
16:00 - 16:30	PM		Coffee Break
16:30 - 17:30	PM	Room 1	Renyuan XuPlenary SessionT.B.D.
20:00 onwards	PM		Social Dinner

Morning

Room	Session	Talks	Speakers
Room 1	Modeling, Prediction, and Control in Energy Markets and Climate Finance - Part 2Mini-symposium (ID_341) - Part 2	4	Sven Karbach; Fred Espen Benth; Antonis Papapantoleon; Ronnie Sircar
Room 2	Recent Advances on Mean-Field Control and Mean-Field Games - Part 1Mini-symposium (ID_357) - Part 1	4	Steven Campbell; Xiang Yu; Mathieu Lauriere; Xinyu Li
Room 3	Market MicrostructureOral session	4	Jun Cheng; Robert Boyce; Umut Cetin; Erhan Uluceviz
Room 4	Stochastic VolatilityOral session	4	David Ramirez; Simon Fabian Ernst Feistle; Daniele Angelini; Marco Patacca
Room 5	Mean-field games in Economics IIMixed mini-symposium (ID_455)	4	Charles Bertucci; Yufei Zhang; Roxana Dumitrescu; Anna Pajola
Room 6	Stochastic Control and Optimization in Finance and Insurance - Part 2Mini-symposium (ID_87) - Part 2	4	Zhou Zhou; Moris Strub; Bahman Angoshtari; Hansjoerg Albrecher
Room 7	Stochastic VolatilityOral session	4	Dimitri Sotnikov; Thibault Jeannin; Léo Parent; Julien Guyon
Room 8	Computational Finance and Numerical MethodsOral session	4	Sajid Ali; Junior Parfait Ngalamo; Alexander Schütt; Jorge Zubelli
Room 9	Corporate Finance/Capital Structure/Liquidity ManagementOral session	4	Kaname Imagawa; Thomas Mcwalter; Franck Moraux; Yerkin Kitapbayev
Room 10	Credit Risk/Credit PortfoliosOral session	4	Jonathan Ansari; John Jarratt; Alessandro Gnoatto; Juan David Barrera Cano
Room 11	Interest Rates/Term-Structure ModelsOral session	4	Mansa Aidoo; Paul Eisenberg; Maxim Bichuch; Yining Ding
Room 12	Asset Allocation/Optimal Investment/Portfolio TheoryOral session	4	Ales Cerny; Paul Mangers Bastian; Lidia Brailovskaia; Emmet Lawless
Room 13	Backward Stochastic Differential Equations (BSDEs)Oral session	4	Fabian Fuchs; Claudia Ceci; Nikolaos Constantinou; Nacira Agram
Room 14	Risk Measures/Risk ManagementOral session	4	Emanuela Rosazza Gianin; Foivos Xanthos; Matteo Ferrari; Andrey Pankratov
Room 15	Backward Stochastic Differential Equations (BSDEs)Oral session	4	Chiara Guardasoni; Fabio Ehrenhofer; Beniamino Sartini; Alexandra Moura

Room 1Mini-symposium (ID_341) - Part 2 Modeling, Prediction, and Control in Energy Markets and Climate Finance - Part 2 Organizer: Chiheb Ben Hammouda

4 talks

1

ID_658 — Semi-static hedging of volumetric risk in energy marketsMS

Sven Karbach (University of Amsterdam, Netherlands)
2

ID_670 — Finance-informed learning and pricing of energy derivativesMS

Fred Espen Benth (BI Norwegian Business School, Norway)
3

ID_721 — Prediction of energy production from wind farms using SDEsMS

Antonis Papapantoleon (TU Delft, Netherlands)
4

ID_739 — Predicting DART Spread Spikes in ISO Electricity MarketsMS

Ronnie Sircar (Princeton University, United States)

Room 2Mini-symposium (ID_357) - Part 1 Recent Advances on Mean-Field Control and Mean-Field Games - Part 1 Organizer: Dena Firoozi

4 talks

1

ID_568 — Optimal Execution Games with Transient Price Impact: Existence, Uniqueness, and the Limits of RandomizationMS

Steven Campbell (Columbia University, United States)
2

ID_589 — Mean Field Control with Poissonian Common Noise: A Pathwise Compactification ApproachMS

Xiang Yu (The Hong Kong Polytechnic University, Hong Kong)
3

ID_630 — Deep Signature Approach for McKean-Vlasov FBSDEs in a Random EnvironmentMS

Mathieu Lauriere (NYU Shanghai, China)
4

ID_676 — An 𝛼-Potential Game Framework for 𝑁-Player Dynamic GamesMS

Xinyu Li (University of Oxford, United Kingdom)

Room 3Oral session Market Microstructure

4 talks

1

ID_197 — Duality theory for utility maximization in Volterra kernel models for transient price impact

Jun Cheng (London School of Economics and Political Sciences, United Kingdom)
2

ID_253 — FX Market Making with Internal Liquidity

Robert Boyce (Imperial College London, United Kingdom)
3

ID_430 — Market segmentation and arbitrage

Umut Cetin (London School of Economics and Political Sciences, United Kingdom)
4

ID_484 — Triangular Arbitrage in FX Markets: Evidence from High-Frequency Data

Erhan Uluceviz (Gebze Technical University, Türkiye)
5

Empty slot

Room 4Oral session Stochastic Volatility

4 talks

1

ID_76 — Calibration Geometry for Volatility: Detecting Model Stress via Curvature-Gradient Instability

David Ramirez ( United States)
2

ID_141 — A Reappraisal of Volatility Bursts in Two-Factor Stochastic Volatility Models with Autoregressive Gamma Dynamics

Simon Fabian Ernst Feistle (University of St. Gallen, Switzerland)
3

ID_389 — When is Volatility Fair? Holder Regularity and Financial Risk

Daniele Angelini (University of Rome - La Sapienza, Italy)
4

ID_441 — Asset Pricing with Regime-Sensitive Volatility and Jumps

Marco Patacca (University of Perugia, Italy)

Room 5Mixed mini-symposium (ID_455) Mean-field games in Economics II Organizer: Roxana Dumitrescu

4 talks

1

ID_703 — Modelling the carbon emission permit market with MFGMS

Charles Bertucci (CEREMADE, CNRS, France)
2

ID_710 — Continuous-time mean field games: a primal-dual characterizationMS

Yufei Zhang (Imperial College London, United Kingdom)
3

ID_717 — A new probabilistic approach for optimal stopping mean-field gamesMS

Roxana Dumitrescu (CREST, ENSAE, Institut Polytechnique de Paris, France)Organizer
4

ID_200 — Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise

Anna Pajola (University of Bielefeld, Germany)

Room 6Mini-symposium (ID_87) - Part 2 Stochastic Control and Optimization in Finance and Insurance - Part 2 Organizer: Gu Wang

4 talks

1

ID_608 — Existence of equilibria for time-inconsistent games in discrete timeMS

Zhou Zhou (University of Sydney, Australia)
2

ID_623 — Optimal Investment to Reach a Financial Goal: A Stochastic Control FrameworkMS

Moris Strub (University of Warwick, United Kingdom)
3

ID_625 — Optimal consumption under loss-averse multiplicative habit-formationMS

Bahman Angoshtari (University of Miami, United States)
4

ID_681 — From optimal dividend payments to optimal carbon emission patternsMS

Hansjoerg Albrecher (University of Lausanne, Switzerland)

Room 7Oral session Stochastic Volatility

4 talks

1

ID_276 — Martingale property and moment explosions in signature volatility models

Dimitri Sotnikov (Ecole Polytechnique, France)
2

ID_278 — Surjectivity of the conditional expectation operator

Thibault Jeannin (Ecole des Ponts ParisTech - CERMICS, France)
3

ID_439 — The Guyon–Lekeufack Volatility Model in Discrete Time: Reconciling Calibration under P and Q

Léo Parent (Ecole des Ponts ParisTech - CERMICS, France)
4

ID_449 — Bergomi models with volatility memory

Julien Guyon (Ecole des Ponts ParisTech - CERMICS, France)

Room 8Oral session Computational Finance and Numerical Methods

4 talks

1

ID_225 — Machine Learning Strategies for Pricing Options in Financial Markets

Sajid Ali (ISCTE-IUL and BRU-IUL, Portugal)
2

ID_264 — Deep Hedging of Autocallable Products

Junior Parfait Ngalamo (Università degli studi di Verona, Italy)
3

ID_296 — Deep Duality Methods for Constrained Optimal Portfolios

Alexander Schütt (Technische Universität München, Germany)
4

ID_511 — A hedged Monte-Carlo approach to bitcoin mining farm investment decisions

Jorge Zubelli (Khalifa University of Science and Technology, United Arab Emirates)

Room 9Oral session Corporate Finance/Capital Structure/Liquidity Management

4 talks

1

ID_73 — Debt-Equity Spread under Jumps and Trading Strategy for Global Corporate Bonds

Kaname Imagawa (Nomura Asset Management Co., Ltd / Hitotsubashi University Business School, Japan)
2

ID_297 — Warrants and Their Agency Issues: Investment Timing, Financing, and Default Effects

Thomas Mcwalter (University of Cape Town, South Africa)
3

ID_424 — Optimal Dividend Policy under Global Warming

Franck Moraux (University of Rennes, France)
4

ID_509 — Valuation of Corporate Securities with Environmental Investment and Sustainability-Linked Bonds

Yerkin Kitapbayev (Khalifa University of Science and Technology, United Arab Emirates)

Room 10Oral session Credit Risk/Credit Portfolios

4 talks

1

ID_33 — Robust Bernoulli mixture models for credit portfolio risk

Jonathan Ansari (University of Salzburg, Austria)
2

ID_35 — Sector Concentration Risk in Credit Portfolios

John Jarratt (University of Technology Sydney, Australia)
3

ID_71 — Multi-Layer Deep xVA Solver: Structural Credit Models and Convergence Analysis

Alessandro Gnoatto (Università degli studi di Verona, Italy)
4

ID_195 — Statistical Learning of Value-at-Risk and Expected Shortfall

Juan David Barrera Cano (Universidad de los Andes, Colombia)

Room 11Oral session Interest Rates/Term-Structure Models

4 talks

1

ID_124 — Regime-switching affine term structure models

Mansa Aidoo (University of Cape Town, South Africa)
2

ID_324 — Finite-Dimensional HJM Models with Unconstrained Tangential Diffusion

Paul Eisenberg (WU Vienna, Austria)
3

ID_460 — Optimal Longer-term Growth Rate for Liquidity Providers in Automatic Market Makers

Maxim Bichuch (University at Buffalo, United States)
4

ID_517 — Pricing and Hedging of SOFR Derivatives

Yining Ding (The University of Sydney, Australia)

Room 12Oral session Asset Allocation/Optimal Investment/Portfolio Theory

4 talks

1

ID_59 — On local utility maximization

Ales Cerny (Bayes Business School, United Kingdom)
2

ID_151 — Stochastic factors can matter: improving robust growth under ergodicity

Paul Mangers Bastian (London School of Economics and Political Sciences, United Kingdom)
3

ID_410 — A Novel Factor Construction Framework Based on It^o Signatures

Lidia Brailovskaia (ETH Zurich, Switzerland)
4

ID_477 — Calculus of Variations and Portfolio Choice

Emmet Lawless (University of Michigan, United States)

Room 13Oral session Backward Stochastic Differential Equations (BSDEs)

4 talks

1

ID_83 — A Strict Comparison Principle for Integro-Differential Hamilton-Jacobi-Bellman Equations on Domains with Boundary

Fabian Fuchs (Luiss University Rome, Italy)
2

ID_408 — SELF-INSURANCE AND SELF-PROTECTION FOR GENERAL RISK MODELS VIA A BSDE APPROACH

Claudia Ceci (Sapienza Università di Roma, Italy)
3

ID_510 — A stability result for quadratic BSDEs with BMO growth at the origin

Nikolaos Constantinou (University of Stuttgart, Germany)
4

ID_763 — Risk Aware Stochastic Control via Dynamic Risk Measures

Nacira Agram (KTH Royal Institute of Technology, Sweden)

Room 14Oral session Risk Measures/Risk Management

4 talks

1

ID_170 — Measuring financial resilience using BSDEs

Emanuela Rosazza Gianin (University of Milano-Bicocca, Italy)
2

ID_209 — Star-Shaped Risk Measures: Representations and Cash-Additive Hulls

Foivos Xanthos (Toronto Metropolitan University, Canada)
3

ID_391 — Financial resilience evaluation: From conditional expectation to dynamic risk measures

Matteo Ferrari (University of Amsterdam, Netherlands)
4

ID_491 — When interest rate shock defies expectations: A precise methodology of stress testing for bond portfolios

Andrey Pankratov (Université Laval, Canada)

Room 15Oral session Backward Stochastic Differential Equations (BSDEs)

4 talks

1

ID_60 — Climate options pricing based on cumulative indexes

Chiara Guardasoni (University of Parma, Italy)
2

ID_458 — Cap and Trade on water with seasonal forecasts: a theoretical model

Fabio Ehrenhofer (University of Bologna, Italy)
3

ID_463 — Solar Energy Risks: Spatial Stochastic Radiation Modeling and Optimal Hedging Strategies

Beniamino Sartini (University of Bologna, Italy)
4

ID_506 — A Bayesian framework for catastrophic risk modelling with stochastic claim arrival intensities

Alexandra Moura (ISEG Lisbon School of Economics and Management, Portugal)

Afternoon

Room	Session	Talks	Speakers
Room 1	Recent Advances on Mean-Field Control and Mean-Field Games - Part 2Mixed mini-symposium (ID_357) - Part 2	4	Bixing Qiao; Jiacheng Zhang; Xin Guo; Hiroaki Horikawa
Room 2	Stochastic AnalysisOral session	4	Martin Friesen; Annika Steibel; Alexander Kalinin; Boris Günther
Room 3	Optimal StoppingOral session	4	Rakhymzhan Kazbek; Tomohiro Koike; Edward Wang; Anna Battauz
Room 4	Machine Learning including reinforcement learning and deep learningOral session	4	Sebastien Bossu; Lukas Gonon; Philipp Schmocker; Jiri Witzany
Room 5	Stochastic Control and Optimization in Finance and Insurance - Part 1Mini-symposium (ID_87) - Part 1	4	Bin Zou; Gu Wang; Dan Ren; Xiaofei Shi
Room 6	Risk Measures/Risk ManagementOral session	4	Fabio Bellini; Arief Rahman Hakim; Corrado De Vecchi; Marius Chevallier
Room 7	Computational Finance and Numerical MethodsOral session	4	Luis Ortiz Gracia; Sofia Moliner; Andrea Monaco; Giulia Di Nunno
Room 8	Asset Allocation/Optimal Investment/Portfolio TheoryOral session	4	Haibo Liu; Seyoung Park; Silvana Pesenti; Alexander Dimitrov
Room 9	Time InconsistencyOral session	4	Bernard Carole; Gabriela Kovacova; Salvatore Ciano; Mario Ghossoub
Room 10	Jump-Diffusions/Levy ProcessesOral session	4	Ezio Lauro; Scott Robertson; Guido Gazzani; Josha Dekker
Room 11	Artificial Intelligence in FinanceOral session	4	Jialu Shen; Nils Detering; Lokmane Abbas Turki; Tobias Lausser
Room 12	Mean Field Control/Mean Field GamesOral session	4	Andrew Lyasoff; Shuoqing Deng; Carla Crucianelli; Kaiwen Zhang
Room 13	Jump-Diffusions/Levy ProcessesOral session	2	Elie Attal; David Criens
Room 14	Optimal Control/OptimizationOral session	4	Beatrice Ongarato; Minsuk Kwak; Cody Hyndman; Gaia Pescosolido

Room 1Mixed mini-symposium (ID_357) - Part 2 Recent Advances on Mean-Field Control and Mean-Field Games - Part 2 Organizer: Dena Firoozi

4 talks

1

ID_702 — Heterogeneous Mean Field Games and Local Well-posednessMS

Bixing Qiao (University of Southern California, United States)
2

ID_736 — Major-Minor Mean Field Game of Stopping: An Entropy Regularization ApproachMS

Jiacheng Zhang (The Chinese University of Hong Kong, Hong Kong)
3

ID_741 — Deterministic Policy Gradient for Reinforcement Learning with Continuous Time and StateMS

Xin Guo (UC Berkeley, United States)
4

ID_69 — Quantitative convergence rates for extended mean field games with volatility control

Hiroaki Horikawa (University of Michigan, United States)

Room 2Oral session Stochastic Analysis

4 talks

1

ID_259 — Maximum-Likelihood estimation in stochastic Volterra equations

Martin Friesen (Dublin City University, Ireland)
2

ID_403 — On McKean-Vlasov SDEs with polynomial drifts for SIS epidemic models

Annika Steibel (Ludwigs Maximilian University Munich, Germany)
3

ID_445 — Stochastic Volterra equations with random functional coefficients in Banach spaces

Alexander Kalinin (University of Munich, Germany)
4

ID_753 — Path-dependent Affine Processes

Boris Günther (Justus-Liebig-University Gießen, Germany, Germany)

Room 3Oral session Optimal Stopping

4 talks

1

ID_51 — A Collocation Spline Method for Stochastic Mixed Control and Stopping Problems in Finance

Rakhymzhan Kazbek (Umea University, Sweden)
2

ID_58 — A potential-theoretic approach to optimal stopping in a spectrally negative Lévy Model

Tomohiro Koike (Kyoto University, Japan)
3

ID_329 — Nonzero-sum game under a generalised order condition and convertible bond examples

Edward Wang (University of Warwick, United Kingdom)
4

ID_434 — The trilemma of American options with liquidation penalties

Anna Battauz (Università Commerciale L. Bocconi, Italy)

Room 4Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_120 — Spanning Multi-Asset Payoffs with ReLUs

Sebastien Bossu (University of North Carolina, United States)
2

ID_155 — Approximation error bounds for quantum neural networks

Lukas Gonon (University of St. Gallen, Switzerland)
3

ID_442 — Neural operator methods for the inverse double phase problem

Philipp Schmocker (ETH Zurich, Switzerland)
4

ID_502 — A Comparison of Neural Networks and Bayesian Approaches for the Heston Model Estimation

Jiri Witzany (Prague University of Economics and Business, Czechia)

Room 5Mini-symposium (ID_87) - Part 1 Stochastic Control and Optimization in Finance and Insurance - Part 1 Organizer: Gu Wang

4 talks

1

ID_529 — Optimal dividend, reinsurance, and capital injection strategies for an insurer with two collaborating business linesMS

Bin Zou (University of Connecticut, United States)
2

ID_531 — Leveraged Firms: Growth or Value, Constraints or Frictions?MS

Gu Wang (Worcester Polytechnic Institute, United States)Organizer
3

ID_592 — Minimizing the Ruin Probability with Irreversible Reinsurance and InvestmentMS

Dan Ren (University of Dayton, United States)
4

ID_602 — A Dynamic Equilibrium Model of Liquidity RiskMS

Xiaofei Shi (University of Toronto, Canada)

Room 6Oral session Risk Measures/Risk Management

4 talks

1

ID_199 — Some results on general \(\La\)-quantiles

Fabio Bellini (University of Milano-Bicocca, Italy)
2

ID_339 — Credible modified risk measures for green energy markets

Arief Rahman Hakim (National Research and Innovation Agency (BRIN), Indonesia)
3

ID_382 — On expectiles and almost stochastic dominance

Corrado De Vecchi (University of Verona, Italy)
4

ID_443 — Shaping volatility surfaces with optimal transport: arbitrage repair, stress-testing, and scenario generation

Marius Chevallier (Centre de Mathématiques Appliquées, Ecole Polytechnique, France)

Room 7Oral session Computational Finance and Numerical Methods

4 talks

1

ID_91 — Credit portfolio losses with climate change factors

Luis Ortiz Gracia (University of Barcelona, Spain)
2

ID_332 — Quantum Speedup for PDEs Arising from Option Pricing

Sofia Moliner (Imperial College London, United Kingdom)
3

ID_388 — Correlating Discrete Events: A Scalable Approach for Financial Risk Assessment

Andrea Monaco (University College Dublin, Ireland)
4

ID_515 — Uncertainties in risk evaluation for long term horizons and computational aspects

Giulia Di Nunno (University of Oslo, Norway)

Room 8Oral session Asset Allocation/Optimal Investment/Portfolio Theory

4 talks

1

ID_42 — Do Low Internal Carbon Prices Signal Climate Inaction? A Financed-Emissions Perspective

Haibo Liu (Purdue University, United States)
2

ID_144 — Income-Based Optimal Portfolio Choice: A New Approach

Seyoung Park (University of Nottingham, United Kingdom)
3

ID_251 — Outperforming a Benchmark with \(\alpha\)-Bregman Wasserstein divergence

Silvana Pesenti (University of Toronto, Canada)
4

ID_411 — Optimal investment under capital gains taxes

Alexander Dimitrov (Goethe University Frankfurt, Germany)

Room 9Oral session Time Inconsistency

4 talks

1

ID_277 — Preference robust distortion risk measures

Bernard Carole (Vrije Universiteit Brussel, Belgium)
2

ID_295 — Bayesian multi-objective stochastic control

Gabriela Kovacova (Reykjavik University, Iceland)
3

ID_336 — A model-based selling propensity: Prospect theory, multiple agents and the disposition effect

Salvatore Ciano (University of Warwick, United Kingdom)
4

ID_429 — Betting under Common Beliefs: The Effect of Probability Weighting

Mario Ghossoub (University of Waterloo, Canada)

Room 10Oral session Jump-Diffusions/Levy Processes

4 talks

1

ID_405 — Synthetic LNG competitiveness under carbon pricing with scenario based operational dispatch

Ezio Lauro (University College London, United Kingdom)
2

ID_52 — Continuous Time Trading with Multiple Insiders and Price Impact

Scott Robertson (Boston University, United States)
3

ID_171 — Ultra-short-term volatility surfaces

Guido Gazzani (Università degli studi di Verona, Italy)
4

ID_263 — Stochastic optimal control with randomly arriving control moments

Josha Dekker (University of Amsterdam, Netherlands)

Room 11Oral session Artificial Intelligence in Finance

4 talks

1

ID_196 — Reverse Mortgages, Housing, and Consumption: An Equilibrium Approach

Jialu Shen (Fudan University, China)
2

ID_261 — Solving Optimal Execution Problems via In-Context Operator Networks

Nils Detering (Heinrich Heine University Düsseldorf, Germany)
3

ID_340 — Differentiable GAN-Based Modeling for Financial Distributions and Sensitivity-Aware Pricing

Lokmane Abbas Turki (Sorbonne Université, France)
4

ID_399 — Data-Driven Duration Management: Term Structure Forecasting Using Machine Learning

Tobias Lausser (Technische Universität München, Germany)

Room 12Oral session Mean Field Control/Mean Field Games

4 talks

1

ID_77 — Self-Consistent Transport in Heterogeneous-Agent Models

Andrew Lyasoff (Independent, France)
2

ID_108 — Mean field game of mutual holding with major and minor players

Shuoqing Deng (The Hong Kong University of Science and Technology, Hong Kong)
3

ID_279 — Interacting particle systems on sparse W-random graphs

Carla Crucianelli (Princeton University, United States)
4

ID_348 — Conditional McKean-Vlasov Control

Kaiwen Zhang (Princeton University, United States)

Room 13Oral session Jump-Diffusions/Levy Processes

2 talks 2 available places

1

ID_128 — Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian

Elie Attal (Centre de Mathématiques Appliquées, Ecole Polytechnique, France)
2

ID_518 — Empty slot
3

ID_352 — Convex Expectations on Path Space: Dual Representations and their Applications

David Criens (University of Freiburg, Germany)
4

Empty slot

Room 14Oral session Optimal Control/Optimization

4 talks

1

ID_38 — A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks

Beatrice Ongarato (TU Dresden, Germany)
2

ID_138 — Liquid–Illiquid Conversion via Singular Control: Staking and Partial Commitment

Minsuk Kwak (Hankuk University of Foreign Studies, Korea, Republic of)
3

ID_275 — Habit Formation, Labor Supply, and the Dynamics of Retirement and Annuitization

Cody Hyndman (Concordia University, Canada)
4

ID_306 — The Impact of Preventive Effort on Loss Reduction in a CIR Risk Model

Gaia Pescosolido (Sapienza Università di Roma, Italy)

Day 5

General programme

Time	Session	Room	Event
9:00 - 10:00	AM	Room 1	Antoine JacquierPlenary SessionT.B.D.
10:00 - 10:30	AM		Coffee Break
10:30 - 11:30	AM	Room 1	Olivier GuéantPlenary SessionT.B.D.
11.30 - 13:30	AM	Rooms 1-14	Parallel sessions
13:30 - 14:00	PM		Lunch Break

Morning

Room	Session	Talks	Speakers
Room 1	Stochastic AnalysisOral session	4	Ole Cañadas; Vilimir Yordanov; Joshué Helí Ricalde Guerrero; Leonardo Marconi
Room 2	Machine Learning including reinforcement learning and deep learningOral session	4	Kamil Kashif; Arash Fahim; Martin Arnaiz; Kemal Kirtac
Room 3	Econometrics and Financial StatisticsOral session	4	Andrew Paskaramoorthy; Matthieu Garcin; Attila Lovas; Takaaki Shiotani
Room 4	Systemic RiskOral session	4	Graeme Baker; Federico Maglione; Hongyi Jiang; Cagin Ararat
Room 5	Insurance and Actuarial SciencesOral session	4	Lionel Sopgoui; Dimitrios Konstantinides; Radu Tunaru; Manuel Schranzhofer
Room 6	Credit Risk/Credit PortfoliosOral session	4	Steven Zhu; Charalampos Passalidis; Libo Li; Francesca Biagini
Room 7	Machine Learning including reinforcement learning and deep learningOral session	4	Junyan Ye; Yadh Hafsi; Albert Dorador; Luhao Zhang
Room 8	Asset Allocation/Optimal Investment/Portfolio TheoryOral session	4	Hao Zhou; Balazs Hoffmann; Claudio Tebaldi; Isaac Sonin
Room 9	FinTech: Blockchains and Cryptocurrencies, Peer-to-Peer Lending and Robo-advisoryOral session	4	Brian Timoney; Yuwei Wang; Sylvain Carré; Nazem Khan
Room 10	Empirical FinanceOral session	4	Frank Schiemann; Ruben Haalebos; Rafal Wojakowski; Emilio Barucci
Room 11	Stochastic AnalysisOral session	4	Yuji Shinozaki; Andrea Macrì; Peter Spreij; Thomas Wagenhofer
Room 12	Energy FinanceOral session	2	Rüdiger Frey; Sveinn Olafsson
Room 13	Topics in Mathematical FinanceOral session	0
Room 14	Topics in Mathematical FinanceOral session	0

Room 1Oral session Stochastic Analysis

4 talks

1

ID_193 — Cutoff phenomena for stochastic Volterra processes in the large initial condition regime

Ole Cañadas (Dublin City University, Ireland)
2

ID_414 — On Iterated Lorenz Curves with Applications: The Multivariate Case

Vilimir Yordanov (FAM @ TU Wien, Vienna, Austria, Austria)
3

ID_461 — From Particles to Mean-Field to Quantum Systems: Operator-Valued Non-Commutative Probability Methods for the Propagation of Chaos

Joshué Helí Ricalde Guerrero (ETH Zürich, Department of Mathematics, Switzerland)
4

ID_663 — Stratified Regime-Switching Copula Diffusions

Leonardo Marconi (University of Bologna, Italy)

Room 2Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_55 — LSTM-ARIMA as a hybrid approach in algorithmic investment strategies

Kamil Kashif (Quantitative Finance Research Group, Department of Quantitative Finance and Machine Learning, Faculty of Economic Sciences, University of Warsaw, Poland)
2

ID_268 — Multi-scale numerical methods for control problems in continuous-time with application to optimal execution problem

Arash Fahim (Florida State University, United States)
3

ID_396 — Mirror Descent Algorithms for Risk Budgeting Portfolios

Martin Arnaiz (Paris 1 Panthéon-Sorbonne, France)
4

ID_487 — Portfolio Optimization with Sentiment Weighted Policy Gradients

Kemal Kirtac (University College London, United Kingdom)

Room 3Oral session Econometrics and Financial Statistics

4 talks

1

ID_7 — Optimal Backtest Design: The Bias-Variance Tradeoff of Aggregated Backtests

Andrew Paskaramoorthy (University of Cape Town, South Africa)
2

ID_31 — Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility

Matthieu Garcin (ESILV, France)
3

ID_172 — A New Coupling Construction for Markov Chains in Random Environments with Applications in Financial Mathematics

Attila Lovas (HUN-REN Alfred Renyi Institute of Mathematics and Budapest University of Technology and Economics, Hungary)
4

ID_227 — On lead-lag estimation of non-synchronously observed point processes

Takaaki Shiotani (The University of Tokyo, Japan)

Room 4Oral session Systemic Risk

4 talks

1

ID_267 — The Skorokhod Reflection Problem Driven by Jump Processes and an Application to Reinsurance

Graeme Baker (Columbia University, United States)
2

ID_377 — A new measure of distance-to-default for the financial sector

Federico Maglione (University of Florence, Italy)
3

ID_379 — Robust Optimal Strategies for Two-Period Liquidation in Financial Systems

Hongyi Jiang (The Chinese University of Hong Kong, Hong Kong)
4

ID_394 — Can Nash inform capital requirements? Allocating systemic risk measures

Cagin Ararat (University of Leeds, United Kingdom)

Room 5Oral session Insurance and Actuarial Sciences

4 talks

1

ID_43 — A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio

Lionel Sopgoui (ENSAE, France)
2

ID_63 — Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns

Dimitrios Konstantinides (University of the Aegean, Greece)
3

ID_123 — Options Hedging Forward

Radu Tunaru (ICMA Centre, University of Reading, UK, United Kingdom)
4

ID_202 — The effect of policy cancellation on the risk of an insurance portfolio

Manuel Schranzhofer (FAM @ TU Wien, Vienna, Austria, Austria)

Room 6Oral session Credit Risk/Credit Portfolios

4 talks

1

ID_15 — Modeling Credit Cycle Index for Loan Loss Forecasting

Steven Zhu (Fordham University, United States)
2

ID_154 — MULTIVARIATE SUBEXPONENTIALITY AND INTERPLAY OF INSURANCE AND FINANCIAL RISKS IN A RENEWAL RISK MODEL

Charalampos Passalidis (University of the Aegean, Greece)
3

ID_307 — Vulnerable European and American options in a hazard process model

Libo Li (University of New South Wales, Australia)
4

ID_367 — WHEN DEFAULTS CANNOT BE HEDGED: AN ACTUARIAL APPROACH TO XVA CALCULATIONS VIA LOCAL RISK-MINIMIZATION

Francesca Biagini (University of Munich, Germany)

Room 7Oral session Machine Learning including reinforcement learning and deep learning

4 talks

1

ID_44 — Robust Exploratory Stopping under Ambiguity in Reinforcement Learning

Junyan Ye (The Chinese University of Hong Kong, Hong Kong)
2

ID_49 — Reinforcement Learning in Queue-Reactive Models: Application to Optimal Execution

Yadh Hafsi (Ecole Polytechnique, France)
3

ID_344 — One Permutation Is All You Need: Fast, Reliable Variable Importance and Model Stress-Testing

Albert Dorador (Independent, Spain)
4

ID_433 — Neural Dynamic Portfolio Control with Provable Learning Guarantees

Luhao Zhang (Johns Hopkins University, United States)

Room 8Oral session Asset Allocation/Optimal Investment/Portfolio Theory

4 talks

1

ID_363 — Monotone 2-D Integration Scheme for Mean–CVaR Optimization via Fourier-Trained Transition Kernels

Hao Zhou (The University of Queensland, Australia)
2

ID_419 — Exponential investments when prices are mean reverting

Balazs Hoffmann (Eötvös Lorand University, Hungary)
3

ID_435 — Geometric Integrability of the Hamilton-Jacobi-Bellman associated to the Portfolio Choice with Illiquid asset.

Claudio Tebaldi (Università Commerciale L. Bocconi, Italy)
4

ID_505 — The Game of Marginal Utilities

Isaac Sonin (UNC at Charlotte, NC, United States)

Room 9Oral session FinTech: Blockchains and Cryptocurrencies, Peer-to-Peer Lending and Robo-advisory

4 talks

1

ID_237 — Mempool: The Antechamber to the Blockchain

Brian Timoney (Dublin City University, Ireland)
2

ID_281 — PreFER: Interactive Robo-Advisor with Scoring Mechanism

Yuwei Wang (Shanghai University of Finance and Economics, China)
3

ID_412 — Liquid Staking: When Does It Help?

Sylvain Carré (Université Paris 1 Panthéon-Sorbonne, France)
4

ID_478 — Economics of Decentralization and Resilience: Hydra and Connectivity Tradeoffs

Nazem Khan (University of Oxford, United Kingdom)

Room 10Oral session Empirical Finance

4 talks

1

ID_161 — Clients, employees and institutional owners: Determinants of corporate decarbonisation commitments?

Frank Schiemann (University of Bamberg, Germany)
2

ID_333 — Optimal Portfolio Choice with a Cumulative Financed-Emissions Penalty: A Carbon-Intensity Factor Model

Ruben Haalebos (CREST, ENSAE, Institut Polytechnique de Paris, France)
3

ID_397 — Time integrals under the Black-Scholes-Merton and Margrabe economies

Rafal Wojakowski (University of Surrey, United Kingdom)
4

ID_486 — Sovereign bond yields, pollution and natural disasters

Emilio Barucci (Politecnico di Milano, Italy)

Room 11Oral session Stochastic Analysis

4 talks

1

ID_121 — A high-order recombination algorithm for weak approximation of stochastic differential equations

Yuji Shinozaki (Hitotsubashi University Business School, Japan)
2

ID_262 — Deep reinforcement learning for optimal trading with partial information

Andrea Macrì (Scuola Normale Superiore di Pisa, Italy)
3

ID_217 — Polynomial approximation of discounted moments

Peter Spreij (University of Amsterdam, Netherlands)
4

ID_294 — Weak Error Rates for Local Stochastic Volatility Models

Thomas Wagenhofer (Technische Universitat Berlin, Germany)

Room 12Oral session Energy Finance

2 talks 2 available places

1

ID_208 — Strategic Focus or Technological Neutrality? On the Optimal Mix of Green Investment and Carbon Capture and Storage Research in a Budget-Constraint World

Rüdiger Frey (Vienna University of Economics and Business, Austria)
2

ID_469 — Cournot Games and the Economics of Blockchain Transaction Validation

Sveinn Olafsson (Stevens Institute of Technology, United States)
3

Empty slot
4

Empty slot

Room 13Oral session Topics in Mathematical Finance

0 talks Empty session 4 available places

1

Empty slot
2

Empty slot
3

Empty slot
4

Empty slot

Room 14Oral session Topics in Mathematical Finance

0 talks Empty session 4 available places

1

Empty slot
2

Empty slot
3

Empty slot
4

Empty slot