UNIVERSITY OF CAMBRIDGE, APRIL 12-15, 2023

QUANTITATIVE

FINANCE

CONFERENCE IN HONOUR OF MICHAEL DEMPSTER'S 85TH BIRTHDAY

Celebrating 23 years of the journal Quantitative Finance
and 85 years of Michael Dempster, its founding editor

Taylor & Francis, Capital Fund Management, Cambridge Endowment for Research in Finance

All conference events are in the Gillespie Centre, Clare College. The talks are in Riley Auditorium, and the lunches and coffee breaks are in the Garden Room.
Abstracts

Wednesday April 12

  • 13:00-13:55 Welcome
  • 13:55-14:00 Michael Tehranchi - University of Cambridge.
    Welcome remarks
  • 14:00-15:00 Antoine Jacquier - Imperial College.
    Some quantum algorithms in finance slides
  • 15:00-16:00 Julien Guyon - École des Ponts ParisTech.
    Volatility is (mostly) path-dependent slides
  • 16:00-16:30 Coffee break (in Elton-Bowring Room)
  • 16:30-17:30 Luca Capriotti - Credit Suisse and Columbia University.
    15 years of adjoint algorithmic differentiation: How to better hedge financial risks, crack some of the puzzles of condensed matter and much more with upside-down derivatives
  • 18:30-19:30 Drinks reception in the Elton-Bowring Room.
  • 19:30-21:00 Buffet dinner in the Garden Room

Thursday April 13

  • 9:00-9:30 Welcome coffee
  • 9:30-10:30 Blanka Horvath - Oxford University.
    Robust hedging GANS slides
  • 10:30-11:30 Giacomo Bormetti - Università di Bologna.
    Deep calibration slides
  • 11:30-12:30 Woo Chang Kim - KAIST.
    Deep financial planning slides
  • 12:30-14:00 Lunch
  • 14:00-15:00 Christian Bayer - WIAS Berlin.
    Optimal stopping with signatures slides
  • 15:00-16:00 Natalie Packham - Berlin School of Economics and Law.
    Correlation scenarios and correlation stress testing slides
  • 16:00-16:30 Coffee break
  • 16:30-17:30 Giorgio Consigli - Khalifa University.
    KEYNOTE: Professor Dempster's major contributions to theoretical and applied research in stochastic optimization and finance slides
  • 17:30-18:00 Meeting of Associate Editors

Friday April 14

  • 9:00-10:00 (new time) Damien Challet - École Centrale Paris.
    Filtering the covariance matrix of nonstationary systems with time-independent eigenvalues slides
  • 10:00-10:30 Coffee break
  • 10:30-11:30 Sasha Stoikov - Cornell Financial Engineering Manhattan.
    Where market making meets market microstructure slides
  • 11:30-12:30 Jessica James - Commerzbank.
    Risk management of super-long dated bonds slides
  • 12:30-14:00 Lunch
  • 14:00-15:00 Giorgio Consigli - Khalifa University.
    Benchmarking stochastic optimization approaches for pension fund management slides
  • 15:00-16:00 Sebastian Jaimungal - University of Toronto.
    Risk budgeting allocation for dynamic risk measures
  • 16:00-16:30 Coffee break
  • 16:30-17:30 Jean-Philippe Bouchaud - Capital Fund Management.
    KEYNOTE: The inelastic market hypothesis: A microstructural interpretation slides
  • 18:30-19:30 Drinks reception at Peterhouse (Combination Room)
  • 19:30-22:00 Conference dinner at Peterhouse (Combination Room)

Saturday April 15

  • 9:00-10:00 (new time) Claudio Tebaldi - Università Bocconi. The origins of scaling and power law fluctuations in a competitive equilibrium slides
  • 10:00-10:30 Coffee break
  • 10:30-11:30 Wim Schoutens - University of Leuven. Sustainable finance and ESG investing: Sense or nonsense slides
  • 11:30-12:30 Masaaki Fukasawa - Osaka University. When to efficiently rebalance a portfolio slides
  • 12:30-14:00 Lunch and departures

ORGANISERS: Jim Gatheral, Michael Tehranchi and the Cambridge Endowment for Research in Finance

Assorted photos from the event.

Michael Dempster's CV