22nd MathFinance Conference
21-22 March 2022
Providing cutting-edge research and brand-new practical applications, the conference is intended for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance as well as for academics studying or researching in the field of financial mathematics.
This year the conference tackles rough volatility, crypto derivatives, market regimes, volatility modeling, climate finance, market data, stable Monte Carlo Greeks. This year MathFinance are especially pleased to welcome very distinguished speakers from the quantitative finance world such as Paul Wilmott, Adil Reghai, Antoine Jacquier, Caroline Mauron and many others. The speakers and their talks comprise:
– Dr. Josef Teichmann (ETH Zurich) Frontiers in Mathematical Finance
– Dr. Peter Tankov (ENSAE, Institut Polytechnique de Paris) Asset Pricing under Transition Scenario Uncertainty
– Dr. Jack Jacquier (Imperial College London, Director of the MSc in Mathematics and Finance) As Rough as it can get
– Dr. Blanka Horvarth (King’s College London) Clustering Market Regimes using Wasserstein Distance
– Dr. Torsten Langner (YUCE-8) Introducing a New Regime Change Indicator for Bitcoin
– Dr. Caroline Mauron, (OrBit Markets) Exotic Payoffs in the DeFi World
– Dr. Nathalie Packham (Berlin School of Economics and Law) Crypto Markets – the Good, the Bad and the Quant’s Field Lab
– Dr. Uwe Wystup (MathFinance) Uncle Herbert’s Savings Plan with Bonus and the Legal Aftermath
– Dr. Stefan Ebenfeld (Deloitte) Quantitative Climate Stress Testing
– Dr. Christian Bayer (Weierstrass Institute) Simulating Rough Volatility Models
– Dr. Bastian von Harrach (Goethe University Frankfurt) Stable Differentiation of Monte Carlo Priced Options with Discontinuous Payoffs
– Dr. Wolfgang Eholzer (Board Member, Eurex) Option and Futures Trading @ Eurex
– Dr. Karel in’t Hout (University of Antwerp) Operator Splitting Schemes for Pricing European and American Options und Two-Asset Jump-Diffusion Models
– Dr. Stefano de Marco (Ecole Polytechnique Paris) Local volatility from rough volatility
– Dr. Mathieu Rosenbaum (Ecole Polytechnique Paris) TBA
– Dr. Adil Reghai (Natixis) Local Stochastic Volatility Saga – Episode III
– Mauricio I. Gonzales-Evans (BCC Group) Market Data in the Cloud
– Dr. Markus Hertrich (Bundesbank) Foreign Exchange Interventions under a Minimum Exchange Rate Regime and the Swiss Franc
Springer will introduce new books by Robert Jarrow, Thomas Barrau (AXA), and Agatha Murgoci, (Ørsted) with live interviews
Additionally, the conference will also have a panel discussion on Climate Finance and the challenges faced in the quantitative finance industry. Prof. Martin Simon (MathFinance) will moderate the discussion with the following panelists:
Stefan Ebenfeld, Director | Risk Advisory, Deloitte
Eva Meyer, Head of Company Engagement, BNP Paribas
Hannah Helmke, Founder, based on science
Jan Köpper, Head of Impact Transparency & Sustainability, GLS Bank
Stefan Bohlius, Senior Manager, d-fine
An Interview with Paul Wilmott will conclude the conference.
A blend of world-renowned speakers ensures that a variety of topics and issues of immediate importance are covered. This event is a must for all quantitative finance professionals.
For updates on the agenda and registration please visit:
MathFinance are happy for supporting sponsors Deloitte, BCC Group and thank our Media Partners Wilmott, Springer, Financial Risk Hub and our affiliate partner UAE FMA.