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Robust Techniques in Quantitative Finance

University of Oxford, 3-7 September 2018

[Logo-Oxford]

Since the seminal work of Knight, the distinction between risk and uncertainty has played a crucial role in Economics and Finance. Robust methods address the latter and, in the wake of the financial crisis, their importance has been increasingly appreciated. In particular, such questions and the corresponding mathematical techniques became one of the most active fields in Mathematical Finance.

The conference will bring together an interdisciplinary group of researches with interests in Financial Mathematics, Finance and Economics, with model uncertainty as the unifying theme. It promises to be an exciting meeting exploring the state-of-the-art, future directions and offering space and time for discussions and interactions.

This meeting follows in the footsteps of three previous meeting which we have organised in Oxford in 2010, 2016 and 2017. While the previous ones were two days focused workshops, this time we are organising a much larger and broader 5-day meeting. We hope you will join us!

Program

An updated program is now available! The conference program starts on Monday at noon, with coffee served from 10:30. Please also see Venues below for information regarding your accommodation.

Plenary Speakers

Mathias Beiglboeck

Vienna University of Technology

Laurence Carassus

De Vinci Pole Universitaire and University of Reims

Rama Cont

University of Oxford

Fabio Maccheroni

Bocconi University

Marco Maggis

University of Milan

Massimo Morini

Banca IMI and Universita Bocconi

Marcel Nutz

Columbia University

Xiaolu Tan

University of Paris-Dauphine

Ruodu Wang

University of Waterloo

Speakers

Vilen Abramov

BB&T Bank

Anna Aksamit

University of Sydney

Andrew Allan

University of Oxford

Dirk Becherer

Humboldt Universitat zu Berlin

Patrick Beissner

ANU School of Economics

Martin Bruckerhoff-Pluckelmann

University of Bonn

Matteo Burzoni

ETH Zurich

Chau Ngoc Huy

Alfred Renyi Institute of Mathematics

Tao Chen

University of California, Santa Barbara

Henry Chiu

Imperial College London

Samuel Cohen

University of Oxford

Hadrien De March

Ecole Polytechnique

Stephan Eckstein

University of Konstanz

Tolulope Rhoda Fadina

University of Freiburg

Sigrid Kallblad

Vienna University of Technology

Sojung Kim

Gottfried Wilhelm Leibniz Universitat Hannover

Michael Kupper

University of Konstanz

Felix-Benedikt Liebrich

LMU Munich

Eyal Neuman

Imperial College London

Dominic Norgilas

University of Warwick

David Promel

University of Oxford

Frank Riedel

Bielefeld University

Pietro Siorpaes

Imperial College London

Johannes Wiesel

University of Oxford

Daisuke Yoshikawa

Hokkai Gakuen University

Yufei Zhang

University of Oxford

Poster Presentations

Farid AitSahlia

University of Florida

Andro Mercep

University of Zagreb

Max Nendel

Bielefeld University

Ramin Okhrati

University of Southampton

Matteo Ottaviani

Scuola Normale Superiore

Vladimir Petrov

University of Zurich

Martin Tegner

University of Oxford

Lukasz Treszczotko

University of Warsaw

Tao Wu

Illinois Institute of Technology

Hai Zhang

Strathclyde Business School

Other Participants

Jonathan Chetwynd-Diggle

University of Oxford

Soeun Choi

Alessandro Doldi

Benjamin Hillyard

University of Warwick

Vitthal Kulkarni

Avi Mayorcas

Rosario Monter

Sina Nejad

University of Oxford

Jan Obloj

University of Oxford

Hyungbin Park

Seoul National University

Imanol Perez Arribas

Enoch Quaye

Benjamin Robinson

Nizar Touzi

Ecole Polytechnique

Minhyeok Woo

KAIST Korea

Issa Zacharia

University of Sidney

Registration

Registration is now closed. The conference fee covers the cost of your participation, the conference dinner as well as lunches, coffee breaks and wine reception. The fee is waived for PhD students. As part of registration, you will have an option to purchase one of pre-booked B&B rooms located in the vicinity of the conference venue.

The program of talks is now closed.

Scientific Committee

Beatrice Acciaio, Bruno Bouchard, Michael Kupper, Jan Obloj, Frank Riedel, Alexander Schied, Nizar Touzi

Venues: Conference, Social events, Accommodation

The meeting will be held in the Mathematical Institute, University of Oxford which offers world class conference facilities in the heart of Oxford. There will be a wine reception on Monday evening in the Common room. The conference dinner will be held on Tuesday in St John's College Oxford. Punting will be organised at the Magdalen bridge on Thursday.

Most participants who were offered accommodation, or booked it via the online store, are staying at Keble College. Unless we emailed you to say otherwise, please assume you are staying at Keble. Please check in at the Porter's Lodge (located at the main entrance to the college on Parks Road, OX1 3PG, T: 01865 282505, see map). The Porter's Lodge is manned 24 hours a day. Checkin time is 2pm, check out is 10am (but you may be allowed to check in early or check out late if rooms are not being used and, in any case, they can store your luggage). Subject to our pre-booked capacity, delegates staying in standard rooms may be upgraded free of charge to en suite rooms.

[Logo-StJohn'sCollege] [Mathematical-Institute] The workshop is hosted by the Mathematical Institute and is funded by the European Research Council under the European Union's Seventh Framework Programme (FP7/2007-2013) / ERC grant agreement no. 335421. We also acknowledge hospitality and support from St John's College.

The conference is organised by Gaoyue Guo (University of Oxford) and Jan Obloj (University of Oxford). Please feel free to contact us with any questions.