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 organise a much larger and broader 5-day meeting.
Thank you
We are grateful to all who participated and thank you for the wonderful feedback we have received after the conference. The meeting was truly inspiring and we look forward to all the new research that comes out of it!
Program
Plenary Speakers
Mathias Beiglböck — Causal transport and its role in mathematical finance
Vienna University of Technology
De Vinci Pole Universitaire and University of Reims
University of Oxford
Bocconi University
Marco Maggis — Topological issues arising in Pricing Theory under Model Uncertainty
University of Milan
Banca IMI and Universita Bocconi
Columbia University
University of Waterloo
Speakers
BB&T Bank
University of Sydney
University of Oxford
Humboldt Universitat zu Berlin
ANU School of Economics
University of Bonn
ETH Zurich
Alfred Renyi Institute of Mathematics
University of California, Santa Barbara
Imperial College London
University of Oxford
Ecole Polytechnique
University of Konstanz
University of Freiburg
Sigrid Källblad— Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod embedding problem
Vienna University of Technology
Sojung Kim— Robust copula modeling for assessing conditional VaR via stochastic gradient descent optimization
Gottfried Wilhelm Leibniz Universität Hannover
Michael Kupper — A semigroup approach to nonlinear PDEs
University of Konstanz
LMU Munich
Imperial College London
University of Warwick
University of Oxford
Bielefeld University
Imperial College London
University of Oxford
Hokkai Gakuen University
University of Oxford
Poster Presentations
University of Florida
University of Zagreb
Max Nendel— Markov chains under nonlinear expectation
Bielefeld University
University of Zurich
Martin Tegner A probabilistic approach to local volatility
University of Oxford
Lukasz Treszczotko — From Hawkes-type processes to stochastic volatility
University of Warsaw
Tao Wu — A multi-curve random field LIBOR market model
Illinois Institute of Technology
Hai Zhang — Liquidity risks, transaction costs and online portfolio selection
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
University of Oxford
Hyungbin Park
Seoul National University
Imanol Perez Arribas
Enoch Quaye
Benjamin Robinson
Ecole Polytechnique
Minhyeok Woo
KAIST Korea
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.
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.