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EPFL hosts AMaMeF and Swissquote Conference 2015

© 2015 EPFL

© 2015 EPFL

The 7th General AMaMeF and Swissquote Conference 2015 took place at the SwissTech Convention Center at EPFL from September 7 to 10. AMaMeF stands for “Advanced Mathematical Methods in Finance”. This is the name of a European research network that was created with the support of the European Science Foundation in 2005 for the development of mathematics for finance. The network spreads around sixteen European countries, including Switzerland. Next to fostering the training of young scientists in quantitative finance, it organizes a general conference every two years.

The 7th General AMaMeF conference was held jointly with this year’s traditional Swissquote conference at EPFL, which is an annual event that has been organized by the Swissquote Chair in Quantitative Finance at EPFL since 2010.


This international four day conference featured ten plenary talks and about seventy invited paper talks held in parallel sessions. In addition, about twenty young researchers were given the opportunity to present their results on posters during the conference.


The program embraced the various present most prominent areas of quantitative finance such as credit risk, liquidity risk, systemic risk, model risk, limit order markets, information structures and long-memory models, interest rates modeling, energy finance, and various fundamental aspects of portfolio optimization, numerical methods, and econometrics. The program also touched on fundamental research in financial mathematics, including stochastic analysis, backward stochastic differential equations, stochastic control and calculus. A stream of sessions was devoted to polynomial models in finance, gathering research related to the ERC Starting Grant POLYTE of EPFL Professor Damir Filipovic. The conference also featured a special practitioner’s session organized by the Quantitative Asset Management team of Swissquote.


The conference brought together leading finance scholars and practitioners who provided firsthand insights in cutting-edge mathematical methods in finance. Darrell Duffie from Stanford University presented recent research for improving the efficiency of so-called over-the-counter markets, which constitute the predominant form of trading commodities and financial instruments. Alexander Schied from the University of Mannheim presented new examples of test integrators for pathwise Ito calculus. Kay Giesecke from Stanford University proposed a neuronal dynamic model for mortgage delinquency and prepayment based on a very large set of US data which provides accurate forecasts for managing default risk in mortgage portfolios. Alexander Lipton from Bank of America and Oxford University compared existing theories of money creation and presented a novel model describing the stability of the interconnected banking network. Beatrice Acciaio and Constantinos Kardaras, both from the London School of Economics, addressed the fine properties of the information structure and stochastic equilibria in mathematical models for incomplete financial markets. Francesca Biagini from the University of Munich analyzed various long term interest rates, which can constitute suitable discounting factors for investments over long time horizons. Rene Carmona from Princeton University presented new mathematical results for the modeling of bank runs. Such models provide a clearer understanding of the mechanisms underlying bank runs and thus provide the tools for preventing them. Jan Kallsen from the University of Kiel explored the question whether any American option can be represented as a European option whose price dominates the American option payoff at any time. Chris Rogers from the University of Cambridge presented numerical methods for an efficient pricing and hedging of high-dimensional Bermudan options.


A key event in the program was the panel discussion on future directions and challenges for mathematics in finance, featuring Rene Carmona, Darrell Duffie, Alexander Lipton, and Chris Rogers. The panel touched on some big open mathematical problems, including a coherent axiomatic approach for valuation adjustments for over-the-counter trades, the design of stress scenarios for systemic risk management, high frequency and big data analysis in finance, and large scale optimization. The discussion underlined the cross-disciplinary nature of mathematical finance with strong links to finance, mathematics, and engineering.
The conference attracted 180 participants from 14 countries. It was sponsored by Swissquote, the Swiss Finance Institute, the ERC Starting Grant Agreement n.307465-POLYTE, and the Centre of Advanced Study of Oslo.


Author: Carole Bonardi
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