Our past conferences

The Department's annual conference

The Risk and Stochastics conference focuses on disseminating current research in quantitative modelling in finance, insurance, and risk management. Currently in it's 14th year, the Department has hosted a variety of talented speakers since the conference began. 


Speakers (all titles and abstracts are TBC)

Enrico Biffis (Imperial College)

Corina Constantinescu-Loeffen (Liverpool)

Aditi Dandapani (École Polytechnique)

Daniela Escobar (LSE)

Jo Kennedy (Warwick)

Zbyszek Palmowski (Wroclaw)

Thorsten Rheinländer (Vienna)



Hansjörg Albrecher (University of Lausanne)

 On optimal dividend problems in risk theory

Giorgia Callegaro (University Of Padova)

 Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)

Katia Colaneri (University of Leeds)

 Value adjustment and dynamic hedging of reinsurance counterparty risk

Thierry Foucault (HEC Paris)

 Inventory Management, Dealers' Connections, and Prices in OTC Markets

Johannes Muhle-Karbe (Imperial College London)

 Equilibrium asset pricing with transaction costs

Frank Riedel (Bielefeld University)

 Viability and Arbitrage under Knightian Uncertainty

Tauhid Zaman (MIT Sloan School of Management)

 Picking Winners: From Venture Capital to Fantasy Sports


Videos of each lecture are available here.



Bruno Bouchard (Université Paris-Dauphine)

Simple Transaction Cost Bounds

Stefano De Marco (École Polythechnique)

VIX derivatives in rough forward variance models

Dimitrina Dimitrova (Cass Business School) 

On the double boundary non-crossing probability for a class of compound risk processes with applications.

Erengul Dodd (University of Southampton) 

Predictive modelling of settlement delay and claim diagnosis rates in critical illness insurance

Catherine Donnelly (Heriot Watt University) 

Capitalising on pensions freedom: reinventing the life annuity

Damir Filipovic (EPFL and Swiss Finance Institute)

On the Relation between Linearity-Generating Processes and Linear-Rational Models

Martino Grasselli (University of Padova)

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

Antoine Jacquier (Imperial College London)

Pricing and Hedging in rough volatility models

Athena Picarelli (Imperial College London)

State constrained optimal control problems via reachability approach.

Catherine Rainer (University of Western Brittany) 

On continuous time games with asymmetric information


Videos of each lecture are available here.



Patrick Cheridito (ETH Zürich)

Variable annuities with high water mark withdrawal benefit

José Manuel Corcuera Valverde (University of Barcelona) 

Price impact in the Kyle-Back equilibrium model 

Griselda Deelstra (Université libre de Bruxelles - Free University of Brussels) 

Option pricing in a Markov-modulated Lévy framework 

Jim Gatheral (Baruch College) 

Rough volatility: an overview

Vicky Henderson (University of Warwick) 

Probability weighting: stop-loss and the disposition effect

Claude Martini (CEO of Zeliade Systems) 

The extended Surface SVI (eSSVI) model 

Dylan Possamai (Paris Dauphine)

Moral hazard, limited liability and golden parachutes

Birgit Rudloff (WU Vienna) 

Dynamic programming for multivariate problems

Johannes Ruf (Department of Maths, LSE)

Some remarks on functionally generated portfolios

Milan Vojnovic (Department of Statistics, LSE)

On a portfolio selection problem using individual performance Scores

Patrick Wolfe (University College London)

Big network data


Videos of each lecture are available here.



Erhan Bayraktar (University of Michigan) 

On Market Viability under Proportional Transaction Costs 

Damiano Brigo (Imperial College London) 

Coordinate-free Stochastic Differential Equations as 2-Jets 

Paul Embrechts (ETH Zurich) 

Quantile-based risk sharing 

Robert Fernholz (Founder of INTECH)

Volatility and arbitrage 

Christian Julliard (Department of Finance, LSE)

Network Risk and Key Players: A Structural Ayalysis of Interbank Liquidity 

Pablo Koch-Medina (University of Zurich) 

Diversifction and protection of liability holders 

Anne Eyraud Loisel (University of Lyon) 

How does asymmetrical information create market incompleteness? 

Nicolas Perkowski (Humboldt University Berlin) 

Game-theoretic martingales and applications to model free financial mathematics 

Eckhard Platen (University of Technology Sydney) 

Benchmark Approach to Finance 

Claudia Ravanelli (University of Zurich) 

Ambiguity Aversion in Ellsberg Frameworks

Wolfgang Runggaldier (University of Padua) 

 Optimal arbitrage and portfolio optimization for market models


Videos of each lecture are available here.