Swissquote Conference 2020 on Finance and Technology
Friday, October 30, 2020.
Due to the exceptional circumstances caused by COVID-19, this conference was held online and consisted of two presentations.
10:30 – 11:15 Morten Linnemann Bech (BIS Innovation Hub)
“Central bank digital currency” anno 1962 (Abstract) (Video) (Slides)
11:15 – 12:00 Antoine Savine and Brian Huge (Superfly Analytics at Danske Bank)
Differential Machine Learning (Abstract) (Video)
The conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute@EPFL and was supported by
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Swissquote Conference 2019 on Artificial Intelligence in Finance
Friday, November 8, 2019
Venue: SwissTech Convention Center, EPFL, Lausanne, Switzerland
Artificial Intelligence (AI) has become a prominent tool in finance. Applications of AI range from trading, investing, and risk management, to advisory and marketing of financial services.
The 10th annual Swissquote Conference will feature current research and insights on AI in finance provided by leading experts and scholars in the field. Invited FinTech companies will showcase their products and services. The event addresses academics and practitioners alike, and shall foster the interaction among individuals and across institutions.
| 08:30 – 09:10 | Registration and welcome coffee |
| 09:10 – 09:25 | Welcome address Video |
| 09:25 – 10:00 | Miquel Noguer i Alonso (AIFI) “Latest developments in Deep Learning in Finance” Slides |
| 10:00 – 10:35 | Alexei Kondratyev (Standard Chartered Bank) “The Market Generator” Slides Video |
| 10:35 – 11:05 | Coffee break |
| 11:05 – 11:40 | Jan Witte (UCL) “Synthetic Financial Data: An Application To Regulatory Compliance For Broker-Dealers“ Slides |
| 11:40 – 12:15 | Petter Kolm (NYU Courant) “Hedging an Options Book with Reinforcement Learning” Slides |
| 12:15 – 13:30 | Lunch break |
| 13:30 – 14:05 | Presentation of the Finance and Technology Programme Video |
| 14:05 – 14:40 | Dan Rosen (d1g1t) “Re-Thinking The Wealth Management Advisory Cycle through Advanced Analytics and Risk Management tool” Slides Video |
| 14:40 – 15:10 | Coffee break |
| 15:10 – 15:45 | Robert Almgren (Quantitative Brokers) “Price Signals in High Frequency Trade Execution” Slides Video |
| 15:45 – 16:30 | Panel discussion: “Scope and limits for machine intelligence in finance”. Discussants: Robert Almgren, Petter Kolm, Alexei Kondratyev, Olivier Scaillet (University of Geneva and Swiss Finance Institute). Moderator: Damir Filipovic (EPFL and Swiss Finance Institute) Video |
Invited FinTech companies:
The conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute@EPFL and was sponsored by
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Swissquote Conference 2018 on Machine Learning in Finance
Friday, November 9, 2018
Venue: SwissTech Convention Center, EPFL, Lausanne, Switzerland
Machine learning has come to play a prominent role in modern finance. Current applications range from text-based analysis of business reports to deep learning for credit risk and portfolio management. But the noise and behavioral elements inherent in financial data often require nonstandard machine learning solutions, possibly yet to be developed. The full potential of machine learning in finance is still to be explored.
The 9th annual Swissquote Conference will feature current research and insights on machine learning in finance provided by leading experts and scholars in the field. Four invited FinTech companies will showcase their products and services. The event addresses academics and practitioners alike, and shall foster the interaction among individuals and across institutions.
Invited FinTech companies:
The conference has been organized by the Swissquote Chair in Quantitative Finance, Alexander Lipton, and the Swiss Finance Institute@EPFL and was sponsored by:
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Swissquote Conference 2017 on FinTech
Friday, November 3, 2017
Venue: SwissTech Convention Center, EPFL, Lausanne, Switzerland
Innovation in financial technology (FinTech) has transformed the financial services industry over the past decade and the technological changes are ongoing. Continuous pressure to innovate will shape customer behaviours, business models, and the long-term structure of the financial services industry. This unprecedented interplay between finance and technology offers great potential for developing new financial services business models and products.
The 8th annual Swissquote Conference will feature current research and insights on FinTech provided by leading experts and scholars in the field. This includes a mix of academic presentations, both from finance and from technology/computer science, and a panel discussion by FinTech entrepreneurs and experts. Five invited FinTech startups will showcase their products and services. The event addresses academics and practitioners alike, and shall foster the interaction among individuals and across institutions.
| 08:20 – 08:50 | Registration and welcome coffee |
| 08:50 – 09:00 | Welcome address |
| 09:00 – 09:40 | Bruno Biais (Toulouse School of Economics) “The Blockchain Folk Theorem” slides |
| 09:40 – 10:20 | Lisa Goldberg (University of California, Berkeley) “Effective sample bias correction for minimum variance portfolios” slides paper |
| 10:20 – 10:50 | Coffee Break & FinTech startup booths |
| 10:50 – 11:30 | Adrien Treccani (Metaco) “A primer on blockchain technology and its applications” slides |
| 11:30 – 12:10 | Joseph Bonneau (Electronic Frontier Foundation) “The promise and peril of smart contracts” slides |
| 12:10 – 14:10 | Lunch break & FinTech startup booths |
| 14:10 – 14:50 | Alexander Lipton (MIT Connection Science) “Mathematics behind the digital transformation in banking” slides |
| 14:50 – 15:30 | Jeffrey Bohn (Swiss Re Institute) “Technology and Insurance: Themes and Challenges” slides |
| 15:30 – 16:00 | Coffee Break & FinTech startup booths |
| 16:00 – 17:00 | Panel discussion on “FinTech opportunities and challenges”. Damir Filipovíc (Swissquote Chair , SFI Professor) – moderator Jeffrey Bohn (Swiss Re Institute), Sam Guilaume (Co-founder, TwinPeek), Michel Iskander (CEO, Dynamic Assets & Performance Monitoring SA), Sal Matteis (Fintech Fusion) |
Invited FinTech startups:
The conference has been organized by the Swissquote Chair in Quantitative Finance, the Decentralized and Distributed Systems Lab, and the Swiss Finance Institute@EPFL and was sponsored by:
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Swissquote Conference 2016 on the Future of Banking
Friday, November 4, 2016
Venue: SwissTech Convention Center, EPFL, Lausanne, Switzerland
Banking business in Switzerland and worldwide is in transition. The European banking sector is still recovering from the aftermath of the Lehman Brothers default in 2008. New regulatory frameworks such as Basel III and MiFID II put banks under scrutiny. Swiss specific challenges are the reform of the banking secrecy law and the extreme low and even negative interest rate regime. Financial disintermediation and digitization put further pressure on traditional banking business margins but offer the potential for innovation and new banking business models.
The 7th annual Swissquote Conference will feature the latest research and insights on banking and finance provided by leading experts and scholars in the field. The event addresses academics and practitioners alike, and shall foster the interaction among individuals and across institutions.
| 08:20 – 08:50 | Registration and welcome coffee |
| 08:50 – 09:00 | Welcome address |
| 09:00 – 09:40 | Steven Ongena (University of Zurich and Swiss Finance Institute) “Bank Funding Shocks and Credit Reallocation” pdf |
| 09:40 – 10:20 | Guillaume Vuillemey (HEC Paris) “Wholesale Funding Dry-Ups” pdf |
| 10:20 – 10:50 | Coffee break |
| 10:50 – 11:30 | Stijn Claessens (Board of Governors of the Federal Reserve System) “Regulation and Structural Change in Financial Systems” pdf |
| 11:30 – 12:10 | Jean-Charles Rochet (University of Zurich and Swiss Finance Institute) “Bank Regulation and Sustainable Finance” pdf |
| 12:10 – 13:40 | Lunch Break |
| 13:40 – 14:20 | Anjan Thakor (Washington University) “Bank Culture” pdf |
| 14:20- 15:00 | Alan Morrison (University of Oxford) “Ethical Standards and Cultural Assimilation in Financial Services” pdf |
| 15:00 – 15:30 | Coffee break |
| 15:30 – 16:10 | Ben Robinson (Temenos) “The Digitization of Banking” pdf |
| 16:10 – 17:00 | Panel discussion (S. Claessens, B. Robinson, A. Thakor) “Challenges and Opportunities for the Banking of the Future“ |
The conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL, and was sponsored by :
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7th General AMaMeF and Swissquote Conference 2015
September 7-10, 2015
Venue: SwissTech Convention Center, EPFL, Lausanne, Switzerland
AMaMeF stands for Advanced Mathematical Methods in Finance. This is a European research network that was created in 2005 for the development of mathematics for finance. It organizes a general conference every two to three years. The previous three were held in Warsaw 2013, Bled 2010, and Ålesund 2009.
The 7th general conference is supported by Swissquote, the Swiss Finance Institute, the ERC Starting Grant Agreement n.307465-POLYTE, and the CAS Oslo. The event features plenary talks, invited paper sessions, and contributed poster presentations in advanced mathematics for finance. It addresses academics and practitioners alike, and shall foster the interaction among individuals and across institutions.
Monday September 7
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09:30-10:30 |
Registration + welcome coffee |
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10:30-11:00 |
Welcome |
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11:00-12:00 |
Darrell Duffie (slides) |
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12:00-13:00 |
Alexander Schied (slides) |
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13:00-14:00 |
Lunch break & poster session |
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14:00-15:30 |
Credit Risk |
Insurance |
Random Fields and Stochastic Analysis slides: talk1 |
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15:30-16:00 |
Coffee break & poster session |
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16:00-17:30 |
Interest Rates |
Model Risk and Robustness |
Portfolio Optimization |
Tuesday September 8
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08:30-09:00 |
Coffee |
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09:00-10:00 |
Kay Giesecke |
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10:00-11:00 |
Alex Lipton |
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11:00-11:30 |
Coffee break & poster session |
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11:30-13:00 |
Econometrics |
Functional and Pathwise Calculus |
Multicurve Models |
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13:00-14:00 |
Lunch break & poster session |
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14:00-15:30 |
Swissquote Practitioners’ Session |
Functional and Pathwise Calculus |
BSDEs |
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15:30-16:00 |
Coffee break & poster session |
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16:00-17:30 |
Panel discussion “future directions and challenges for mathematics in finance” |
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Wednesday September 9
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08:30-09:00 |
Coffee |
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09:00-10:00 |
Beatrice Acciaio (slides) |
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10:00-11:00 |
Francesca Biagini |
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11:00-11:30 |
Coffee break & poster session |
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11:30-13:00 |
Polynomial Models in Finance |
Long-Memory Models |
Systemic Risk |
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13:00-14:00 |
Lunch break & poster session |
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14:00-15:30 |
Polynomial Models in Finance |
Partial and Insider Information |
Systemic Risk |
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15:30-16:00 |
Coffee break & poster session |
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16:00-17:30 |
Polynomial Models in Finance |
Optimal Transport in Mathematical Finance |
Limit Order Markets |
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18:00-19:30 |
Olympic Museum Visit (included with the dinner) |
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19:30-22:00 |
Conference dinner at the Olympic Museum |
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Thursday September 10
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08:30-09:00 |
Coffee |
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09:00-10:00 |
Constantinos Kardaras (slides) |
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10:00-11:00 |
Rene Carmona (slides) |
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11:00-11:30 |
Coffee break & poster session |
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11:30-13:00 |
Numerical Methods |
Energy Finance |
Liquidity Risk |
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13:00-14:00 |
Lunch break & poster session |
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14:00-15:00 |
Jan Kallsen (slides) |
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15:00-16:00 |
Chris Rogers (slides) |
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16:00-16:30 |
Closing |
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- Beatrice Acciaio (London School of Economics)
- Francesca Biagini (University of Munich)
- Rene Carmona (Princeton University)
- Darrell Duffie (Stanford University)
- Kay Giesecke (Stanford University)
- Jan Kallsen (University of Kiel)
- Constantinos Kardaras (London School of Economics)
- Alex Lipton (Bank of America and Oxford University)
- Chris Rogers (University of Cambridge)
- Alexander Schied (University of Mannheim)
| Last name, First name | Institution | Session Topic |
| Ackerer, Damien | EPFL | Polynomial Models in Finance |
| Aymanns, Christoph | Oxford | Systemic Risk |
| Azmoodech, Ehsan | University of Luxembourg | Long-memory Models |
| Bender, Christian | Saarland University | Long-memory Models |
| Bion-Nadal, Jocelyne | CMAP | Energy Finance |
| Blacque-Florentin, Pierre | Imperial College London | Functional and Pathwise Calculus |
| Bonart, Julius | Imperial College London | Liquidity Risk |
| Borovkova, Svetlana | University of Amsterdam | Systemic Risk |
| Campi, Luciano | London School of Economics | Optimal Transport in Mathematical Finance |
| Capponi, Agostino | Columbia University | Credity Risk |
| Challet, Damien | Centrale Supélec and Encelade Capital SA | Swissquote |
| Cont, Rama | Imperial College London | Systemic Risk |
| Corcuera, José Manuel | Universitat de Barcelona | Long-memory Models |
| Cosso, Andrea | Université Paris-Diderot | Functional and Pathwise Calculus |
| Cox, Alex | University of Bath | Optimal Transport in Mathematical Finance |
| Crépey, Stéphane | Evry University | Multicurve Models |
| Cuchiero, Christa | University of Vienna | Multicurve Models |
| Curato, Imma | Ulm University | Econometrics |
| Czichowsky, Christoph | London School of Economics | Portfolio Optimization |
| Deelstra, Griselda | Université Libre de Bruxelles | Insurance |
| di Persio, Luca | University of Verona | Partial and Insider Information |
| Donnelly, Catherine | Heriot-Watt University | Insurance |
| Donnelly, Ryan | EPFL | Limit Order Markets |
| Elie, Romuald | Université Paris-Est | BSDEs |
| Fasen, Vicky | Karlsruhe Institute of Technology | Econometrics |
| Gourier, Elise | Princeton University | Polynomial Models in Finance |
| Grbac, Zorana | Université Paris-Diderot | Multicurve Models |
| Gnoatto, Alessandro | University of Munich | Interest Rates |
| Guasoni, Paolo | Dublin City University | Portfolio Optimization |
| Haertel, Max | Ludwig Maximilian University of Munich | Interest Rates |
| Horvath, Blanka | ETH Zurich | Numerical Methods |
| Huesmann, Martin | Universität Bonn | Optimal Transport in Mathematical Finance |
| Jaisson, Thibault | École Polytechnique, Paris | Limit Order Markets |
| Keller-Ressel, Martin | Technische Universität Dresden | Polynomial Models in Finance |
| Krühner, Paul | Vienna University of Technology | Polynomial Models in Finance |
| Kruse, Thomas | Université d’Evry | BSDEs |
| Larsson, Martin | ETH Zurich | Polynomial Models in Finance |
| Lu, Yi | Université Pierre & Marie Curie-Paris VI | Functional and Pathwise Calculus |
| Mastrolia, Thibaut | Dauphine Université Paris | BSDEs |
| Mayerhofer, Antonia | Universität Ulm | Numerical Methods |
| Mayerhofer, Eberhard | Dublin City University | Polynomial Models in Finance |
| Mishura, Yuliya | Taras Shevchenko National University of Kyiv | Partial and Insider Information |
| Muhle-Karbe, Johannes | ETH Zurich | Portfolio Optimization |
| Neuenkirch, Andreas | University of Mannheim | Numerical Methods |
| Øksendal, Bernt | University of Oslo | Energy Finance |
| Ortiz-Latorre, Salvador | University of Oslo | Random Fields and Stochastic Analysis |
| Packham, Nathalie | Frankfurt School of Finance & Management | Credit Risk |
| Passerini, Filippo | Swissquote | Swissquote |
| Prömel, David | Humboldt University of Berlin | Functional and Pathwise Calculus |
| Pulido, Sergio | ENSIIE | Polynomial Models in Finance |
| Ravanelli, Claudia | University of Zurich | Model Risk and Robustness |
| Rheinlander, Thorsten | Vienna University of Technology | Insurance |
| Riga, Candia | University of Zurich | Functional and Pathwise Calculus |
| Rosenbaum, Mathieu | Université Pierre & Marie Curie | Limit Order Markets |
| Ruediger, Barbara | Bergische Universität Wuppertal | Energy Finance |
| Runggaldier, Wolfgang | University of Padova | Interest Rates |
| Russo, Francesco | ENSTA-ParisTech | Random Fields and Stochastic Analysis |
| Schaanning, Eric | Imperial College London | Systemic Risk |
| Schmidt, Thorsten | University of Freiburg | Credit Risk |
| Schneider, Paul | Boston University and Swiss Finance Institute | Polynomial Models in Finance |
| Scotti, Simone | Université Paris-Diderot | Liquidity Risk |
| Stettner, Lukasz | Polish Academy of Sciences | Partial and Insider Information |
| Tappe, Stefan | Leibniz Universität Hannover | Interest Rates |
| Trapp, Monika | University of Cologne | Liquidity Risk |
| Trolle, Anders | EPFL | Polynomial Models in Finance |
| Tsanakas, Andreas | City University London | Model Risk and Robustness |
| Vanmaele, Michèle | Ghent University | Random Fields and Stochastic Analysis |
| Veraart, Luitgard | London School of Economics | Systemic Risk |
| Vetter, Mathias | University of Kiel | Econometrics |
| Wang, Ruodu | University of Waterloo | Model Risk and Robustness |
| Weber, Stefan | Leibniz Universität Hannover | Systemic Risk |
| Zanco, Giovanni | Universit |
- Pauline Barrieu
- Fred Espen Benth
- Damiano Brigo
- Rama Cont
- Damir Filipovic
- Hans Föllmer
- Monique Jeanblanc
- Yuliya Mishura
- Wolfgang Runggaldier
- Walter Schachermayer
- Robert Stelzer
- Giulia Di Nunno
- Ryan Donnelly
- Damir Filipovic
- Yaroslav Melnyk
- Sergio Pulido
Swissquote Conference 2014 on Algorithmic and High-Frequency Trading
Friday, November 7, 2014
Venue: SwissTech Convention Center, EPFL, Lausanne, Switzerland
Algorithmic and high-frequency trading have become the norm for electronic trading of financial assets worldwide. The new trading paradigm with a focus on ultra-short time horizons and the trading process rather than the asset itself, has led to lower bid-ask spreads but also to less benign market phenomena such as the “flash crash” of May 2010. Questions arise naturally as to whether high-frequency trading is harming conventional low-frequency and long term investors. Tools to measure and manage risk and profitability in the presence of high-frequency trading have yet to be developed for market participants and regulators.
The 5th annual Swissquote Conference will feature the latest research on algorithmic and high-frequency trading by leading experts and scholars in the field. The event addresses academics and practitioners alike, and shall foster the interaction among individuals and across institutions.
| 08:30 – 09:00 | Registration and welcome coffee |
| 09:00 – 09:15 | Welcome address |
| 09:15 – 10:00 | Richard Olsen (OLSENINVEST) “The Future of Digital Markets“, Video |
| 10:00 – 10:45 |
Thierry Foucault (HEC Paris) “News Trading and Speed“, Slides, Video |
| 10:45 – 11:15 | Coffee break |
| 11:15 – 11:40 | Christian A. Katz (CEO SIX Swiss Exchange) “A factual view of HFT“ |
| 11:40 – 12:45 | Panel discussion (C. Katz, A. Kirilenko, A. Kyle, R. Olsen) “Benefits, risks, and future of high-frequency trading“ |
| 12:45 – 13:45 | Lunch |
| 13:45 – 14:30 | Charles Jones (Columbia University) “Potential Pilot Problems“, Slides, Video |
| 14:30 – 15:15 |
Robert Almgren (Quantitative Brokers and New York University) “Using a Market Simulator to Develop Execution Algorithms“, Video |
| 15:15 – 15:45 | Coffee break |
| 15:45 – 16:30 | Albert Kyle (University of Maryland) “The Flash Crash: The Impact of High Frequency Trading on an Electronic Market“, Slides, Paper and Video |
| 16:30 – 17:15 | Andrei Kirilenko (MIT) “High Frequency Trading“, Slides, Video |
The conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL, and was sponsored by :
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The Swissquote Conference was sponsored by:
Swissquote Group is Switzerland’s leading provider of online financial and trading services. Listed on the Swiss Market Exchange (SIX Swiss Exchange, symbol: SQN) since May 29, 2000, the Swissquote Group has its headquarters in Gland (VD) and an office in Zürich. Swissquote Group is financing the Swissquote chair in quantitative finance.
The Swiss Finance Institute is a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities. It supports and advances research, doctoral training and executive education in banking and finance. The Institute is supported by Swiss banks, the Swiss Stock Exchange, Swiss universities and the Swiss Federal Government.
Swissquote Conference 2013 on Commodities and Energy
Friday, November 1st, 2013
Venue: EPFL, Lausanne, Switzerland
In recent years, huge investments have flown into commodities and energy markets. This development has stimulated academic research and policy debates on the economic effects of the financialization of commodities and energy. Topics include the role of speculation in oil markets, design and modeling of efficient electricity markets, effects of financialization versus effects of rising demand for commodities, and others.
This conference brings together different perspectives on the financialization of commodities and energy markets. It features presentations by leading experts and scholars in the field. The event addresses academics and practitioners, and aims to foster the interaction among individuals and across institutions.
| 08:30 – 09:00 | Registration/Welcome coffee |
| 09:00 – 09:45 | Fred Espen Benth (University of Oslo) Talk, Discussion |
| 09:45 – 10:30 | Jaime Casassus (Universidad Catolica de Chile) Talk, Discussion |
| 10:30 – 11:00 | Coffee break |
| 11:00 – 11:45 | Mahmoud Hamada (Ernst & Young, Geneva) Talk |
| 11:45 – 12:30 | Anna Pavlova (London Business School) Paper |
| 12:30 – 14:00 | Lunch |
| 14:00 – 14:45 | Lutz Kilian (University of Michigan) Talk, Discussion |
| 14:45 – 15:30 | Lars A. Lochstoer (Columbia University) Talk, Discussion |
| 15:30 – 16:00 | Aperitif |
Detailed program with the abstracts of the talks
This conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL, and was sponsored by:
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Speakers
- Fred Espen Benth (University of Oslo)
- Jaime Casassus (Universidad Catolica de Chile)
- Mahmoud Hamada (Ernst & Young, Geneva)
- Lutz Kilian (University of Michigan)
- Lars A. Lochstoer (Columbia University)
- Anna Pavlova (London Business School)
Discussants
- Luisa Lambertini (EPFL)
- Eva Lütkebohmert (University of Freiburg)
- Olivier Scaillet (University of Geneva)
- Paul Schneider (University of Lugano)
- Anders Trolle (EPFL)
The Swissquote Conference was sponsored by:
Swissquote Group is Switzerland’s leading provider of online financial and trading services. Listed on the Swiss Market Exchange (SIX Swiss Exchange, symbol: SQN) since May 29, 2000, the Swissquote Group has its headquarters in Gland (VD) and an office in Zürich. Swissquote Group is financing the Swissquote chair in quantitative finance.
In 2001, the Swiss National Science Foundation launched a National Centre of Competence in Research (NCCR) in the field of “Financial Valuation and Risk Management”. FINRISK has developed rapidly into a world-class academic forum for cutting-edge research in finance, advanced doctoral education and knowledge transfer between finance researchers and Switzerland’s finance professionals.
The Swiss Finance Institute is a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities. It supports and advances research, doctoral training and executive education in banking and finance. The Institute is supported by Swiss banks, the Swiss Stock Exchange, Swiss universities and the Swiss Federal Government.
Swissquote Conference 2012 on Liquidity and Systemic Risk
Thursday 8th and Friday 9th November 2012
Venue: EPFL, Lausanne, Switzerland
Liquidity and systemic risk refer to the major threats to the stability of the financial system. The overwhelming academic and regulatory response to the recent financial crisis created a vast diversity of models and measures that emphasize different aspects of these risks.
This conference brings together different perspectives and tools for the management of liquidity and systemic risk. It addresses academics and practitioners, and shall foster the interaction among individuals and across institutions.
The conference features presentations by leading experts and scholars in the field, a keynote address by Martin Hellwig, Max Planck Institute for Research on Collective Goods, Bonn, and a panel discussion on up-to-date aspects of the management of liquidity and systemic risk.
Thursday, 8th November 2012 |
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| 9:30 – 10:15 | Welcome coffee |
| 10:15 – 10:30 | Welcome address Swissquote |
| 10:30 – 11:30 | Lasse H. Pedersen (Copenhagen Business School), Talk, Discussion “Measuring Systemic Risk” |
| 11:30 – 12:30 | Carlo Acerbi (MSCI), Talk, Discussion “Supply-Demand Symmetry of Market Impact Models” |
| 12:30 – 14:00 | Lunch |
| 14:00 – 15:00 | Tobias Adrian (Federal Reserve Bank of New York), Talk, Discussion “Intermediary Leverage Cycles and Financial Stability” |
| 15:00 – 16:00 | Martin Hellwig (Max Planck Institute for Research on Collective Goods, Bonn), Talk “Why has Systemic Risk in Banking and Finance Increased?” |
| 16:00 – 16:30 | Coffee break |
| 16:30 – 18:00 | Panel discussion: “Challenges of Liquidity and Systemic Risk” |
| 18:00 – 19:00 | Aperitif |
Friday, 9th November 2012 |
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| 8:15 – 9:00 | Welcome coffee |
| 9:00 – 10:00 | Angelo Ranaldo (University of St.Gallen), Talk “Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Interest Parity” |
| 10:00 – 10:30 | Coffee break |
| 10:30 – 11:30 | Tom Hurd (McMaster University), Talk – Part 1, Talk – Part 2, Discussion “A Framework for Analyzing Contagion in Banking Networks” |
| 11:30 – 12:30 | Stephane Villeneuve (Toulouse School of Economics), Talk, Discussion “A Bayesian Adaptive Singular Control Problem Arising from Corporate Finance” |
| 12:30 – 14:00 | Lunch |
| 14:00 – 15:00 | Konstantin Milbradt (MIT Sloan School of Management), Talk, Discussion “Endogenous Liquidity and Defaultable Debt” |
| 15:00 – 16:00 | Christophe Perignon (HEC Paris), Talk, Discussion “A Theoretical and Empirical Comparison of Systemic Risk Measures” |
| 16:00 – 16:30 | Closing of the conference |
Detailed program with the abstracts of the talk
This conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL, and was sponsored by :
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Speakers
- Carlo Acerbi (MSCI)
- Tobias Adrian (Federal Reserve Bank of New York)
- Martin Hellwig (Max Planck Institute for Research on Collective Goods, Bonn)
- Tom Hurd (McMaster University)
- Konstantin Milbradt (MIT Sloan School of Management)
- Lasse H. Pedersen (Copenhagen Business School)
- Christophe Perignon (HEC Paris)
- Angelo Ranaldo (University of St.Gallen)
- Stephane Villeneuve (Toulouse School of Economics)
Discussants
- Susanne von der Becke (ETH Zurich)
- Rama Cont (CNRS and Imperial College London)
- Alessandro Fontana (University of Geneva)
- Antonio Mele (University of Lugano)
- Jean-Charles Rochet (University of Zurich)
- Michael Rockinger (University of Lausanne)
- Mete Soner (ETH Zurich)
Panelists
- Tobias Adrian (Federal Reserve Bank of New York)
- Martin Hellwig (Max Planck Institute for Research on Collective Goods, Bonn)
- Lasse H. Pedersen (Copenhagen Business School)
- Jean-Charles Rochet (University of Zurich)
The Swissquote Conference was sponsored by:
Swissquote Group is Switzerland’s leading provider of online financial and trading services. Listed on the Swiss Market Exchange (SIX Swiss Exchange, symbol: SQN) since May 29, 2000, the Swissquote Group has its headquarters in Gland (VD) and an office in Zürich. Swissquote Group is financing the Swissquote chair in quantitative finance.
In 2001, the Swiss National Science Foundation launched a National Centre of Competence in Research (NCCR) in the field of “Financial Valuation and Risk Management”. FINRISK has developed rapidly into a world-class academic forum for cutting-edge research in finance, advanced doctoral education and knowledge transfer between finance researchers and Switzerland’s finance professionals.
The Swiss Finance Institute is a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities. It supports and advances research, doctoral training and executive education in banking and finance. The Institute is supported by Swiss banks, the Swiss Stock Exchange, Swiss universities and the Swiss Federal Government.
Swissquote Conference 2011 on Asset Management
Thursday 20th and Friday 21st October 2011
Venue: Polydôme, Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland.
Asset management is a broad and topical theme in finance and financial engineering. It includes issues such as optimal portfolio choice and portfolio risk management; long term investments and asset liability management; or liquidity and inflation risk; etc.
This conference brings together different perspectives and tools for asset management. It addresses academics and practitioners, and shall foster the interaction among individuals and across institutions.
The conference features presentations by leading experts and scholars in the field, a keynote address by Andreas Schlatter, Head UBS Global Asset Management Switzerland, and a panel discussion on “current challenges in asset management”.
Thursday, 20th October 2011
| 9:00 – 10:00 | Welcome coffee |
| 10:00 – 10:30 | Welcome address Swissquote |
| 10:30 – 11:30 | Suleyman Basak (London Business School) “Asset Prices and Institutional Investors” |
| 11:30 – 12:30 | Ioannis Karatzas (Columbia University), Talk, Discussion “Hybrid Atlas Models” |
| 12:30 – 14:15 | Lunch |
| 14:15 – 15:15 | Rene Carmona (Princeton University), Talk, Discussion “Risk Management in the Energy Markets” |
| 15:15 – 15:45 | Coffee break |
| 15:45 – 16:45 | Jerome Detemple (Boston University) “A Structural Model of Dynamic Market Timing: Theory and Estimation” |
| 16:45 – 17:45 | Pedro Santa-Clara (Universidade Nova de Lisboa), Talk, Discussion “Optimal Option Portfolio Strategies” |
| 17:45 – 19:00 | Aperitif |
Friday, 21st October 2011
| 8:15 – 9:00 | Welcome coffee |
| 9:00 – 10:00 | Mogens Steffensen (University of Copenhagen), Talk, Discussion “On the Theory of Continuous-Time Recursive Utility” |
| 10:00 – 10:30 | Coffee break |
| 10:30 – 11:30 | Josef Zechner (Vienna University of Economics and Business), Talk, Discussion “The Term Structure of CDS Spreads and the Cross-Section of Stock Returns” |
| 11:30 – 12:30 | Attilio Meucci (Kepos Capital LP), Talk, Discussion “Fully Flexible Views: Theory and Practice” |
| 12:30 – 14:15 | Lunch |
| 14:15 – 15:15 | Andreas Schlatter (UBS), Talk “The Asset Management Industry – A Glance Backwards and Forwards” |
| 15:15 – 15:45 | Coffee break |
| 15:45 – 17:15 | Panel discussion: “Current Challenges in Asset Management” |
| 17:15 – 17:30 | Closing of the conference |
Detailed program with the abstracts of all talks
This conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL, and was sponsored by :
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Speakers
- Suleyman Basak (London Business School)
- Rene Carmona (Princeton University)
- Jerome Detemple (Boston University)
- Ioannis Karatzas (Columbia University)
- Attilio Meucci (Kepos Capital LP)
- Pedro Santa-Clara (Universidade Nova de Lisboa)
- Andreas Schlatter (UBS)
- Mogens Steffensen (University of Copenhagen)
- Josef Zechner (Vienna University of Economics and Business)
Discussants
- Hansjörg Albrecher (University of Lausanne)
- Tony Berrada (University of Geneva and SFI)
- Pierre Collin-Dufresne (EPFL and SFI)
- Patrick Gagliardini (University of Lugano and SFI)
- Helyette Geman (University of London and ESCP Europe)
- Julien Hugonnier (EPFL and SFI)
- Felix Kübler (University of Zurich and SFI)
- Semyon Malamud (EPFL and SFI)
Panelists
- Helyette Geman (University of London and ESCP Europe)
- Attilio Meucci (Kepos Capital LP)
- Andreas Schlatter (UBS)
- Josef Zechner (Vienna University of Economics and Business)
- Damir Filipovic (EPFL and SFI, moderator)
The Swissquote Conference was sponsored by:
Swissquote Group is Switzerland’s leading provider of online financial and trading services. Listed on the Swiss Market Exchange (SIX Swiss Exchange, symbol: SQN) since May 29, 2000, the Swissquote Group has its headquarters in Gland (VD) and an office in Zürich. Swissquote Group is financing the Swissquote chair in quantitative finance.
In 2001, the Swiss National Science Foundation launched a National Centre of Competence in Research (NCCR) in the field of “Financial Valuation and Risk Management”. FINRISK has developed rapidly into a world-class academic forum for cutting-edge research in finance, advanced doctoral education and knowledge transfer between finance researchers and Switzerland’s finance professionals.
The Swiss Finance Institute is a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities. It supports and advances research, doctoral training and executive education in banking and finance. The Institute is supported by Swiss banks, the Swiss Stock Exchange, Swiss universities and the Swiss Federal Government.
Swissquote Conference 2010 on Interest Rate and Credit Risk
27-28 October, 2010
Venue: Polydôme, Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland.
Interest rate and credit risk constitute the major risk sources for banks, insurance companies, and other financial institutions. These risks have played a central role in the global financial crisis of 2007 to 2009. The development of financial innovation depends on the way interest rate and credit risk are going to be managed in the future.
This conference brings together different perspectives and tools for the valuation and management of interest rate and credit risks. It addresses academics and practitioners, and shall foster the interaction among individuals and across institutions.
The conference features presentations by leading scholars, a keynote speech by Jean-Pierre Danthine, member of the Swiss National Bank‘s Governing Board, and a panel discussion on «Financial Innovation after the Crisis»
Thursday, 28th October Venue: Polydôme at EPFL
07:45-08:45 Registration/welcome coffee
08:45-09:00 Welcome Address Swissquote
09:00-10:00 Dilip Madan Capital Conservation and Risk Management
(Discussant: Fabio Trojani)
10:00-10:30 Coffee break
10:30-11:30 Giovanni Cesari Modeling Counterparty Exposure and CVA
(Discussant: Rüdiger Frey)
11:30-12:30 Pierre Collin-Dufresne On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
(Discussant: Markus Leippold)
12:30-14:15 Lunch break
14:15-15:15 Fabio Mercurio LIBOR Market Models with Stochastic Basis
(Discussant: Paul Schneider)
15:15-16:00 Jean-Pierre Danthine Keynote Speech: Money Markets and Monetary Policy in and after the Crisis
16:00-16:30 Coffee break
16:30-18:30 Panel Discussion
Financial Innovation after the Crisis
Pierre Collin-Dufresne, Rajna Gibson, David Lando, Dilip Madan, Fabio Mercurio,
Erwan Morellec (moderator)
18:30-19:30 Aperitif
Friday, 29th October Venue: Polydôme at EPFL
08:15-09:00 Welcome coffee
09:00-10:00 Rama Cont Default Contagion and Systemic Risk in Financial Networks
(Discussant: Thorsten Schmidt)
10:00-10:30 Coffee break
10:30-11:30 Tomas Björk Good Deal Bound Pricing, with Applications to Credit Risk
(Discussant: Damir Filipovic)
11:30-12:30 Alex Lipton Structural and Reduced-form Approaches to Calculating CVA for Portfolios of CDSs
(Discussant: Semyon Malamud)
12:30-14:15 Lunch break
14:15-15:15 Mark Davis Dynamical Counterparty Risk Valuation via Bessel Bridges
(Discussant: Julien Hugonnier)
15:15-15:45 Coffee break
15:45-16:45 Antoon Pelsser Robustness, Model Uncertainty and Pricing
(Discussant: Olivier Scaillet)
16:45-17:45 David Lando Corporate Bond Liquidity before and after the Onset of the Subprime Crisis
(Discussant: Loriano Mancini)
17:45-18:00 Closing of the Conference
This conference has been organized by the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute at EPFL
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- Tomas Björk (Stockholm School of Economics) Talk, Discussion Filipovic
- Giovanni Cesari (UBS) Talk, Discusion Frey
- Pierre Collin-Dufresne (Columbia University) Talk, Discussion
- Rama Cont (University Paris 6) Talk, Discusssion Schmidt
- Jean-Pierre Danthine (Swiss National Bank) Talk
- Mark Davis (Imperial College) Talk, Discussion Hugonnier
- David Lando (Copenhagen Business School) Talk, Discussion Mancini
- Alex Lipton (Bank of America Merrill Lynch and Imperial College) Talk, Discussion Mancini
- Dilip Madan (University of Maryland) Talk, Discussion Trojani
- Fabio Mercurio (Bloomberg) Talk, Discussion Schneider
- Antoon Pelsser (Maastricht University) Talk, Discussion Scaillet