Speaker:  Jakša Cvitanić, Caltech Humanities and Social Sciences Abstract: We study the optimal design of a menu of funds by a manager who is required to use linear pricing […]

Speaker: Dan Leonte, Postdoctoral Research Fellow, KAUST Abstract: Since the seminal work of Gatheral, Jaisson, and Rosenbaum (2014), it has become widely accepted that volatility in derivatives markets exhibits rough […]

Speaker: Jean-Pierre Fouque, University of California, Santa Barbara Abstract: We present our recent results on multi-scale reinforcement learning algorithms for mean field game and mean field control problems with applications […]

Speaker: Dylan Possamaï, ETH Zürich Abstract: In this talk, we provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem […]