Main topics: Stochastic calculus for continuous semimartingales, backward stochastic equations, optimal stochastic control, machine learning in finance, deep learning, insider trading, market impact, contract theory.
Lecturers:
Josef Teichmann (ETH Zurich): "Provable machine learning techniques in finance".
Martin Larsson (Carnegie-Mellon University): "An introduction to stochastic convolution equations and their affine structure".
Albina Danilova (London School of Economics): "Insider trading".
Mikhail Urusov (Duisburg-Essen University): "Models of price impact and optimal trade execution".
Dylan Possamai (ETH Zurich): "Contract theory: incentive policy and applications to financial regulation".
Miryana Grigorova (University of Leeds): "Non-linear optimal stopping and backward stochastic differential equations in finance".
Lyudmila Grigorieva (Universität Konstanz): "Learning of dynamic processes with reservoir computing and applications to financial time series forecasting".
Evgeny Burnaev (Skoltech): "Optimal transport for generative modelling and numerical solution of Fokker-Planck equation".
Serguei Shorokhov (RUDN): "Alternative stochastic models".
Yuri Kabanov (Lomonosov Moscow State University): "Ruin problems with investments".
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