Spring school 2021

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BLACK SEA SCHOOL ON NEW DEVELOPMENTS IN MATHEMATICAL FINANCE, April 19-24, 2021 Sochi,  Russia

Vega Institute Foundation served as co-organizer of the Spring School at Sirius University of Science and Technology held from April 19 to   24 at Sochi. Together with Sirius Mathematics Center, the Foundation organized the first spring school on new developments in   mathematical finance. One of the project’s aims was to engage students and young scientists in Russia in the field of financial   mathematics. The school was attended by 42 senior mathematics students  as well as postgraduate students in mathematics from Russia’s   leading universities
Scientific director: Prof. Yu. Kabanov, Lomonosov Moscow State University
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".

Related links:
   •Lecturers’ materials    
   •Lectures