Welcome of PhD students from Paris and Oxford

PhD Days

October 19-20 2023, Paris, Maison Dorée, 20 Boulevard des Italiens, 75009 Paris

Salle Montmartre 6th floor.


Thursday October 19th

9h30h-10h15: Welcome Coffee

Salle Montmartre, 6th floor

10h15: Welcome: Jean-Jacques Rabeyrin, GlobPhDal co-head of gm quant research

10h30-11h: Guillaume Maitrier: Endogenous liquidity crisis in order books

11h15-11h45: Marcello Monga: Optimal Trading: traditional and decentralized Finance

12h-14h: Lunch break

14h-14h30: Vincent Ragel: Tackling the Problem of State Dependent Execution Probability

14h45-15h15: Ahsraf Ghiye: Graph Representation Learning and Applications to Financial Markets

15h30-16h00: Milena Vuletic: VolGAN: a generative model for arbitrage-free implied volatility surfaces

16h15-17h: Coffee Break

17h-17h30: Benjamin Joseph: Model calibration via optimal transport

17h45-18h15: Hamza Bodor: A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes 

(30min talks + 15min for break/questions)

19h30: Dinner. Meeting in the lobby 20 Boulevard de Italiens.


Friday October 20th

9h30-10h: Coffee

10h-11h30: Open discussions: Market making, market microstructure, generative modelling

11h30-12h: HR presentation. Sabrina Beaudenon, hr business partner

12h-12h30: Benjamin Joseph. Fast and robust local volatility calibration

12H-14h: Lunch

14h-14h30: Marion Olives, Head of solutions structuring. Structured products economics

14:30:16h: Open discussions: Generative modelling. Model Calibration 

16h-16h30: Wrap-up