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