The con­fer­ence is go­ing to take place at Eötvös Loránd Uni­ver­sity, Bu­dapest, Hun­gary Pázmány Péter Sétány 1/​A, Har­mony Hall.

Ten­ta­tive pro­gram:

8:30-9:00
Reg­is­tra­tion
9:00-9:15
Open­ing Cer­e­mony
9:15-10:15
Rama Cont (Uni­ver­sity of Ox­ford):
Uni­ver­sal fea­ture of in­tra­day price for­ma­tion: per­spec­tives from Deep Learn­ing
10:15-10:45
Cof­fee Break
10:45-11:30
Paolo Giu­dici (Uni­ver­sity of Pavia):
Net­work mod­els for ro­bot-ad­vi­sory as­set al­lo­ca­tion
11:30-11:50
György Ot­tuc­sák (Mor­gan Stan­ley):
Ma­chine Learn­ing in In­ter­est Rate Mar­kets
11:50-12:10
Lás­zló Uj­falusy- At­tila Fekete (Mor­gan Stan­ley):
Credit risk early warn­ing sys­tem based on sen­ti­ment analy­sis
12:10-12:30
Gá­bor Pet­ne­házi (Uni­ver­sity of De­bre­cen):
Ex­plor­ing the pre­dictabil­ity of range-based volatil­ity es­ti­ma­tors us­ing RNNs
12:30-13:45
Lunch Break
13:45-14:30
Josef Te­ich­mann (ETH Zürich):
Ma­chine Learn­ing in Math­e­mat­i­cal Fi­nance
14:30-15:00
Lás­zló Györfi (BMGE):
Ma­chine learn­ing ag­gre­ga­tion of port­fo­lio se­lec­tion strate­gies
15:00-15:30
Cof­fee Break
15:30-16:00
Horváth Blanka (King’s Col­lege and Im­pe­r­ial Col­lege Lon­don):
Learn­ing Rough Volatil­ity
16:00-16:20
Leonardo Ferro (Mor­gan Stan­ley):
De­riv­a­tives pric­ing us­ing Neural Net­works
16:20-16:40
Gá­bor Fáth (Mor­gan Stan­ley):
Pric­ing de­riv­a­tives with Ten­sor­flow

The work­shop is free for reg­is­tered par­tic­i­pants. You can reg­is­ter un­til Oc­to­ber 12, 2018. If you want to can­cel your reg­is­tra­tion con­tact the or­ga­niz­ers at riskconf@math.elte.hu.

Note that ab­stracts of pro­posed talks are ex­pected to ar­rive at the or­ga­niz­ers be­fore Sep­tem­ber 21, 2018.

With my reg­is­tra­tion I give con­sent to and per­mit im­age- and sound-record­ing to be taken of me on the event, and these record­ings to be used by the or­ga­nizer(s) in their in­ter­nal and ex­ter­nal com­mu­ni­ca­tions (e.g. with aims as re­port­ing and giv­ing in­for­ma­tion about the event, prop­a­gat­ing/​pub­li­ciz­ing the event, us­ing them as ref­er­ence).

These record­ings of me can be used for the above men­tioned goals by any me­dia provider free of charge, with­out any place or time lim­i­ta­tion, through any tech­nol­ogy suit­able for broad­cast­ing to the pub­lic, with­out any lim­i­ta­tions re­gard­ing the num­ber of times be­ing used, and through every known uti­liza­tion method stated in the Act LXXVI of 1999 on Copy­right.

Pro­gram com­mit­tee:

  • L. Márkus (chair),
  • N.M. Arató,
  • J. Gáll,
  • Gy. Michalet­zky,
  • G. Mol­nár-Sáska,
  • V. Prokaj,
  • M. Rá­sonyi

Lo­cal or­gan­is­ers:

  • A. Zem­pléni (chair),
  • Á. Back­hausz,
  • V. Csiszár

email: riskconf@math.elte.hu

The main spon­sors are and
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