Международная летняя школа по финансовой математике

Организационный
комитет

Председатель Оргкомитета
Академик В.А. Садовничий
Ректор Московского
государственного университета им. М.В. Ломоносова

Академик А.Д. Некипелов
Директор Московской школы экономики

В.Н. Чубариков, декан механико-математического
факультета МГУ

Академик А.Н. Ширяев
Математический институт им. В.А.Стеклова

Ю.М. Кабанов, механико-математический
факультет МГУ

А.Ю. Элланская, механико-математический
факультет МГУ

Лекторы

		Pierre CARDALIAGUET (Paris-Dauphine) Mean field games with a major player

		Bruno BOUCHARD (Paris-Dauphine) Hedging with price impact

		Zhenjie REN (Paris-Dauphine) An introduction to second-order backward stochastic differential equation (BSDE)

		Peter TANKOV (ENSAE) Electricity markets and electricity trading

		Josef TEICHMANN (ETH Zurich) Machine Learning in Finance

		Nizar TOUZI (Ecole polytechnique) Principal-Agent problem.

		Anna A. OBIZHAEVA (New Economic School, Moscow) Dimensional Analysis, Leverage Neutrality, and Market Microstructure Invariance

		Dean FANTAZZINI (Moscow Economic School) Presentation the book Quantitative finance with R and cryptocurrencies.

		Olga S. ROZANOVA (Moscow State University) Some analytically solvable problems of the mean field game theory and their applications to the study of market behavior

		Mikhail ZHITLUKHIN (Steklov Mathematical Institute) Optimal investment in markets with competition

		Oleg E. KUDRYAVTSEV (Russian Customs Academy Rostov branch, Rostov-on-Don) Numerical methods for computing risk measures in Lévy models

		Dmitry MURAVEI (Skolkovo) Trading multiple mean reversion