11th Oxford-Princeton Workshop

November 16-17, 2018, Princeton University


The meeting was generously supported by the European Research Council under the European Union's Seventh Framework Programme (FP7/2007-2013) / ERC grant agreement no. 335421 “RobustFinMath”. The grant, headed by Prof Jan Obloj, focuses on Robust Pricing, Hedging and Risk Assessment in face of model uncertainty.


  • David Proemel, Oxford
  • Ronnie Sircar, Princeton


  • Alvaro Cartea
  • Rama Cont
  • Michael Coulon
  • Ben Hambly
  • Mathieu Lauriere
  • Terry Lyons
  • Michael Monoyios
  • Sergey Nadtochiy
  • David Proemel
  • Miklos Racz
  • Christoph Reisinger
  • Ludovic Tangpi
  • Mengdi Wang

Student Speakers

  • Levon Avanesyan
  • Mark Cerenzia
  • Jasdeep Kalsi
  • Vadim Kaushansky
  • Zongxi Li
  • Andreas Sojmark
  • Johannes Wiesel
  • Pierre Yves Gaudreau Lamarre
  • Jiacheng Zhang


  • Oxford University
  • Operations Research & Financial Engineering
  • The Bendheim Center for Finance
  • European Research Council
  • Princeton University


Friday, November 16, 2018
Time Speaker or Event Topic or Detail
8:30am to 9:00am Registration and Breakfast  
9:00am to 9:35am Terry Lyons, Oxford A new Lévy construction for Brownian motion and an application to the CIR model
9:40am to 10:15am Sergey Nadtochiy, IIT Mean Field Systems on Networks with Singular Interaction Through Hitting Times
10:20am to 10:40am Pierre Yves Gaudreau Lamarre, Princeton Semigroups for a Class of Continuum Schrödinger Operators Perturbed by a Gaussian White Noise
10:40am to 11:00am Johannes Wiesel, Oxford Statistical estimation of superhedging prices
11:00am to 11:30am Coffee Break  
11:30am to 12:05pm Ludovic Tangpi, Princeton On non-exponential Sanov and Schilder theorems on Wiener space
12:10pm to 12:45pm Ben Hambly, Oxford SPDEs and systemic risk
12:45pm to 2:00pm Lunch  
2:00pm to 2:35pm Mathieu Lauriere, Princeton Optimal control of conditioned processes
2:40pm to 3:00pm Andreas Sojmark, Oxford Mean-field models for systemic risk with common noise and default contagion
3:00pm to 3:20pm Levon Avanesyan, Princeton Forward Performance Processes in EVE Correlation Models
3:20pm to 4:00pm Coffee Break  
4:00pm to 4:35pm Mengdi Wang, Princeton Statistical State Compression and Primal-Dual Pi Learning for Markov Decision Problems
4:40pm to 5:15pm Christoph Reisinger, Oxford A numerical scheme for quantile hedging and related stochastic control problems with nonlinear expectations
5:15pm to 7:00pm Reception  


Saturday, Novebmer 17, 2018
Time Speaker or Event Topic or Detail
8:30am to 9:00am Registration and Breakfast  
9:00am to 9:35am Michael Coulon, Sussex Spread option pricing: implied volatility implied from implied correlation
9:40am to 10:15am Alvaro Cartea, Oxford The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
10:20am to 10:40am Mark Cerenzia, Princeton The Dyson Game
10:40am to 11:00am Vadim Kaushansky, Oxford Numerical analysis of a McKean--Vlasov equation with feedback through hitting the boundary
11:00am to 11:30am Coffee Break  
11:30am to 12:05pm Miklos Racz, Princeton High-dimensional random geometric graphs
12:10pm to 12:45pm Rama Cont, Oxford A smooth path to rough integration: Pathwise calculus for functions with arbitrary Holder regularity
12:45pm to 2:00pm Lunch  
2:00pm to 2:35pm David Proemel, Oxford Pathwise pricing-hedging duality in continuous time
2:40pm to 3:00pm Jasdeep Kalsi, Oxford SPDEs and Limit Order Books
3:00pm to 3:20pm Zongxi Li, Princeton Portfolio Feedback
3:20pm to 3:40pm Jiacheng Zhang, Princeton Dynamics of observables in rank-based models and performance of functionally generated portfolios