Conference ADRiO
I was extremely happy to participate to this conference. It gathered many people from all over the world bringing knowledge and knowhow. The progam can be found under the following link https://lnkd.in/eY7rwNNi.
The tutorial on High Performance by Dr Horst Simon was very enlightning and exhaustive giving a good understading of the hostory of this important discipline that is shaping the world economy today and tomorrow.
We had also an excellent presentation of signatures by Bruno Dupire. With simple words and diagrams he succeded to convey a not so easy theory. Basically functional analyis with signatures gives the language for Taylor like expansion for path dependent functionals with applications for all aeras of finance, feature analysis, pricing deriavtives asset allocations etc.
Also we had a bright, energetic and holistic presentation around central bank digital currencies by Prof. Alexander Lipton.
Charles-Albert Lehalle did an excellent overview of mean field games showing both their succesful applications and the challenges that remain unsolved.Followed by Diogo Gomes showing a solid math result around price formation with a pratical calculation proposed.
We had also on the second day the remarkable tutorial of Dr Marcos Lopez de Prado for a scientific and sustainable investment process based on Causality discovery and Artifical Intelligence.
I also would like to note the very good presentation of the asset liability management by Dr Consigli Giorgo which combines a pratical algorithm based on a solid mathematical framework which could bring a solution for many institutions.
Many other presentations were very informative and extremely interesting by Alexandre Antonov Andrey Itkin Dmitry Muravey covering pricing derivatives and asset allocation with practical applications in sight.
One special mention of the barrier pricing using local time by Yerkin Kitapbayev which could be very useful for practitioners (it can be extended to local volatility and thanks to exotic singular perturbation to LSV).
I did not cite all of the presenters but it was definitely plenty of knowledge circulating.
For my part I presented two presentations throught very fast algorithms to price under local volatility models and local stochastic volatility models.
"BRAVO" to the organising committee, Giorgio Consigli, Jorge P. Zubelli, Yerkin Kitapbayev, Adriana Gabor, Mohammad Al-Khaleel, Berihu Teklu Gebrehiwot, and of course, Rita Laura D'Ecclesia,
It is an honor to be part of this exceptional event.
Besides we had excellent time discovering Abu Dhabi and some of the magical places such as Abrahamic Family and a beautiful spectacle of drones at the Louvre Louvre Abu Dhabi and many other things.
