Simply closer
to the market
24th MathFinance
Conference
Thu. 19th & Fri. 20th September 2024
Burg Reichenstein – Trechtingshausen
Thank you for your interest in MathFinance’s Conference! This year’s event is all about bringing the quantitative finance community together. This is an unmissable chance to bridge the gap between investment banking and academic research in mathematical finance.
The conference is all about cutting-edge research and brand-new practical applications. This is the ideal opportunity for practitioners in the areas of trading, quantitative or derivative research, risk and asset management, insurance, as well as academics studying or researching in the field of financial mathematics.
We are excited to explore the theme of machine learning in derivatives pricing, crypto exotics markets, explainable machine learning, risk estimation, theta and P&L explain, climate finance, and much more. We are proud to announce that this year we will be welcoming some of the world’s leading experts in quantitative finance.
Agenda
Day 1 – Thursday – 19th September 2024
10:30 Registration (Morning Session Chair Thorsten Schmidt)
10:50 Opening Remarks day 1: Uwe Wystup, MathFinance
11:00 Climate Risk Revisited: Martin Simon, Frankfurt University of Applied Sciences
11:30 Deep Hedging with Model Embedding: Fabienne Schmid, Rivacon
12:00 Coffee Break
12:30 Bruno Dupire, Bloomberg
13:00 Lunch Break (Afternoon Session Chair Natalie Packham)
14:00 Smile Dynamics and Rough Volatility: Stefano De Marco, Ecole Polytechnique
14:30 TBA: TBA, TBA
15:00 TBA: Christian Bayer, Weierstrass
15:30 Coffee Break
16:00 A Market-Based Credit System As If Society Mattered: Christoph Becker, Hochschule Darmstadt
16:30 More Market Data in the Cloud: Rittik Wystup, BCC Group
17:00 OTC Derivatives Trades Visualized: Wojciech Mucha, Enterprai
17:30 Ending Remarks day 1: Uwe Wystup, MathFinance
17:45 Castle / Museum tour, Olga und Nikolaus Kirsch-Puricelli
19:00 Conference Dinner
Day 2 – Friday – 20th September 2024
08:30 Registration (Morning Session Chair Martin Simon)
09:00 Valuing Real Estate Portfolios with Machine Learning UsingGeospatial and Macroeconomic Data: Natalie Packham, Berlin School
of Economics and Law
09:30 TBA: Thorsten Schmidt, University of Freiburg
10:00 Crypto Talk: Emmanuel Gobet, Ecole Polytechnique
10:30 Modelling Climate Risk for Reinsurance: Erik Vynckier, Foresters Friendly Society
11:00 Coffee Break
11:30 TBA: TBA, TBA
12:15 Panel: Electronic Trading and Platform Innovation: Stefan Hamberger, Enrico Ferrante, Peter Hahn, Milind Kulkarni
13:00 Lunch Break (Afternoon Session Chair Carsten Wehn)
14:15 Exploiting the gap between implied and realized volatility: Eva Lütkebohmert-Holtz, University of Freiburg
14:45 Beyond Convexity: Jessica James, Commerzbank
15:45 Coffee Break
16:15 The Short Lira Put Option Investment Wealth or Trap of Price Spikes Causing Disastrous Losses: Uwe Wystup, MathFinance
16:45 Closing Remarks: Uwe Wystup, MathFinance
All times in CET (Central European Time)
Speakers
| Speaker | Company | Subject |
| italics=working title | ||
| Dr. Fabienne Schmid | RIVACON GmbH, Frankfurt | Deep Hedging with Model Embedding |
| Prof. Dr. Uwe Wystup | MathFinance AG | The Short Lira Put Option Investment Wealth or Trap of Price Spikes Causing Disastrous Losses |
| Prof. Dr. Martin Simon | Frankfurt University of Applied Sciences | Climate Risk Revisited |
| Prof. Dr. Thorsten Schmidt | University of Freiburg | TBA |
| Prof. Dr. Christoph Becker | Hochschule Darmstadt | A Market-Based Credit System As If Society Mattered |
| Bruno Dupire | Bloomberg | TBA |
| Stefano De Marco | École Polytechnique, Paris | Smile dynamics and rough volatility |
| Emmanuel Gobet | École Polytechnique, Paris | Crypto |
| Christian Bayer | Weierstrass Institute, Berlin | TBA |
| Eva Luetkebohmert | University of Freiburg | TBA |
| Mario Dell’ Era | TBA | |
| Jessica James | Commerzbank | Beyond Convexity |
| Natalie Packham | Berlin School of Economics and Law | TBA |
Affiliate Partner
Media Partner
Venue
The 24th MathFinance Conference on Thursday+Friday September, 19-20th will be held on Burg Reichenstein, a castle on the cultural world heritage middle Rhine valley, one hour from Frankfurt.
In the scenic environment participants can dive into quant topics without distraction, network with their peers, clients, and friends in a relaxed atmosphere in the middle of vineyards. The castle is owned and run by the Puricelli family and their descendants, hosting us in their ancient walls. An outdoor bowling alley can be used after dinner in the castle garden.
Many participants come earlier or decide to stay for the weekend.
Burg Reichenstein
Burg Reichenstein GmbH & Co. KG
Burgweg 24
55413 Trechtingshausen
Burg Reichenstein
Accommodation
Select your hotel and book your accommodation
Burg Reichenstein (self-payer)
Burgweg 24
55413 Trechtingshausen
T: +49 (0) 6721 6117
E: info@burg-reichenstein.com
W: www.burg-reichenstein.com
Places are limited, please book early.
The castle has a limited number of rooms. For additional accommodation we work with the nh-hotel in Bingen.
NH-Bingen (self-payer)
Am Rhein Nahe Eck/Museumstrasse 3, 55411, Bingen am Rhein – Deutschland
T: +49 6721 7960
E: nhbingen@nh-hotels.com
W: https://www.nh-hotels.com/de/hotel/nh-bingen
We offer you a Shuttle-Service from Bingen to the burg.
