in Mathematical Finance
2nd International Summer School
Part 1
August 23-27
Location: Moscow School of Economics of the Lomonosov Moscow State University
Format: In-person and online lectures by guest lecturers, workshops
Format: In-person and online lectures by guest lecturers, workshops
Part 2
August 30-September 3
Location: Krasnovidovo retreat center of the Lomonosov Moscow State University
Format: immersive participation (in online format) in the annual European Summer School in Financial Mathematics held at Edinburgh, post-lecture discussions, work in student groups, and much more (including extracurricular activities).
Format: immersive participation (in online format) in the annual European Summer School in Financial Mathematics held at Edinburgh, post-lecture discussions, work in student groups, and much more (including extracurricular activities).
Timeline
8:30 - 9:00
Registration
Opening
Monday 23
09:00-10:00
10:15-11:15
Dmitry Kramkov (Topic: Arbitrage-free pricing, optimal investment and equilibrium)
Coffee break
11:15-11:30
11:30-13:00
Dmitry Kramkov (Topic: Arbitrage-free pricing, optimal investment and equilibrium)
Lunch
13:00-14:00
14:00-15:30
ONLINE
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Coffee break
15:30-15:45
ONLINE
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
15:45-17:15
17:15-17:30
Break
Vega Institute presentation
17:30-18:00
Tuesday 24
9:30-11:00
Dmitry Kramkov (Topic: Arbitrage-free pricing, optimal investment and equilibrium)
Coffee break
11:00-11:30
11:30-13:00
ONLINE
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Lunch
13:00-14:00
14:00-15:30
ONLINE
Mathieu Rosenbaum (Topic: Rough volatility, theory and practice)
Mathieu Rosenbaum (Topic: Rough volatility, theory and practice)
Coffee break
15:30-15:45
ONLINE
Christa Cuchiero (Topic: From neural SDEs and signature based models to affine and polynomial processes and back)
Christa Cuchiero (Topic: From neural SDEs and signature based models to affine and polynomial processes and back)
15:45-16:45
16:45-17:00
Break
Oleg Kudryavtsev
17:00-18:00
Wednesday 25
Thursday 26
Friday 27
9:30-11:00
ONLINE
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Coffee break
11:00-11:30
11:30-13:00
ONLINE
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Lunch
13:00-14:00
14:00-15:30
ONLINE
Mathieu Rosenbaum (Topic: ''Rough volatility, theory and practice)
Mathieu Rosenbaum (Topic: ''Rough volatility, theory and practice)
Coffee break
15:30-15:45
ONLINE
Christa Cuchiero (Topic: From neural SDEs and signature based models to affine and polynomial processes and back)
Christa Cuchiero (Topic: From neural SDEs and signature based models to affine and polynomial processes and back)
15:45-16:45
16:45-17:00
Break
Oleg Kudryavtsev
17:00-18:00
9:30-11:00
Vassili Kolokoltsov (Topic: Games of many players: modelling of socio-economic processes)
Coffee break
11:00-11:30
11:30-13:00
ONLINE
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Lunch
13:00-14:00
14:00-15:30
ONLINE
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Coffee break
15:30-15:45
15:45-17:15
Oleg Kudryavtsev
9:30-11:00
Vassili Kolokoltsov (Topic: Games of many players: modelling of socio-economic processes)
Coffee break
11:00-11:30
11:30-13:00
ONLINE
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Andreas Hamel (Topic: Set-valued methods in finance and economics: what to do when the preference/order relation is no longer complete)
Lunch
13:00-14:00
14:00-15:30
ONLINE
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Çağın Ararat (Topic: Set-valued analysis with applications in Economics and Finance)
Coffee break
15:30-15:45
15:45-17:15
Oleg Kudryavtsev
Part 1 August 23-27
SUNDAY 29
Departure from Moscow
15:00-16:00
Check-in
16:00-18:00
18:00-18:30
Free time
"What? Where? When?" with Alyona Povysheva
20:00-21:00
MONDAY 30
10:00-10:30
Welcome Notes
Ilya Chevyrev (Topic: A Primer on the Signature Method in Machine Learning)
10:30-12:00
12:00-12:30
Coffee break
Student Talks
12:30-14:00
14:00-15:30
Lunch
Ilya Chevyrev (Topic: A Primer on the Signature Method in Machine Learning)
15:30-16:30
Coffee break
16:30-17:00
17:00-18:30
Blanka Horvath (Topic:Harnessing quantitative finance by deep learning)
Student Talks
18:30-19:00
TUESDAY 31
WEDNESDAY 1
THURSDAY 2
10:30-12:00
Ilya Chevyrev (Topic: A Primer on the Signature Method in Machine Learning)
Coffee break
12:00-12:30
12:30-14:00
Antoine Savine (Topic: Differential Machine Learning)
Lunch
14:00-15:30
15:30-16:30
Antoine Savine (Topic Differential Machine Learning)
Coffee break
16:30-17:00
Mikko Pakkanen (Topic: Harnessing quantitative finance by deep learning)
17:00-18:30
18:30-19:00
Student Talks
Dinner
19:00-20:00
10:30-11:30
Ilya Chevyrev ((Topic: A Primer on the Signature Method in Machine Learning)
James Foster (Topic: Neural Stochastic Differential Equations for Time Series Modelling)
11:30-12:00
12:00-12:30
Coffee break
Student Talks
12:30-14:00
14:00-15:30
Lunch
Alfred Galichon (Topic: Optimal Transport Methods for Economic Models)
15:30-17:00
17:00-17:30
Coffee break
10:30-12:00
Beatrice Acciaio (Optimal Transport Methods in Machine Learning: from the Sinkhorn algorithm to Generative Adversarial Networks)
Coffee break
12:00-12:30
12:30-14:00
Student Talks
Lunch
14:00-15:30
15:30-16:30
Beatrice Acciaio (Topic: Optimal Transport Methods in Machine Learning: from the Sinkhorn algorithm to Generative Adversarial Networks)
Coffee break
16:30-17:00
17:00-19:00
Alfred Galichon (Topic: Optimal Transport Methods for Economic Models)
Part 2 August 29-September 4
FRIDAY 3
saturday 4
10:30-12:00
Beatrice Acciaio (Topic: Optimal Transport Methods in Machine Learning: from the Sinkhorn algorithm to Generative Adversarial Networks)
Coffee break
12:00-12:30
12:30-13:30
Beatrice Acciaio (Topic: Optimal Transport Methods in Machine Learning: from the Sinkhorn algorithm to Generative Adversarial Networks)
Closing Notes
13:30-14:00
14:00-15:30
Lunch
Student Trip
15:30-19:00
19:00-20:30
Closing dinner at the bonfire
9:50-10:00
Opening
9:50-10:30
Free time
9:50-10:30
Free time
9:50-10:30
Free time
9:50-10:30
Free time
10:00-11:00
Departure for Moscow
9:00-10:00
Breakfast
9:00-10:00
Breakfast
9:00-10:00
Breakfast
9:00-10:00
Breakfast
9:00-10:00
Breakfast
9:00-10:00
Breakfast
Dinner
19:00-20:00
19:00-20:00
Dinner
Alfred Galichon (Topic: Optimal Transport Methods for Economic Models)
17:30-19:00
19:00-20:00
Dinner
Coffee break
10:00-10:15
Organizing Committee
A.D. Nekipelov
Director of the Moscow School of Economics, member of the Academy of Sciences
V.M. Polterovich
Deputy Director of the Moscow School of Economics, member of the Academy of Sciences
Yu.M. Kabanov
Professor, PhD in Physics and Mathematics, Moscow School of Economics, Faculty of Mechanics and Mathematics of the Moscow State University
A.N. Kurbatsky
Cand.Sc. (Physics and Mathematics), Moscow School of Economics
K.Yu. Klimov
Cand.Sc. (Physics and Mathematics), Vega Institute Foundation, member of the Board of Directors
A.Yu. Ellanskaya
PhD, Moscow School of Economics, Vega Institute Foundation, member of the Board of Directors
N.I. Novydarskov
Vega Institute Foundation, member of the Board of Directors
M.N. Prutovykh
Vega Institute Foundation, business manager
Our lecturers
Take part:
Please, send your CV to apply for the 1st week of school.
Please, send your CV and letter of motivation to participate in the screening for the 2nd week of school. We await your applications at
Please, send your CV and letter of motivation to participate in the screening for the 2nd week of school. We await your applications at
The subject of your letter should be "Application to the Summer School," and, please, don't forget to mention which part of the school you are applying to.
Important! One of the documents listed below is necessary to take part in the Summer School:
vaccination certificate
certificate of past coronavirus illness
certificate of antibodies
certificate of a negative PCR test taken no more than 72 hours prior to the event's first date
certificate of past coronavirus illness
certificate of antibodies
certificate of a negative PCR test taken no more than 72 hours prior to the event's first date
The document must be submitted to the organizers as a scan copy or a screenshot of the vaccinated person's online profile. The document must be submitted to info@vega-institute.org up to and including August 22. In case of participation only in the 2nd stage of the Summer School, the document must be submitted up to and including August 29. School attendees must wear a protective mask throughout the event.
Training workshops
Take place on Wednesdays, Fridays, and Sundays, at 7:30pm Moscow time. All information about the location and topics of the workshops is published in the School's Telegram channel
https://t.me/Vega_schools Join us.
https://t.me/Vega_schools Join us.
15, 17 AUGUST
19-30
Третий блок (Михаил Житлухин):
Лекция: когерентные меры риска и функции полезности
Третий блок (Михаил Житлухин):
Лекция: когерентные меры риска и функции полезности
19-30
Четвертый блок (Vardan Voskanyan):
Лекция: введение в оптимальный транспорт
Четвертый блок (Vardan Voskanyan):
Лекция: введение в оптимальный транспорт
18, 20 AUGUST
22 AUGUST
19-30
Пятый блок (Виктор Антипов):
Лекция: введение в машинное обучение с использованием Python.
Пятый блок (Виктор Антипов):
Лекция: введение в машинное обучение с использованием Python.
4,6,8,11 AUGUST
19-30
Первый блок (Евгений Колосов, Артур Сидоренко): Тема: Вводные лекции по финансовой математике
Первый блок (Евгений Колосов, Артур Сидоренко): Тема: Вводные лекции по финансовой математике
12-13 AUGUST
19-30
Второй блок (Yvain Bruned): Лекция: Renormalisation from non-geometric to geometric rough paths
Второй блок (Yvain Bruned): Лекция: Renormalisation from non-geometric to geometric rough paths
Training Workshops
Lectures
Photo
Week 1. Moscow School of Economics, MSU
Week 2. Krasnovidovo, MSU
Student activities
© Vega Institute Foundation, 2021