Programme

This page will be kept updated.

All talks will take place in Instutute of Mathematics Polish Academy of Sciences, Room 6. 

Tentative program is given below.

• 29May
  08:45 - 09:00

  Opening Remarks

  09:00 - 10:00

  Caroline Hillairet, Hawkes processes, Malliavin calculus, and application to cyber-insurance derivatives

  10:30 - 11:00

  Ruihua Ruan, The self-exciting nature of the bid-ask spread dynamics

  11:30 - 12:00

  Anand Vidyashankar, Divergence based inference for Hawkes processes

  12:00 - 14:00

  Lunch

  14:00 - 15:00

   Giovanni Luca Torrisi, Asymptotic analysis of Poisson shot noise processes with application to generalized Hawkes processes

  15:30 - 16:00

  Heidar Eyjolfsson, Multivariate self-exciting jump processes with applications to financial data

  16:00 -

  Open time for research discussions

• 30May
  09:00 - 10:00

  Eva Löcherbach, Conditional propagation of chaos for generalized Hawkes processes having alpha-stable jump heights

  10:30 - 11:00

  Rouyi Zhang, Stochastic Rough Volatility with Jump Dynamics

  11:30 - 12:00

  Trinnhallen Brisley, Estimation of Multivariate Discrete Hawkes Processes: Application to Incident Monitoring 

  12:00 - 14:00

  Lunch

  14:00 - 15:00

  Donatien Hainaut, The rough Hawkes process

  15:10 - 15:40

  Grégoire Szymanski, General scaling limits for nearly unstable Hawkes processes

  15:50 - 16:20

  Yousra Cherkaoui, Hawkes processes with external excitation applied to cyber risk

  16:20 -

  Open time for research discussions

• 31May
  09:00 - 10:00

  Matthias Kirchner,  Hawkes Graphs - The analysis of large multitype event streams

  10:30 - 11:30

  Mariusz Niewęgłowski, Graphical approach and markovianization of generalized multivariate Hawkes processes 

  12:00 - 14:00

  Lunch

  14:00 -

  Open time for research discussions and/or Warsaw sightseeing

• 01Jun
  09:00 - 10:00

  Anatoliy Swishchuk, Stochastic Models Based On Hawkes Processes and their Applications in Finance and Insurance

  10:30 - 11:30

  Angelos Dassios, Point processes and integer valued time series 

  12:00 - 14:00

  Lunch

  14:00 - 15:00

  Samuel Cohen The ASLSD method for linear Hawkes calibration

  15:30 - 16:00

  Saad Labyad, Least Squares Estimation of Hawkes processes and application to high-frequency finance

  16:00 -

  Open time for research discussions

• 02Jun
  09:00 - 10:00

  Wei Xu, Functional Limit Theorems for Hawkes Processes

  10:30 - 11:30

  Emmanuel Bacry Modelling assets volatilities and correlations

  12:00 - 14:00

  Lunch

  14:00 - 14:30

  Matthias Kirchner, Critical cluster cascades

  14:40 - 15:10

  Robert Denkert, Large Deviations for Marked Hawkes Point Processes

  15:10 - 15:25

  Closing Remarks