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16th March 2021
09:50 to 10:00 Zoom Room Opens
10:00 to 10:05 Welcome and Introduction Jane Leeks (Newton Gateway to Mathematics)
Session 1: Examples of Rough Paths in Action (Chair: Jane Leeks)
10:05 to 10:35 Rough Paths – Streamed Data Terry Lyons (University of Oxford), (The Alan Turing Institute)
10:35 to 11:00 Early Warning System for Sepsis Detection Using Signature-Based Machine Learning Models Hao Ni (University College London), (The Alan Turing Institute)
Session 2: Understanding Clouds of Paths and Their Applications (Chair: Thomas Cass)
11:00 to 11:25 Inference from Evolving Populations: Agriculture Maud Lemercier (University of Warwick), (The Alan Turing Institute)
11:25 to 11:45 Tea & Coffee Break
11:45 to 12:10 Inference from trees: Cybersecurity Thomas . (GCHQ)
12:10 to 12:35 Decision Making with Lung Cancer Trees of Genetic Mutations Cris Salvi (University of Oxford)
Ariana Huebner (TRACERx)
12:35 to 13:35 Lunch
Session 3: Log Signatures and Controlled Differential Equations (Chair: Harald Oberhauser)
13:35 to 14:00 Neural Controlled Differential Equations Patrick Kidger (University of Oxford)
14:00 to 14:25 Log Signatures and Neural Controlled Differential Equations James Morrill (University of Oxford)
14:25 to 14:50 Path Signature Example Notebooks Peter Foster (The Alan Turing Institute)
14:50 to 15:10 Tea & Coffee Break
Session 4: Applications & Challenges – End-Users Perspectives (Chair: Terry Lyons)
15:10 to 15:35 A Data-Driven Market Simulator for Small Data Environments Blanka Horvath (King's College London), (JP Morgan)
Magnus Wiese (JP Morgan)
Blanka Horvath (King's College London), (JP Morgan)
Magnus Wiese (JP Morgan)
15:35 to 16:00 Deep hedging: Learning Risk-Neutral Implied Volatility Dynamics Hans Buehler (JP Morgan)
16:00 to 16:30 Break-Out Rooms - Questions and Discussion