5th Barcelona Summer
School of Stochastic Analysis
and Quantitative Finance

5th Barcelona Summer School of Stochastic Analysis and Quantitative Finance

Advanced course / School

From July 21, 2025
to July 25, 2025

150€ Registration includes coffee breaks, gala dinner and guided visit.

Registration deadline 06 / 07 / 2025

PRESENTATION

The goal of the summer school is to offer advanced courses on topics of interest to the research group, taught by professors of recognized prestige, and aimed at doctoral students, postdoctoral fellows and researchers. The activity is interesting for the research group because it allows us to keep in touch with the most current research, offer training to our PhD students and young researchers and project ourselves internationally. In addition, it also helps the international projection of research in Stochastic Analysis and Mathematics in Catalonia. On other hand, we want to recover and resume the series of summer schools that we organized at CRM between 2012 and 2018, and that was stopped because of the pandemic.

DESCRIPTION

These will be the courses:

Rough Volatility
Signatures in Stochastic Finance
Weather Derivatives

Organising & Scientific Committee

Lecturers

Masaaki Fukasawa

Osaka University

Fukasawa is a Professor of Mathematics at Osaka University and has focused his research on the concept of “skewness.” His initial work involved the Edgeworth expansion for ergodic diffusions, which improves the normal approximation to a probability distribution. Later, he applied these results to mathematical finance, linking the skewness of price distributions to the “volatility skew” in the Black-Scholes implied volatility surface. Additionally, he has explored how skewness and kurtosis affect the asymptotic distribution of volatility estimators and discretization errors in stochastic integration, developing Kurtosis-Skewness inequalities for random variables.

Rough Volatility

Personal Website

Christian Bayer

Technical University Berlin

Bayer is a Professor at the Weierstrass Institute for Applied Analysis and Stochastics in Berlin. His research primarily focuses on financial mathematics and stochastic numerics. One of his major projects involves modeling stock indices like the S&P 500 consistently with the implied volatility surface and the volatility index (VIX). He has also worked extensively on rough volatility models, which present significant theoretical and numerical challenges. Additionally, Bayer is interested in the numerical approximation of stochastic optimal control problems and the application of rough path theory to machine learning and stochastic control.

Signatures in Stochastic Finance

Personal Website

Fred E. Benth

Oslo University

Benth is a Professor at the University of Oslo’s Department of Mathematics, specializing in risk and stochastics. His research interests include stochastic analysis, mathematical finance, and energy markets. Benth has made significant contributions to the modeling of energy markets, particularly in the context of pricing and risk management. His work often involves the application of stochastic processes to real-world financial and energy market problems, providing valuable insights into market behaviors and risk assessment.

Weather Derivatives

Personal Website

POSTER SESSION INFORMATION

Participants have the option to contribute with a poster or an oral presentation. Posters have to measure 841cm x 1189cm (A0 vertical orientation).

To apply, please select the relevant option during the registration process.

Deadline: June 20, 2025
Resolutions will be sent by June 27, 2025

SCHEDULE

	Tuesday 17th June, 2025	Wednesday 18th June, 2025	Thursday 19th June, 2025	Friday 20th June, 2025
09:00 09:50	Registration and Welcome	Keynote Talk (KT1)	KT2	KT3
09:50 10:30	IT1	IT3	IT5	IT8
10:30 11:00	Coffee Break	Coffee Break	Coffee Break	Poster session 4 +Coffee Break
11:00 11:30	CT	CT	CT	Poster session 4
11:30 12:00	CT	CT	CT	CT
12:00 12:30	CT	CT	CT	CT
12:30 13:00	CT	CT	CT	CT
13:00 14:50	Lunch	Lunch	Lunch	Lunch
14:50 15:30	IT2	IT4	IT6	IT7
15:30 16:00	CT	CT	CT	CT
16:00 16:30	CT	CT	CT	CT
16:30 18:30	Poster session 1	Poster session 2	Poster session 3	(16:30-17:00) CT
18:30	Reception
20:30		Social dinner

LIST OF PARTICIPANTS

Name	Institution
Wim Schoutens	Katholieke Universiteit Leuven
Josep Vives	Universitat de Barcelona
Carlos Escudero	Universidad Nacional de Educación a Distancia

INVOICE/PAYMENT INFORMATION

IF YOUR INSTITUTION COVERS YOUR REGISTRATION FEE: Please note that, in case your institution is paying for the registration via bank transfer, you will have to indicate your institution details and choose “Transfer” as the payment method at the end of the process.

UPF | UB | UPC | UAB

*If the paying institution is the UPF / UB/ UPC / UAB, after registering, please send an email to comptabilitat@crm.cat with your name and the institution internal reference number that we will need to issue the electronic invoice. Please, send us the Project code covering the registration if needed.

Paying by credit card

IF YOU PAY VIA CREDIT CARD but you need to provide the invoice to your institution to be reimbursed, please note that we will also need you to send an email to comptabilitat@crm.cat providing the internal reference number given by your institution and the code of the Project covering the registration (if necessary).

LODGING INFORMATION

ON-CAMPUS AND BELLATERRA

BARCELONA AND OFF-CAMPUS

For inquiries about this event please contact the Scientific Events Coordinator Ms. Núria Hernández at nhernandez@crm.cat

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