XVII Workshop on Quantitative Finance -- Session on INTEREST RATES AND FOREIGN EXCHANGE (Sala Azzurra)
Parallel Sessions
28 January 2016 - 28 January 2016Current List of Participants (See Documents)
Laura Ballotta
Communication: INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes
Janine Balter
Communication: INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach
Stephane Dang-Nguyen
Communication: INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model
Elena Dumitrescu
Communication: INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach
Gianluca Fusai
Communication: INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes
Anna Maria Gambaro
Communication: INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes
Peter Hansen
Communication: INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach
Nicola Moreni
Communication: INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
Andrea Pallavicini
Communication: INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
Yves Rakontondratsimba
Communication: INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model