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XVII Workshop on Quantitative Finance -- Session on INTEREST RATES AND FOREIGN EXCHANGE (Sala Azzurra)
Parallel Sessions
28 January 2016 - 28 January 2016
Aims and Research Directions
List of Participants
Invited Speakers
Timetable
Documents
Timetable
Weeks:
[
Thu 28 Jan - Thu 28 Jan
]
Date
Time
Speaker
Room
Thu 28 Jan
11:00- 13:00
Ballotta, Laura - Fusai, Gianluca - Gambaro, Anna Maria
"INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes"
Sala Azzurra
11:00- 13:00
Dang-Nguyen, Stephane - Rakontondratsimba, Yves
"INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model"
Sala Azzurra
11:00- 13:00
Moreni, Nicola - Pallavicini, Andrea
"INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae"
Sala Azzurra
11:00- 13:00
Balter, Janine - Dumitrescu, Elena - Hansen, Peter
"INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach"
Sala Azzurra
