XVII WORKSHOP ON QUANTITATIVE FINANCE
SESSIONS: Mathematical Finance. Risk. Portfolio Selection. Interest Rates and Foreign Exchange. Optimization. Liquidity, Volatility and Trading. Finance. Volatility. Pricing. Energy.
28 January 2016 - 29 January 2016Current List of Participants (See Documents)
René Aid
Communication: OPTIMIZATION: Explicit investment rules with time-to-build and uncertainty
Flavio Angelini
Communication: PORTFOLIO SELECTION: Optimal Asset Allocation In Money Management Under Mean-Reverting Returns
Cagin Ararat
Communication: Dual representations for systemic risk measures
Emmanuel Bacry
Communication: The role of volume in order book dynamics: a multivariate Hawkes process analysis
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
Giovanni Barone-Adesi
Communication: Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set
Emilio Barucci
Communication: Flow of funds, High Water Mark and asset allocation
Michael Heinrich Baumann
Communication: Positive Expected Feedback Trading Gain for all Essentially Linearly Representable Prices .
Roberto Baviera
Communication: Going hybrid: a joint model for temperature and natural gas
Communication: RISK I: A note on CVA and Wrong Way Risk
Communication: The relevance of geometry in optimal basket option bounds