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)
Laura Meneghello
Communication: Derivative pricing for a multi-curve extension of the Gaussian exponentially quadratic short rate
Lorenzo Mercuri
Communication: Multivariate Mixed Tempered Stable Distribution
Attilio Meucci
Communication: PORTFOLIO SELECTION: Risk budgeting and diversifi cation based on optimized uncorrelated factors
Antonietta Mira
Communication: How to sample from a distribution when only the moments are known with an application to affine
Nicola Moreni
Communication: INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
John Moriarty
Communication: A solvable two-dimensional degenerate singular stochastic control problem with non convex costs
Oleksii Mostovyl
Communication: OPTIMIZATION: Optimal investment with intermediate consumption under no unbounded profits with bounded risk
Silvia Muzzioli
Communication: Towards a skewness index for the Italian stock market
Aldo Nassigh
Unicredit GroupEmanuele Nastasi
Communication: The relevance of geometry in optimal basket option bounds