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)
Marco Nicolosi
Communication: PORTFOLIO SELECTION: Optimal Asset Allocation In Money Management Under Mean-Reverting Returns
Leoni Eleni Oikonomikou
28 January 2016 - 28 January 2016
Poster: POSTER SESSION: Modeling Financial Market Volatility in Transition Markets: A multivariate case
Immacolata Oliva
Poster: POSTER SESSION: Arbitrage-Free Pricing of American Contingent Claims in Uncertain Volatility Market Models
Claudio Pacati
Communication: Smiling twice: The Heston++ model
Andrea Pallavicini
Communication: A backward Monte Carlo approach to exotic option pricing
Communication: INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
Loriana Pelizzon
Università Ca' Foscari VeneziaPaolo Pellicioli
Communication: RISK I: A note on CVA and Wrong Way Risk
Loriana Pellizzon
Seminar: POSTER SESSION: Liquidity Dynamics and Illiquidity Cascades in the European Sovereign Bond Market
Ilaria Peri
Communication: Backtesting Lambda Value at Risk
Huyên Xuan Pham
University Paris 7 Diderot and Institut Universitaire de FranceCommunication: OPTIMIZATION: Explicit investment rules with time-to-build and uncertainty