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 2016

Current List of Participants (See Documents)

[table view]

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 Venezia

Paolo 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 France
Communication: OPTIMIZATION: Explicit investment rules with time-to-build and uncertainty

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