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]

Mustafa Pinar

Bilkent University, Ankara

Davide Pirino

LEM, Scuola Superiore Sant'Anna
Poster: POSTER SESSION: Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network

Gabriele Pompa

IMT Lucca
Communication: Smiling twice: The Heston++ model

Cecilia Prosdocimi

Communication: A pricing formula for delayed claims: Appreciating the past to value the future

Yves Rakontondratsimba

Communication: INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model
Poster: POSTER SESSION: Control of price acceptability under the univariate Vasicek model.

Marcello Rambaldi

Scuola Normale Superiore, Pisa
Communication: The role of volume in order book dynamics: a multivariate Hawkes process analysis

Fabio Ramponi

Communication: The efficiency of Anderson-Darling test with limited sample size size: an application to

Maria Cristina Recchioni

Communication: From bond yield to macroeconomic instability: a parsimonious affine model

Daniele Regoli

scuola normale superiore

Roberto Renò

Communication: Smiling twice: The Heston++ model
Communication: The Drift Burst Hypothesis

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