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)
Andrea Romeo
Communication: Pricing multivariate barrier reverse convertible with factor-based subordinators
Edit Rroji
Communication: Multivariate Mixed Tempered Stable Distribution
Birgit Rudloff
Vienna University of Economics and BusinessCommunication: Dual representations for systemic risk measures
Wolfgang Runggaldier
Communication: Derivative pricing for a multi-curve extension of the Gaussian exponentially quadratic short rate
Chiara Sabelli
Scuola Normale SuperioreMatthias Saerens
Communication: Commonality in High-Frequency Trading
Carlo Sala
Communication: Sentiment Lost: the Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set
Alberto Santangelo
Communication: PORTFOLIO SELECTION: Risk budgeting and diversifi cation based on optimized uncorrelated factors
Sergio Scarlatti
Università degli Studi di Roma “Tor Vergata”Maren Schmeck
Communication: Pricing options on forwards in energy markets: the role of mean reversion’s speed