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]

Tommaso Colozza

Communication: Synthetic and cash sovereign credit market: heading towards a unified European framework

Stefano Colucci

Communication: A Quick Tool to forecast VaR using Implied and Realized Volatilities

Andrea Consiglio

Università degli Studi di Palermo

Jacopo Corbetta

Communication: Backtesting Lambda Value at Risk

Andrea Cosso

Communication: OPTIMIZATION: Optimal investment with intermediate consumption under no unbounded profits with bounded risk

Alessandra Cretarola

Communication: MATHEMATICAL FINANCE I: The FöllmerSchweizer decomposition under incomplete information

Ambrogio Dalò

Communication: PORTFOLIO SELECTION: Fishing the Corporate Social Responsibility Risk Factors

Stephane Dang-Nguyen

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.

Tiziano De Angelis

Communication: A solvable two-dimensional degenerate singular stochastic control problem with non convex costs

Romain Deguest

Communication: PORTFOLIO SELECTION: Risk budgeting and diversifi cation based on optimized uncorrelated factors

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