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)
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 PalermoJacopo 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