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]

Wouter Heynderickx

Communication: RISK I: The Relationship between Risk-Neutral and Actual Default Probabilities: the Credit Risk Premium

Asmerilda Hitaj

Communication: Multivariate Mixed Tempered Stable Distribution
Poster: POSTER SESSION: Jump diffusions and portfolio optimization with state dependent risk aversion .

Martin Holmen

Communication: Convex Incentives in Financial Markets: an AgentBased

Friederich Hubalek

Technische Universität Wien

Gaetano La Bua

Communication: A Hybrid SLV model with Multifactor Stochastic Volatility
Communication: Flow of funds, High Water Mark and asset allocation
Communication: RISK I: A note on CVA and Wrong Way Risk

Fabrizio Lillo

Scuola Normale Superiore, Pisa
Poster: POSTER SESSION: Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network
Seminar: POSTER SESSION: Liquidity Dynamics and Illiquidity Cascades in the European Sovereign Bond Market
Poster: POSTER SESSION: When panic makes you blind: a chaotic route to systemic risk
Communication: The Mixture Transition Distribution model for market impact and price dynamics .
Communication: The role of volume in order book dynamics: a multivariate Hawkes process analysis

Giulia Livieri

Scuola Normale Superiore
Communication: A backward Monte Carlo approach to exotic option pricing

Elisa Luciano

Università degli Studi di Torino
Communication: RISK I: Information effects in longevity-linked vs purely financial portfolios

Thomas Lux

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

Filippo Macaluso

Communication: How to sample from a distribution when only the moments are known with an application to affine

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