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)
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 WienGaetano 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, PisaPoster: 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 SuperioreCommunication: A backward Monte Carlo approach to exotic option pricing
Elisa Luciano
Università degli Studi di TorinoCommunication: 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