CRM: Centro De Giorgi
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XVII Workshop on Quantitative Finance -- Session on INTEREST RATES AND FOREIGN EXCHANGE (Sala Azzurra)

Parallel Sessions

28 January 2016 - 28 January 2016

Current List of Participants (See Documents)

[table view]

Laura Ballotta


Communication: INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes

Janine Balter


Communication: INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach

Stephane Dang-Nguyen


Communication: INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model

Elena Dumitrescu


Communication: INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach

Gianluca Fusai


Communication: INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes

Anna Maria Gambaro


Communication: INTEREST RATES... : HJM multiple-curve model with time-changed Levy processes

Peter Hansen


Communication: INTEREST RATES... : Exchange Rate Volatility Forecasting: a Multivariate Realized-GARCH Approach

Nicola Moreni


Communication: INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae

Andrea Pallavicini


Communication: INTEREST RATES... : FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae

Yves Rakontondratsimba


Communication: INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model