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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
Aims and Research Directions
List of Participants
Invited Speakers
Timetable
Documents
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