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XVII Workshop on Quantitative Finance -- Session on PRICING II (Sala Stemmi)
Parallel Sessions
29 January 2016 - 29 January 2016
Aims and Research Directions
List of Participants
Invited Speakers
Timetable
Documents
Timetable
Weeks:
[
Fri 29 Jan - Fri 29 Jan
]
Date
Time
Speaker
Room
Fri 29 Jan
16:00- 17:30
Marena, Marina - Romeo, Andrea - Semeraro, Patrizia
"Pricing multivariate barrier reverse convertible with factor-based subordinators"
Sala Stemmi
16:00- 17:30
Biffis, Enrico - Goldys, Beniamin - Prosdocimi, Cecilia
"A pricing formula for delayed claims: Appreciating the past to value the future"
Sala Stemmi
16:00- 17:30
Grbac, Zorana - Meneghello, Laura - Runggaldier, Wolfgang
"Derivative pricing for a multi-curve extension of the Gaussian exponentially quadratic short rate"
Sala Stemmi
