Organizers:
Elisa Alòs (Universitat Pompeu Fabra, Catalunya)
Stefan Gerhold (TU Wien, Austria)
Abstract:
Mathematical Finance is a very active research area. Due to the
complexity of real market data, this area requires a great mathematical
effort, both from the analytical and from the computational point of
view. From one hand, financial modeling needs to develop complex
analytical methodologies related to stochastic models and stochastic
calculus. From the other side, high-level computational research is
needed in order to efficiently apply these analytical methodologies to
real market problems. The aim of this special session is to bring
together leading experts, including some from the younger generation, to
discuss recent developments.
Size: 3 time-slots.
List of speakers:
- Elisa Alòs (Universitat Pompeu Fabra, Catalunya)
On the link between the implied volatility skew and the Malliavin derivative operator - Christian Bayer (WIAS Berlin, Germany)
Pricing under rough volatility - Jose Manuel Corcuera (Universitat de Barcelona, Catalunya)
CoCos under-short term uncertainty - Stefano De Marco (École Polytechnique, France)
Asymptotics and calibration for American options - Giulia Di Nunno (University of Oslo, Norway)
Sensitivity analysis in a market with memory - Stefan Gerhold (TU Wien, Austria)
Option Pricing in the Moderate Deviations Regim - Emmanuel Gobet (École Polytechnique, France)
Data-driven regression Monte Carlo - Zorana Grbac (Paris 7, France)
Lévy forward price approach for multiple yield curves and low/negative interest rates - Antoine Jacquier (Imperial College, England)
The randomised Heston model - Michael Kupper (University of Konstanz, Germany)
Duality formulas for robust pricing and hedging in discrete time - Eulàlia Nualart (Barcelona GSE, Catalunya)
A truncated two–scales realized volatility estimator - Luis Ortiz Gracia (Universitat de Barcelona, Catalunya)
A dimension reduction method for option pricing - Thorsten Rheinländer (TU Wien, Austria)
Brownian Trading Excursions - Robert Stelzer (Ulm University, Germany)
Geometric Ergodicity of the Multivariate Continuous-time GARCH(1,1) Process - Josep Vives (Universitat de Barcelona, Catalunya)
Calibration of stochastic volatility models via second order approximation