Monday, Mar. 30
Tuesday, Mar. 31
Wednesday, Apr. 01
Contributed Talks - Session 1.A
| 11:00- 11:25 | Basket option pricing and implied correlation in a Lévy copula model Daniël Linders |
| 11:30- 11:55 | Options embedded in life insurance policies: Risk management and optimal asset allocation Peter Hieber |
| 12:00- 12:25 | A two-Factor cointegrated commodity price model with an application to spread option pricing Walter Farkas |
| 12:30- 12:55 | The worst-case dependence structure maximizing the bilateral CVA Thorsten Schulz |
Contributed Talks - Session 1.B
| 11:00- 11:25 | On the Heston model with stochastic correlation Long Teng |
| 11:30- 11:55 | A general closed form option pricing formula Ciprian Necula |
| 12:00- 12:25 | Inside the emerging markets risky spreads and credit default swap - Sovereign bonds basis Vilimir Yordanov |
| 12:30- 12:55 | Approximated pricing of swaptions in general interest rate models Anna Maria Gambaro |
Contributed Talks - Session 2.A
| 14:00- 14:25 | Model-free discretisation-invariant swaps and S&P 500 higher-moment risk premia Johannes Rauch |
| 14:30- 14:55 | Lambda value at risk: a new backtestable alternative to VaR Ilaria Peri |
| 15:00- 15:25 | Interbank convexity adjustments Raquel Gaspar |
| 15:30- 15:55 | Minimizing the index tracking error of actively managed fixed income ETFs Stephan Unger |
Contributed Talks - Session 2.B
| 14:00- 14:25 | A Note on CVA and Wrong Way Risk Gaetano La Bua |
| 14:30- 14:55 | A note on dual-curve construction: Mr. Crab’s bootstrap Alessandro Cassaro |
| 15:00- 15:25 | On the joint dynamics between the spot and the implied volatility surface Sofiene El Aoud |
| 15:30- 15:55 | A few remarks on the pricing of contingent convertibles Frank Oertel |
Contributed Talks - Session 3.A
| 16:15- 16:40 | Liquidity risk in fund management Sascha Desmettre |
| 16:45- 17:10 | De-Americanization Mirco Mahlstedt |
| 17:15- 17:40 | The minimal entropy martingale measure in a market of traded financial and actuarial risks Ben Stassen |
Contributed Talks - Session 3.B
| 16:15- 16:40 | Counterparty credit risk measurement: Dependence effects, mitigating clauses and gap risk Laura Balotta |
| 16:45- 17:10 | TBA Federico Dini |