Conferences - Seminars

22MAY
24MAY
2017
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  Monday 22 May - Wednesday 24 May 2017 08:00 - 17:00 BI A0 448

School and Workshop on Dynamical Models in Finance

By Topic 1:
Polynomial Models in Finance
by Damir Filipovic (EPFL) and Martin Larsson (ETHZ)
Topic 2:
Affine Processes in Asset Pricing Models
by Jean-Paul Renne (UNIL)

The development of adequate modeling tools for the dynamical evolution of market prices and interest rates is of strategic importance for the financial industry and is at the core of the interests of much academic research. These models are, for example, the first building blocks in the construction of pricing and hedging tools and of portfolio optimization strategies, as well as in scenario generation for risk management.

These observations are particularly well-grounded in the fixed income framework where volumes are extremely important and the investment horizons are long. This school and workshop will focus on several families of models that are tailored to this specific context as well as on recent developments in this field. In particular, several approaches aimed at pricing fixed-income instruments in a context of very low interest rates will be presented.

Organization Luc Bauwens (Université catholique de Louvain; SKEMA Business School)
Damir Filipovic (EPFL)
Juan-Pablo Ortega (Universität St. Gallen; Centre National de la Recherche Scientifique - CNRS)

Contact Valérie Krier

Accessibility General public

Admittance Free