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SUMMARY:School and Workshop on Dynamical Models in Finance
DTSTART:20170522T080000
DTEND:20170524T170000
DTSTAMP:20260414T211920Z
UID:8f140d763453a6185041a4ed0a70693a554352941e3431507489bca6
CATEGORIES:Conferences - Seminars
DESCRIPTION:Topic 1:\nPolynomial Models in Finance\nby Damir Filipovic (EP
 FL) and Martin Larsson (ETHZ)Topic 2:\nAffine Processes in Asset Pricing M
 odels\nby Jean-Paul Renne (UNIL)\nThe development of adequate modeling too
 ls for the dynamical evolution of market prices and interest rates is of s
 trategic importance for the financial industry and is at the core of the i
 nterests of much academic research. These models are\, for example\, the f
 irst building blocks in the construction of pricing and hedging tools and 
 of portfolio optimization strategies\, as well as in scenario generation f
 or risk management.\nThese observations are particularly well-grounded in 
 the fixed income framework where volumes are extremely important and the i
 nvestment horizons are long. This school and workshop will focus on severa
 l 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 interes
 t rates will be presented.
LOCATION:BI A0 448 https://plan.epfl.ch/?room==BI%20A0%20448
STATUS:CONFIRMED
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