RiO 2017 – Minicourses, Papers & Presentations

Minicourses

Marco Avellaneda (NYU, USA)
Volatility futures and ETNs in the US and European markets

Sebastian Jaimungal (Univ. of Toronto, Canada)
Machine Learning and Stochastic Control for Algorithmic Trading

 

Plenary Talks

Stephane Crépey (Université Evry Val d´Essonne) 
XVA Principles, Nested Monte Carlo Strategies, and GPU Optimizations

Raphael Douady (SUNY Stony Brook)
Dominant Factor Analysis

Matheus Grasselli (McMaster University, Canada)  
On the Normality of Negative Interest Rates

Emmanuel Gobet (École Polythechnique, France) 
Modeling the management of microgrid equipped with PV panels and battery; resolution using McKean Forward-Backward Stochastic Differential Equations

Teemu Pennanen (King´s College London, UK) 
Economic valuation of defined benefit pension liabilities

 

Contributed Talks

Fernando A L Aiube (UERJ)
Hedging stocks through commodity indexes: A DCC-GARCH approach

David Evangelista da Silveira Junior (KAUST)
Optimal inventory management and orderbook modelling

Dietmar Leisen (UNI-MAINZ)
Heterogeneity in Risk Preferences leads to Stochastic Volatility

 

Posters

Rosember Guerra (EAFIT)
Focused Estimation in Portfolio Selection Problems

Isaque Santa Brigida Pimentel (École Polytechnique)
A stochastic model for price and spread dynamics in some liquidity regimens