RiO 2017 – Contributed Talks

Davi Michel Valladão (PUC-RJ)
Data-driven Robust Option Pricing

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

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

Fernando A L Aiube (UERJ)
Financialization of the commodity future markets through factor models

Gyorgy Varga (FCE)
The relative trading activity in options and stocks in Brazil

José Germán López Salas (École Polytechnique)
CVaR Variation Margin Pricing and Hedging

Julien Claisse (École Polytechnique)
Branching diffusion representation of semi-linear elliptic PDEs and numerical applications

Mariana Piaia Abreu (UFF)
Structure of Control in Financial Networks: an Application to the Brazilian Stock Market

Matheus Pimentel Rodrigues (USP – POLI)
Some Evidence of the Importance of Measuring Default Risk for Equities

Rafael Serrano Perdomo (Universidad del Rosario)
Optimal portfolio allocation for an investor with insurance risk and differential rates

Ryan Donnelly (University of Washington)
Substitute Hedging with (Cross) Price Impact

Vinícius Viana Luiz Albani (UFSC)
Local Volatility Calibration in Commodity Markets