Mathematics and Finance: from Theory to Practice
A. Araújo -
IMPA, Brazil: "General
Equilibrium Bankruptcy and Bubbles"
A. Cadenillas - University of Alberta, Canada: "Optimal Dividend Policy With Mean-Reverting Cash Reservoir"
P. Carr - Bloomberg, USA: "Links between Sovereign CDS and Currency Options"
R. Douady - Riskdata, USA: "The Nonlinearities of Hedge Fund Returns"
B. Dupire - Bloomberg, USA: "Modeling Volatility Skews" (Conference) and "Volatility Arbitrages" (Workshop)
M. Grasselli - McMaster, Canada: "Valuing Employee Stock Options"
B. Hofmann - T.U.Chemnitz, Germany: "Specific Aspect of Inverse Option Pricing: Nature of Ill-Posedness and Decoupling"
N. Kolev - USP, Brazil : "Bounds for Quantile-based Measures Dependent Risks"
M. Lipkin - Katama Trading LLC, AMEX, USA: "Sherlockian Options Trading; Sniffing out Leaked Take-Overs"
J. Lopez-Mimbela - CIMAT, Mexico: "Occupation Measures of Classical Risk Processes"
C. Mancini - Firenze, Italy: "Threshold estimation of jump-diffusion models and interest rate modeling"
A. Portilho - Pactual: "Practicalities of Volatility Trading"
R. Sircar - Princeton, USA: "Asymptotics of Stochastic Volatility, Local Volatility and Stochastic Local Volatility"
G. Varga - FCE, Brazil: "Brazilian (Local) Term Structure Forecast in a Factor Model"
J.P. Zubelli - IMPA, Brazil: "Pricing Stochastic Volatility Models Under Fast Mean-Reversion Regimes"