Eventos

Mathematics and Finance: from Theory to Practice

Speakers

 

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"


E. Mordecki - Universidade de la República, Uruguay: "Duality and Symmetry in Levy Markets"


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"

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