Monday, Mar. 30

   

  


Tuesday, Mar. 31

  

  


Wednesday, Apr. 01

  

  

Contributed Talks - Session 1.A

11:00-
11:25
Basket option pricing and implied correlation in a Lévy copula model
Daniël Linders
11:30-
11:55
Options embedded in life insurance policies: Risk management and optimal asset allocation
Peter Hieber
12:00-
12:25
A two-Factor cointegrated commodity price model with an application to spread option pricing
Walter Farkas
12:30-
12:55
The worst-case dependence structure maximizing the bilateral CVA
Thorsten Schulz

  

Contributed Talks - Session 1.B

11:00-
11:25
On the Heston model with stochastic correlation
Long Teng
11:30-
11:55
A general closed form option pricing formula
Ciprian Necula
12:00-
12:25
Inside the emerging markets risky spreads and credit default swap - Sovereign bonds basis
Vilimir Yordanov
12:30-
12:55
Approximated pricing of swaptions in general interest rate models
Anna Maria Gambaro

  

Contributed Talks - Session 2.A

14:00-
14:25
Model-free discretisation-invariant swaps and S&P 500 higher-moment risk premia
Johannes Rauch
14:30-
14:55
Lambda value at risk: a new backtestable alternative to VaR
Ilaria Peri
15:00-
15:25
Interbank convexity adjustments
Raquel Gaspar
15:30-
15:55
Minimizing the index tracking error of actively managed fixed income ETFs
Stephan Unger

  

Contributed Talks - Session 2.B

14:00-
14:25
A Note on CVA and Wrong Way Risk
Gaetano La Bua
14:30-
14:55
A note on dual-curve construction: Mr. Crab’s bootstrap
Alessandro Cassaro
15:00-
15:25
On the joint dynamics between the spot and the implied volatility surface
Sofiene El Aoud
15:30-
15:55
A few remarks on the pricing of contingent convertibles
Frank Oertel

  

Contributed Talks - Session 3.A

16:15-
16:40
Liquidity risk in fund management
Sascha Desmettre
16:45-
17:10
De-Americanization
Mirco Mahlstedt
17:15-
17:40
The minimal entropy martingale measure in a market of traded financial and actuarial risks
Ben Stassen

  

Contributed Talks - Session 3.B

16:15-
16:40
Counterparty credit risk measurement: Dependence effects, mitigating clauses and gap risk
Laura Balotta
16:45-
17:10
TBA
Federico Dini