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8:30 am Short Course: High-frequency statistics in Finance. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Short Course: High-frequency statistics in Finance. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 8:30 am – 10:30 am
High-frequency statistics in Finance. Jean Jacod (UPMC-Paris 6) The aim of this course is to provide some basic facts about, and an overview of, statistics of processes which are observed at discrete times on a...
11:00 am Short Course: The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Short Course: The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 11:00 am – 1:00 pm
The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC, Paris Introduction The motivation for this course is to update...
3:30 pm Plenary Talk: Riding the Bubble with Convex Incentives. Fernando Zapatero. USC, Los Angeles, CA, US. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Riding the Bubble with Convex Incentives. Fernando Zapatero. USC, Los Angeles, CA, US. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 15 @ 3:30 pm – 4:30 pm
Riding the Bubble with Convex Incentives. Fernando Zapatero* (USC, Los Angeles, CA, US) and Juan Sotes-Paladino (University of Melbourne). Several empirical studies contradict the efficient markets contention that sophisticated investors like hedge funds should underweight...
5:00 pm Contributed Talks 1:Academic–Finance–Portfolio Optimization, Risk Management, Risk Measures, Utilities, Credit** @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed Talks 1:Academic–Finance–Portfolio Optimization, Risk Management, Risk Measures, Utilities, Credit** @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 15 @ 5:00 pm – 6:30 pm
5:00–5:30pm: Heterogeneous Archimedean copula and t-copula in credit portfolio modeling Ludger Overbeck*, University of Giessen Besides its advantage in modelling tail-dependency, the main drawback of standard non-Gaussian copula is the homogeneity in the tail dependency....
5:00 pm Invited Session—Julien Guyon “RECENT ADVANCES IN VOLATILITY MODELING AND OPTION PRICING” @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Invited Session—Julien Guyon “RECENT ADVANCES IN VOLATILITY MODELING AND OPTION PRICING” @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 15 @ 5:00 pm – 6:30 pm
5:00pm–5:30pm: Cross-Dependent Volatility Julien Guyon (Bloomberg L.P.) Local volatilities in multi-asset models typically have no cross-asset dependency. In this talk, we propose a general framework for pricing and hedging derivatives in cross-dependent volatility (CDV) models,...
10:30 am Short Course: The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Short Course: The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 16 @ 10:30 am – 12:30 pm
The New Post-crisis Landscape of Derivatives and Fixed Income Activity under Regulatory Constraints on Credit risk, Liquidity risk, and Counterparty risk. Nicole El Karoui, LPMA-UPMC, Paris Introduction The motivation for this course is to update...
4:30 pm Poster Session @ Sala de Exposiciones. Piso 1. Casa Museo Arte y Cultura la Presentación.
Poster Session @ Sala de Exposiciones. Piso 1. Casa Museo Arte y Cultura la Presentación.
Jun 16 @ 4:30 pm – 5:30 pm
Poster Session Short Term American Path Dependent Option Pricing in the USDCOP Market: Central Bank’s Volatility Control Option Case Santiago Stozitzky*, Bancolombia A stochastic approach to pricing financial instruments for the Caribbean markets Stephen Barnes*,...
5:30 pm Contributed Talks 4: Academic–Finance–Other**. @ Casa Museo Arte y Cultura la Presentación.
Contributed Talks 4: Academic–Finance–Other**. @ Casa Museo Arte y Cultura la Presentación.
Jun 16 @ 5:30 pm – 7:00 pm
5:30pm–6:00pm: Calibration in Option Pricing with Forward and Backward Reduced Models Jose Silva*, University of Wuppertal; E. Jan ter Maten, University of Wuppertal; Michael Guenther, University of Wuppertal This work presents the calibration of a...
5:30 pm Invited Session–Philip Protter @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session–Philip Protter @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 16 @ 5:30 pm – 7:00 pm
5:30pm–6:00pm Some remarks on functionally generated portfolios Johannes Ruf*, UCL; Ioannis Karatzas, Columbia In the first part of the talk I will review Bob Fernholz’ theory of functionally generated portfolios. In the second part I...
8:00 am Plenary Talk: Path-Dependent Volatility. Julien Guyon. Bloomberg LP. New York, US @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Plenary Talk: Path-Dependent Volatility. Julien Guyon. Bloomberg LP. New York, US @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena
Jun 17 @ 8:00 am – 9:00 am
Path-Dependent Volatility Julien Guyon Bloomberg LP. New York, US So far, path-dependent volatility models have drawn little attention from both practitioners and academics compared to local volatility and stochastic volatility models. This is unfair: in...
10:30 am Contributed talks 5: Practitioner–Finance** (English, Spanish) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Contributed talks 5: Practitioner–Finance** (English, Spanish) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 17 @ 10:30 am – 12:00 pm
10:30am–11:00am: A systematic view on price based trading strategies A. Christian Da Silva*, Dunn Capital; Fernando Ferreira, USP; Ju-Yi Yen, University of Cincinnati We study trading strategies that use historical price data to predict future...
8:00 am Contributed Talk 8: Academic–Finance–Options, Futures, Stochastic Volatility, Real Options, Energy Finance, Hybrids** @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed Talk 8: Academic–Finance–Options, Futures, Stochastic Volatility, Real Options, Energy Finance, Hybrids** @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 18 @ 8:00 am – 10:00 am
8:00am–8:30am: Arbitrage-Free XVA (Invited Session talk –Stéphane Crépey) Agostino Capponi*, Columbia University; Stephan Sturm, WPI; Maxim Bichuch, Johns Hopkins University We develop a framework for computing the total valuation adjustment (XVA) of a European claim...
8:00 am Invited Session–Andrea Pascucci * @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session–Andrea Pascucci * @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 8:00 am – 10:00 am
8:00am–8:30am: PDE models for pricing fixed rate morgages and their insurance and coinsurance Carmen Calvo-Garrido, Carlos Vázquez* In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the...
10:30 am Contributed Talks 10: Academic–Finance–Economics, Market Microstructures** (English & Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Contributed Talks 10: Academic–Finance–Economics, Market Microstructures** (English & Spanish) @ Aula Máxima de Derecho. Claustro de San Agustín.
Jun 18 @ 10:30 am – 12:30 pm
10:30am–11:00am: On the behavior of the price impact in the Kyle-Back model. José Corcuera*, University of Barcelona In this paper we study the equilibrium arising in the Kyle-Back model when we allow the depth parameter...
10:30 am Invited Session—Daniel Hernández* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session—Daniel Hernández* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 10:30 am – 12:30 pm
10:30am–11:00am: Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty Erick Treviño*, Universidad de Guanajuato Optimal stopping under model uncertainty is a recent topic under research. The classical approach to characterize...
2:00 pm Plenary Talk: Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 2:00 pm – 3:00 pm
Self-exciting process in Finance and Insurance for credit risk and longevity risk modelling in heterogenous portfolios. Nicole El Karoui, LPMA-UPMC. Recent regulatory evolution in credit risk management suggests to consider the credit risk of an...
3:00 pm Plenary Talk: Estimation of volatility in presence of high activity jumps and noise. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Plenary Talk: Estimation of volatility in presence of high activity jumps and noise. Jean Jacod (UPMC-Paris 6) @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 3:00 pm – 4:00 pm
Estimation of volatility in presence of high activity jumps and noise. Jean Jacod (UPMC-Paris 6) We consider an It semimartingale which is observed along a discrete (regular or not) time grid, within a fixed time...
4:30 pm Invited Session–Stéphane Crépey* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Invited Session–Stéphane Crépey* @ Auditorio Paraninfo. Claustro San Agustín. Universidad de Cartagena.
Jun 18 @ 4:30 pm – 6:00 pm
4:30pm–5:00pm Liquidity risk and optimal dividend/investment strategies. (Contributed talk) Vathana Ly Vath*, ENSIIE; Etienne Chevalier, University of Evry; Mhamed Gaigi, ENIT In this paper, we consider the problem of determining an optimal control on the...