School and Workshop on Dynamical Models in Finance

22 - 24 May 2017

Room : BI A0 448

Organiser

Juan-Pablo Ortega, Universität St. Gallen
Luc Bauwens, Université catholique de Louvain
Yuri Kabanov, Université de Franche-Comté
The development of adequate modeling tools for the dynamical evolution of market prices and interest rates is of strategic importance for the financial industry and is at the core of the interests of much academic research. These models are, for example, the first building blocks in the construction of pricing and hedging tools and of portfolio optimization strategies, as well as in scenario generation for risk management.

These observations are particularly well-grounded in the fixed income framework where volumes are extremely important and the investment horizons are long. This school and workshop will focus on several families of models that are tailored to this specific context as well as on recent developments in this field. In particular, several approaches aimed at pricing fixed-income instruments in a context of very low interest rates will be presented.

The workshop is supported by the Louis Bachelier Prize 2016 awarded to Damir Filipovic (EPFL; Swiss Finance Institute) by the London Mathematical Society (LMS), the Natixis Foundation for Quantitative Research and the Société de Mathématiques Appliquées et Industrielles (SMAI).


Topic 1:
Polynomial Models in Finance
by Damir Filipovic (EPFL; Swiss Finance Institute) and Martin Larsson (ETHZ)
Topic 2:
Affine Processes in Asset Pricing Models
by Jean-Paul Renne (UNIL)
Name University Dates of visit
Damien Ackerer EPFL 22/05/2017 - 24/05/2017
Alexandru Badescu University of Calgary 21/05/2017 - 02/06/2017
Luc Bauwens Université catholique de Louvain 18/03/2017 - 17/06/2017
Stéphane Chrétien National Physical Laboratory 21/05/2017 - 03/06/2017
Michel Crouhy Natixis 21/05/2017 - 24/05/2017
Christa Cuchiero Universität Wien 22/05/2017 - 25/05/2017
Neha Deopa The Graduate Institute of International & Development Studies 22/05/2017 - 24/05/2017
Ryan Donnelly EPFL 22/05/2017 - 24/05/2017
Hasan Fallahgoul EPFL 22/05/2017 - 24/05/2017
Damir Filipovic EPFL 22/05/2017 - 24/05/2017
Elise Gourier Queen Mary University 22/05/2017 - 24/05/2017
Lyudmila Grigoryeva Universität Konstanz 01/04/2017 - 30/06/2017
Yunhao He University of Zurich 22/05/2017 - 24/05/2017
Max-Olivier Hongler EPFL 22/05/2017 - 24/05/2017
Thomas Hurd McMaster Univserity 17/05/2017 - 02/06/2017
Yuri Kabanov Université de Franche-Comté 01/05/2017 - 30/06/2017
Jan Kallsen Christian Albrechts Universität 21/05/2017 - 25/05/2017
Alexander Kostrov University of St.Gallen 22/05/2017 - 24/05/2017
Daniel Kressner EPFL 22/05/2017 - 24/05/2017
Martin Larsson ETHZ 21/05/2017 - 25/05/2017
Cheikh Mbaye Université catholique de Louvain 22/05/2017 - 24/05/2017
Yaroslav Melnyk EPFL 22/05/2017 - 24/05/2017
Ashraf Mohamed UNINE 22/05/2017 - 24/05/2017
Fabio Nobile EPFL 22/05/2017 - 24/05/2017
Juan-Pablo Ortega Universität St. Gallen 01/04/2017 - 30/06/2017
Fulvio Pegoraro Banque de France 19/05/2017 - 24/05/2017
Jean-Paul Renne UNIL 22/05/2017 - 24/05/2017
Thorsten Schmidt Universität Freiburg 22/05/2017 - 24/05/2017
Albert Shiryaev Steklov Institute of Mathematics 01/05/2017 - 30/06/2017
Francesco Statti EPFL 22/05/2017 - 24/05/2017
Sara Svaluto-Ferro ETHZ 22/05/2017 - 24/05/2017
Stefan Tappe Leibniz Universität Hannover 03/04/2017 - 30/06/2017
Michael Tseng EPFL 22/05/2017 - 24/05/2017
Sebastian Vogel EPFL 22/05/2017 - 24/05/2017
Sander Willems EPFL 22/05/2017 - 24/05/2017
Hao Xue EPFL 22/05/2017 - 24/05/2017
Yuan Zhang EPFL 22/05/2017 - 24/05/2017
Yinglin Zhang LMU Munich 22/05/2017 - 24/05/2017
Total Guests : 38
Name University Dates of visit
Damien Ackerer EPFL 22/05/2017 - 24/05/2017
Christa Cuchiero Universität Wien 22/05/2017 - 25/05/2017
Damir Filipovic EPFL 22/05/2017 - 24/05/2017
Elise Gourier Queen Mary University 22/05/2017 - 24/05/2017
Jan Kallsen Christian Albrechts Universität 21/05/2017 - 25/05/2017
Martin Larsson ETHZ 21/05/2017 - 25/05/2017
Yaroslav Melnyk EPFL 22/05/2017 - 24/05/2017
Fabio Nobile EPFL 22/05/2017 - 24/05/2017
Fulvio Pegoraro Banque de France 19/05/2017 - 24/05/2017
Jean-Paul Renne UNIL 22/05/2017 - 24/05/2017
Thorsten Schmidt Universität Freiburg 22/05/2017 - 24/05/2017
Francesco Statti EPFL 22/05/2017 - 24/05/2017
Sara Svaluto-Ferro ETHZ 22/05/2017 - 24/05/2017
Sander Willems EPFL 22/05/2017 - 24/05/2017
Total Guests : 14
Monday 22 May
•     09:15-10:00         affine 1
•     10:00-10:30         coffee break
•     10:30-11:15         affine 2
•     11:15-12:00         affine 3
•     12:00-13:30         lunch break
•     13:30-14:15         poly 1
•     14:15-15:00         poly 2
•     15:00-15:30         coffee break
•     15:30-16:15         Jan Kallsen
•     16:15-17:00         Yaroslav Melnyk

Tuesday 23 May
•     09:15-10:00         poly 3
•     10:00-10:30         coffee break
•     10:30-11:15         poly 4
•     11:15-12:00         poly 5
•     12:00-13:30         lunch break
•     13:30-14:15         affine 4
•     14:15-15:00         affine 5
•     15:00-15:30         coffee break
•     15:30-16:15         Thorsten Schmidt
•     16:15-17:00         Damien Ackerer

Wednesday 24 May
•     09:15-10:00         Elise Gourier
•     10:00-10:30         coffee break
•     10:30-11:15         Fulvio Pegoraro
•     11:15-12:00         Sander Willems
•     12:00-13:30         lunch break
•     13:30-14:15         Fabio Nobile
•     14:15-15:00         Franceso Statti
•     15:00-15:30         coffee break
•     15:30-16:15         Christa Cuchiero
•     16:15-17:00         Svaluto-Ferro