Frontiers in Stochastic Modelling for Finance
Padua, Italy 08-12 February 2016
Detailed program available here
- Energy Models René Aïd, (EDF, Paris)
- Pricing with Funding and Counterparty Risks Andrea Pallavicini, (Banca IMI, Milano)
- Longevity Risk Nicole El Karoui and Sarah Kaakai, (UPMC, Paris)
(lecture 1, lecture 2)
- Optimal Stopping Goran Peskir, Peter Johnson and Shi Qiu (Manchester University)
- Polynomial Processes Martin Larsson and Sara Svaluto-Ferro, (ETH, Zurich)
- Numerical Methods Nadia Oudjane, (EDF, Paris) and Anthony Le Cavil (ENSTA)