Research in Options 2016
IMPA, Rio de Janeiro, November 25th to December 1st, 2016 
The use of sophisticated mathematical tools in financial engineering ranging from partial differential equations to stochastic analysis and numerical methods has been growing steadily during the past few decades. On the one hand, the mathematical tools and results have impacted the way financial phenomena are modeled and understood, and how risk is assessed and managed. On the other hand, the financial industry has been presenting a number of mathematical and computational challenges to researchers.
This is the eleventh conference hosted by IMPA’s group on Math Finance on the subject. It is a follow up of the highly successful previous editions. Each one had in its attendance about 100 participants evenly spread from academia and industry. This year we will focus on different aspects of mathematical finance including (but not limited to) option pricing, fixed income, volatility trading, real options, commodities, algorithmic trading, portfolio and risk management.
We will precede the conference with two days of minicourses. The minicourses will be aimed at both practioners and students.
Event webpage
Scientific and Local Committee
Scientific and Local Committee
Scientific Committee:
Marco Avellaneda (Courant Institute, USA)
Bruno Dupire (Bloomberg, USA)
Jorge P. Zubelli (IMPA, Brazil)
Local Committee:
Max Souza (UFF, Brazil)
Jorge P. Zubelli (IMPA, Brazil)
Certificates
Speakers, Minicourses, Short Courses and Contributed Talks
Pictures
SBMAC (Sociedade Brasileira de Matematica Aplicada e Computacional)
Este evento é parte das atividades do comitê temático de Finanças Quantitativas da Sociedade Brasileira de Matematica Aplicada e Computacional (SBMAC).
http://www.sbmac.org.br/
This event is part of the activities of the Special Interest Group on Quantitative Finance of the Brazilian Society for Applied and Computational Mathematics (SBMAC).
http://www.sbmac.org.br/
Program
Short Course Risk & Derivatives
Short Course Statistics in Finance
Minicourses / Short Courses
Minicourses:
Marco Avellaneda (New York University , USA)
Risk and liquidity management: for equity derivatives, credit derivatives & fixed-income
Stephane Crépey (University of Evry , France)
Counterparty Risk, Cost of Funding, Cost of Capital and Central Clearing
Bruno Dupire (Bloomberg)
Volatility derivatives and trading
Sebastian Jaimungal (University of Toronto, Canada)
Algo Trading: From theory to practice
Short Courses:
High Frequency Trading
Sebastian Jaimungal (Toronto, Canada)
Chris Rogers (Cambridge, UK)
Portfolio Management
Teemu Pennanen (King´s College, UK)
Stephane Crépey (U. Evry, France)
Risk & Derivatives (part I)
Bruno Dupire (Bloomberg, USA)
Marco Avellaneda (NYU, USA)
Risk & Derivatives (part II)
Raphael Douady (Riskdata, USA)
Julien Guyon (Bloomberg, USA)
Risk & Derivatives (part III)
Yuri Saporito (FGV, Brazil)
Uwe Schmock (TU Vienna)
Rodrigo Targino (FGV, Brazil)
Statistics in Finance
Nikolai Kolev (USP, Bazil)
Umberto Cherubini (U. Bologna, Italy)
Sabrina Mullinacci (U. Bologna, Italy)
Speakers
Marco Avellaneda (Courant Institute, USA)
Trading VIX Derivatives
Carole Bernard (Waterloo University, Canada)
Model-free approach to price multivariate derivatives
Umberto Cherubini (University of Bologna, Italy)
No-Arbitrage Choquet Pricing with an Application to the Irrational Exercise Problem
Stephane Crépey (U. Evry, France)
Central Clearing Valuation Adjustment
Raphael Douady (Riskdata, USA)
Bruno Dupire (Bloomberg, USA)
Special Techniques for Special Events
Emmanuel Gobet (École polytechnique, France)
MCMC design-based non-parametric regression for rare-event. Application to nested risk computations
Martino Grasselli (Univ.Padova, Italy, and De Vinci Research Center, France)
Lie Symmetry Methods for Local Volatility Models
Matheus Grasselli (McMaster University, Canada)
Macroeconomic modelling with heterogeneous agents: the master equation approach
Julien Guyon (Bloomberg)
The Particle Method for Smile Calibration
Lane Hughston (Brunel University London, UK)
Lévy-Vasicek Models and the Long-Bond Return Process
Sebastian Jaimungal (University of Toronto, Canada)
Trading algorithms with learning in latent alpha models
Nikolai Kolev (IME-USP, Brazil)
Sabrina Mulinacci (University of Bologna, Italy)
Marking to market credit derivatives on simultaneous credit events
Teemu Pennanen (King’s College, UK)
Optimal hedging and valuation of oil derivatives and refineries
Alberto A. Pinto (University of Porto)
Chris Rogers (TU Vienna, Austria)
High-frequency data: why are we looking at this?
Uwe Schmock (TU Vienna, Austria)
Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer’s Recursion
Lakshithe Wagalath (IESEG, Paris, France)
Risk-based capital requirements and optimal liquidation in a stress scenario
Jorge Zubelli (IMPA)
A Non-intrusive Stratified Resampler for Regression Monte Carlo with Application to Option Pricing
Poster Session
Matheus Pimentel Rodrigues (USP – Escola Politécnica)
The effect of default risk on trading book capital requirements for public equities: an IRC application for the Brazilian Market
Rogério Medeiros (Instituto de Matemática e Estatística)
The CAPM with Social Influence
Felipe Duarte (Universidade Federal de São Paulo)
Analysis of the Methods to Calculate the Formula for a European Call Option in the Heston Model
Xu Yang (IMPA)
Calibration of the Volatility Premium in the Stochastic Volatility Mode
Fernando Aiube (Universidade do Estado do Rio de Janeiro)
Evaluating the risk premium in the U.S. natural gas market: evidence from low-price regime
Contributed Communications
Caio Almeida (FGV)
Nonparametric Option Pricing With Generalized Entropic Estimators
Gyorgy Varga (FCE Consulting)
Volatility Trading under a Mean Reverting Process
José Faias (Universidade Católica Portuguesa)
Equity Premium Predictability from Cross-Sectorial Downturns
Juan Arismendi (Universidade Nacional de Brasília)
The Implications of Tail Dependency for Counter Party Credit Risk Modelling
Juan Pablo Gama (IMPA)
Volatility on Procylical Assets with Risk Loving
Julio Backhoff Veraguas (Vienna University of Technology)
On the Dynamic Representation of Some Time-Inconsistent Risk Measures in a Brownian Filtration
Rafael Moura Azevedo (Universidade Federal de Pernambuco)
Semi-Parametric Entropic Estimation of State Price Densities Implicit in Interest Rate Derivatives
Ryan Donelly (École Polytechnique Fédérale de Lausanne)
Insider Trading with Residual Risk
Stefano De Marco (Centre de Mathématiques Appliquées – Ecole Polytechnique)
Asymptotics and calibration for American options
Youngna Choi (Montclair State University)
Tracking Financial Instability Contagion: modeling and data calibration
Ariel Levy (Universidade Federal Fluminense) e Fernando Aiube (Universidade do Estado do Rio de Janeiro)
Recent movement of crude oil prices: evidence from log-normal modeling
List of Registered Participants
Postal Address: Instituto Nacional de Matemática Pura e Aplicada
Estrada Dona Castorina 110, Jardim Botânico
Rio de Janeiro, RJ, CEP 22460-320, Brasil
E-mail: eventos@impa.br
