Research in Options - Speakers

Stephane Crépey (Université Evry Val d´Essonne)
GPU Nested Monte Carlo Techniques for XVA Computations

Raphael Douady (SUNY Stony Brook)
Dominant Factor Analysis

Alan De Genaro (Dept. Economics – University of Sao Paulo)
Pricing interest rate derivatives under monetary policy changes

Emmanuel Gobet (École Polythechnique, France)
Modeling the management of microgrid equipped with PV panels and battery; resolution using McKean Forward-Backward Stochastic Differential Equations

Martino Grasselli (Padova University, Italy & Devinci Research Center, France)  
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 

Matheus Grasselli (McMaster University, Canada)  
On the Normality of Negative Interest Rates

Lane Hughston (Brunel University London, UK)
Optimal taxation and wealth redistribution

Roger Lee (University of Chicago, USA)
Cumulant formulas for implied volatility

Stefano De Marco (École Polytechnique, France)  
Enhancing rough forward variance models with VIX smiles

Gilles Pagès (Université Pierre et Marie Curie)
Functional convex order preserving approximations with application to the pricing of derivatives

Teemu Pennanen (King´s College London, UK)
Economic valuation of defined benefit pension liabilities

Alberto Pinto (University of Porto, Portugal)
Perfect equilibrium prices under social differentiation

Yuri Saporito (FGV, Brazil)
Stochastic Control and Differential Games with Path-Dependent Controls

Uwe Schmock (Vienna University of Technology)
Normal Variance Mixture Distributions as Approximations of Poisson Mixture Sums 

Rodrigo Targino (FGV, Brazil)
Efficient Monte Carlo algorithms for risk allocation

Nizar Touzi (École Polythechnique, France)
Branching diffusion representation of nonlinear PDEs

Jorge Zubelli (IMPA, Brazil)
The Calibration of Stochastic-Local Volatility Models – An Inverse Problem Perspective