Speakers & event schedule
Registration
Anna Battauz
Optimal Liquidation Policies of Redeemable Shares
Emanuele Guidotti
Efficient estimation of bid–ask spreads from open, high, low, and close prices
Chair: Lorenzo Mercuri
Coffee break
Carole Bernard
Coskewness under dependence uncertainty
Roger J. A. Laeven
Saddlepoint Approximations for Hawkes Jump-Diffusion Processes with an Application to Risk Management
Paul Schneider
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels
Chair: Edit Rroji
It's time for lunch
Damir Filipović
Kernel Density Machines
Gianluca Fusai
Monotonic transformation, implied stock price process and market consistent pricing of calendar spread options
Donatien Hainaut
Option pricing with model constrained Gaussian process regressions
Chair: Lorenzo Mercuri
Coffee break
Viviana Fanelli
Investments in Renewable Energy Sources: Structural Changes in the Production and Consumption of Energy
Michele Azzone
The puzzle of carbon allowance spread
Chair: Andrea Perchiazzo
End of day 1
An Chen
The Role of Ambiguity Aversion in Consumer Purchasing Decision
Francesco Della Corte
Market-consistent valuation and Capital Assessment for Demographic Risk in Life Insurance: A Cohort Approach
Chair: Edit Rroji
Coffee break
Giacomo Bormetti
Neural networks unleashed: Joint SPX/VIX calibration going fast
Lech Grzelack
On Volatility Parametrizations with Random Coefficients
Andrea Perchiazzo
Pricing European Options using the Gauss-Laguerre Quadrature
Chair: Andrea Perchiazzo
It's time for lunch
And that's a wrap on the workshop!
Event Venue
Department of Economics, Management, and Quantitative Methods
Via Conservatorio 7, 20122, Milan - Italy
Sponsors
