Confirmed SpeakersProgramme
Dr. Jörg Behrens
fintegral
Dr. Steve Bell
Research in Action
Prof. Fred Espen Benth
Oslo University
Dr. Oliver Brockhaus
MathFinance
Prof. Ernst Eberlein
Freiburg University
Prof. Peter Forsyth
Waterloo University
Dr. Helmut Glemser
Lloyds Banking Group
Prof. Jessica James
Commerzbank
Ulrich Leuchtmann
Commerzbank
Dr. Natalie Packham
Frankfurt School of Finance & Management
Prof. Rolf Poulsen
Copenhagen University
Dr. Sebastian Schlenkrich
d-fine
Prof. Christian Schmaltz
Aarhus University
Dr. Artur Sepp
Bank of America
Dr. Bernadette Weyland
Hessian Ministry of Finance
Prof. Uwe Wystup
MathFinance AG
Mon 23 March 2015
07:45
Registration and Breakfast
08:45
Opening Remark: Prof. Uwe Wystup
Morning Chair
09:00
Valuation in Illiquid Markets
Prof. Ernst Eberlein
Freiburg University
09:45
Analyzing the Swiss National Bank’s Euro-Guarantee
Prof. Rolf Poulsen
Copenhagen University
10:30
11:00
Superhedging with Uncertain Volatility
11:40
Pricing and Hedging under Log-normal Stochastic Volatility Dynamics
Dr. Artur Sepp
Bank of America
12:20
STRIKE Mini Symposium (Parallel Event) - Room 20
See details!
Afternoon Chair
13:40
Dr. Bernadette Weyland
Hessian Ministry of Finance
14:00
Moderator: Prof. Christian Schmaltz
Aarhus University
Ulrich Leuchtmann
Commerzbank
Prof. Uwe Wystup
MathFinance AG
Prof. Rolf Poulsen
Copenhagen University
14:45
15:15
The Relationship between Scheduled Events and FX Implied Vol
16:00
Prof. Jessica James
Commerzbank
16:50
Wrong Way Risk in Closed Form
Dr. Oliver Brockhaus
MathFinance
17:35
18:50
19:30
Tue 24 March 2015
08:00
Registration and Breakfast
Morning Chair
09:00
Better than Pre-commitment Mean-variance Portfolio Allocation Strategies: a Semi-self-financing Hamilton-Jacobi-Bellman Equation Approach
Prof. Peter Forsyth
Waterloo University
09:45
Multi Curves – Multi Problems?
10:30
11:00
Fast Computation of Risk Sensitivities using Adjoint PDEs
11:45
Multi-curves Calibration through Undetermined Search Algorithm
12:30
Afternoon Chair
14:00
Panel: Recent Advances in Model Risk
Moderator: Dr. Jörg Behrens
fintegral
Dr. Natalie Packham
Frankfurt School of Finance & Management
Dr. Helmut Glemser
Lloyds Banking Group
14:50
Stationarity and Risk Premia in Power Markets
Prof. Fred Espen Benth
Oslo University
15:20
15:50
Low Strike Extrapolation for SABR - Challenges for Pricing in Current Low Interest Rates Market Environment
Dr. Sebastian Schlenkrich
d-fine
16:30
Principal Components for Dummies
Dr. Steve Bell
Research in Action
17:10
Closing Remark: Prof. Uwe Wystup
See details of the STRIKE Mini Symposium!
Download all talks! This action is restricted only to conference participants!
In the case you have attended the conference but did not went through the online
registration process or have not received the appropriate details, please
contact us.
If you would like to take a few minutes of your time to fill in our survey, please follow this link!