About the workshop
Join us at the workshop Numerical Methods for Finance and Insurance, where experts will share insights on advanced quantitative methods and their applications in finance and insurance
Speakers & event schedule
Registration
Anna Maria Gambaro
Advancing Complex Step Approximation
Nathan Lassance
The distribution of out-of-sample performance of estimated portfolios
Chair: Lorenzo Mercuri
Coffee break
Ilaria Stefani
A new model for the perceived time to transition to a low carbon economy
Hansjoerg Albrecher
Optimal carbon emission patterns towards a net zero target
Andrea Mazzon
Optimal stopping and divestment timing under scenario ambiguity and learning
Chair: Edit Rroji
It's time for lunch
Gabriele Torri
Pricing of synthetic CDOs with infectious defaults and market based measures of systemic risk
David Lando
Hybrid Bank Capital: The Economics of Uneconomic AT1 Calls
Francesco Rotondi
Effective binomial discretizations of bivariate diffusion processes
Chair: Lorenzo Mercuri
Coffee break
Gero Junike
Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
Riccardo Brignone
Pricing path-dependent options under stochastic volatility models with full error control
Chair: Andrea Perchiazzo
End of day 1
Alice Pignatelli di Cerchiara
American multi-asset option pricing under vine Lévy copulae and the Ballotta-Bonfiglioli model
Laura Ballotta
The Calibration Conundrum: Optimizers and (Joint) Objective Functions
Chair: Andrea Perchiazzo
Coffee break
Giovanna Apicella
The gender mortality gap: mathematical perspectives on a cross-cutting issue
Corina Constantinescu
Subsidising inclusive insurance to reduce poverty
Matteo Brachetta
Optimal Self-Protection via BSDEs for Risk Models with Jump Clusters
Chair: Edit Rroji
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
