Frankfurt MathFinance Conference

Derivatives and Risk Management in Theory and Practice

14-15 March 2011

The Conference is in English
Venue Overview
Monday 14 March and Tuesday 15 March 2011

MesseTurm Frankfurt
Friedrich Ebert Anlage 49
60308 Frankfurt am Main

You can reach it via tube (line U4 from Hauptbahnhof Main Station, towards Bockenheimer Warte), station Festhalle/Messe.
For further details see the map.

Due to increased security measures, please bring an acceptable form of identification (Driver's License, Personalausweis, Passport etc.)
Schedule (Preliminary) Monday 14 March (Messeturm)
Time Speaker Topic Room
8:15 Registration and breakfast Emporio
8:45 Dr. Uwe Wystup Opening remark Kappa
Dr. Jürgen Linde Morning session chair Kappa
9:00 Dr. Torsten Langner High Productivity First - 4 Simple Ways to develop Mathematical Applications in Financial Environments Kappa
9:45 Prof. Andrea Pascucci Analytical Approximation of the SABR Model with Jumps Kappa
10:30 Tea break Emporio
11:00 Dr. Nick Webber The Valuation of Non-linear Barrier Options by Simulation Kappa
11:30 Lukas Henatsch Stress testing and scenario analysis in the aftermath of the financial crisis Kappa
12:00 Sebastien Kayrouz, Eric Gaudillat and Dr. Uwe Wystup The Tremor local/stochastic volatility hybrid (LSV) model and its validation Kappa
13:00 Lunch Emporio
Alexander Stromilo Afternoon session chair Kappa
14:00 Dr. Donie O'Brien Similarities between modelling sporting events and financial markets Kappa
14:30 Prof. Ralf Korn Recent Advances in Binomial Tree Methods in Option Pricing Kappa
15:00 Karsten Weber Pinning Down the Forward-Skew Kappa
15:30 Tea break Emporio
16:00 Prof. Gabriel Turinici Liquidity sources: hedging and biased estimates Kappa
16:30 Dr Natalie Packham Correlation under stress in normal variance mixture models Kappa
17:00 LPA Cocktail reception 36 Floor, Messeturm
19:30 Vapiano
Gotheplatz 1, 60313 Frankfurt
Conference Dinner Walking Map
or take (Sub) U4 from Messe to Willy Brandt Platz and walk to Vapiano

Tuesday 15 March (Messeturm)
Time Speaker Topic Room
8:15 Registration and breakfast Emporio
Dr. Jürgen Hakala Morning session chair Kappa
Dr. Jörg Kienitz Morning session chair Gamma
9:00 Dr. Christian Fenger Super Surface Kappa
9:00 Prof. Monique Jeanblanc Dynamic Copula Approach Gamma
9:40 Dr. Kay Pilz A Hybrid Commodity and Interest Rate Market Model Kappa
9:40 Dr. Christoph Burgard Bilateral Counterparty Risk and Funding for Derivatives: How to take into account ones own risk of default Gamma
10:10 Dr. Yuri Ivanov Valuation of commodity derivatives Kappa
10:10 Dr. Ralf Werner Model-Free Bounds on Bilateral CVA Gamma
10:40 Tea break Emporio
11:00 Dr. Jesper Andreasen Stochastic Local Volatility Kappa
12:30 Lunch Emporio
Dr. Uwe Wystup Afternoon session chair Kappa
Dr. Claudius Müller Afternoon session chair Gamma
14:30 Panel Discussion on Current Development in Quantitative Models Kappa
15:40 Dr. Jörg Kienitz Pricing and Modelling CMS Spread Options Kappa
16:10 Tea break Emporio
16:30 Dr. Thomas Kokholm A Joint Dynamic Model for VIX and Index Options Kappa
16:30 Dr. Andreas Binder Efficient calibration of advanced volatility models on the GPU Gamma
17:00 Prof. Lorenz Schneider and Dr. Iain Clark Numerical Methods for Strongly Path Dependent Options Kappa
17:00 Mauricio I. González Evans Real-time Super-Computing on the Desktop using Excel: Deploying heavy (real-time) calculations in Excel to an HPC Cluster without programming Gamma
17:40 Dr. Uwe Wystup Closing remark and summary Kappa
18:00 End of Conference Kappa
Panel Discussion Experts on the panel will include
  • Dr. Jesper Andreasen
  • Dr. Jörg Behrens
  • Dr. Jürgen Hakala
  • Prof Rolf Poulsen
Produced by MathFinance AG - Last modified: March 2011