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