MS-Mo-D-53
Challenges in Financial Modelling: Numerics, Statistics, and Calibration.

Date: August 10
Time: 13:30--15:30
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Zubelli, Jorge (IMPA)

Abstract: Modeling of financial markets leads to a plethora of challenging problems that range from analytic to numerical ones. They are characterized by massive quantities of data and unobservable variables that are fundamental in the model interpretation.

This mini-symposium concerns large-scale and ill-posed problems arising or motivated by financial applications. Typical examples appear in risk management and volatility calibration. We shall start with an overview of the relevant problems such as volatility calibration and correlation.

Then, we will discuss discretization and iterative techniques that have impact on risk management and volatility modeling. In particular, we focus on discrepancy principles and on the issue of stopping criteria for iterative algorithms. Another highly used group of techniques is associated to state space methods and Kalman filtering. Finally, we present specific examples coming from commodity markets and multi-factor stochastic volatility models.


MS-Mo-D-53-1
13:30--14:00
Robust time-consistent dynamic utility maximization under stochastic volatility
Li, Bin (Univ. of Waterloo)


MS-Mo-D-53-2
14:00--14:30
Local Volatility Calibration in Commodity Markets and Practical Simplifications
Albani, Vinicius (Univ. of Vienna)


MS-Mo-D-53-3
14:30--15:00
Calibration Problems in Finance: From State Space Models to Iterative Algorithms
Zubelli, Jorge (IMPA)
Yang, Xu (Instituto Nacional de Matematica Pura e Aplicada)


MS-Mo-D-53-4
15:00--15:30
Data Completion
Ascher, Uri (Univ. of BC)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA