Autumn School in Financial Mathematics 2019

Verona 7 and 8 Oct 2019

About Autumn School in Financial Mathematics 2019

Thi is an intense two-day school on the latest developments on financial mathematics. Two leading experts will provide cutting edge lectures on xVA, interest rate modeling and algorithmic differentiation. Join us!

Autumn School in Financial Mathematics 2019 Schedule

7 Oct, 2019

10 : 00 AM - 06 : 00 PM Room SMT.02

Algorithmic Differentiation for Monte-Carlo Simulations and Applications in Mathematical Finance (MVA, Portfolio Risk, Hedging). Interest Rate Models and the Hedging of Interest Rate Derivatives

The calculation of Portfolio Risk and xVAs like Margin Valuation Adjustments are important and demanding applications in mathematical finance. They require complex models and advanced numerical methods.

We will give a hands-on introduction into Algorithmic Differentiation for Monte-Carlo Simulations. The algorithm is closely related to the backpropagation algorithm used to train neural networks (DNN). We discuss some special applications like Bermudan Options, American Monte-Carlo, Margin Valuation Adjustment and the Hedging of Derivative using Interest Rate Models.

Detailed Program

By Christian Fries

8 Oct, 2019

09 :00 AM - 05 : 00 PM Room SMT.03

A Pricing Framework for Valuation Adjustments

The financial crisis started in 2007 has shown that any pricing framework must include from the very beginning the possibility of default of any market player. As a consequence derivative valuation and risk analysis have moved from exotic derivatives managed on simple single-asset classes to simple derivatives embedding credit risk and new, or pre-viously neglected, types of complex and interconnected non-linear effects.

By following the developments of recent literature, an arbitrage-free valuation frame-work is developed for bilateral counterparty risk adjustments, inclusive of wrong-wayand contagion risks, collateralization and funding costs.

Detailed Program

By Andrea Pallavicini

Our Speakers

Christian Fries

LMU University Munich and DZ Bank

Andrea Pallavicini

Banca IMI and Imperial College

Our Sponsors

Register Now!

Registration Details

Students: Registration is free for all students of any University (Master and PhD). Send an E-Mail using the link below by specifying your institution.

Professionals: a registration fee of 150 EUR for a single day or 250 EUR for the whole event is required. Send an E-Mail to register. You will be requested to provide further information for the issuance of the invoice and you will receive details regarding the payment procedure.

Register

Contact Info

Address

Via Cantarane, 24 37129 Verona Italy

Phone

+39 045 802 8537

How to reach us