Events
Futures of quantitative seminar, March 28, 2024
Zorana Grbac, Université Paris Cité, LPSM Title: Term structure modelling with overnight rates beyond stochastic continuity Abstract: Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate...
Futures of Quantitative Seminar, February 28, 2024
Guido Gazzani (ENPC) Title: Pricing and calibration of path-dependent volatility models Abstract: We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past...
Futures of Quantitative Seminar, Jan 25 and Feb 1, 2024
Minicourse ‘XVA Analysis’ By Stéphane Crépey, professor Université Paris Cité /LPSM Since 2008, XVAs deeply affect the derivative pricing task by making it global (portfolio-wide), nonlinear, and entity dependent. A proper financial understanding of even...
Futures of Quantitative Finance Seminar, December 20, 2023
Aurélien Alfonsi (École des Ponts ParisTech) Title : How many inner simulations to compute conditional expectations with least-square Monte Carlo? Abstract: The problem of computing the conditional expectation E[f(Y)|X] with least-square Monte-Carlo is of general...