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!
10 : 00 AM - 06 : 00 PM Room SMT.02
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.
09 :00 AM - 05 : 00 PM Room SMT.03
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.
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
Via Cantarane, 24 37129 Verona Italy
+39 045 802 8537