Organizer: Vázquez Cendón, Carlos (Universidade da Coruña)
Abstract
Some recent advances in the mathematical methods to address problems arising in quantitative finance will be presented in this minisimposium. These advances are mainly related to the mathematical modelling, mathematical analysis of the models, appropriate numerical methods and efficient computational techniques. Different mathematical methods will be applied to the pricing of financial products with stochastic and local stochastic volatility models, the valuation adjustments arising from the presence of counterparty risk, the pricing of derivatives in energy markets, the solution of optimal investment situations under uncertainty, the inclusion of current scenarios of negative rates, etc.
Keywords: mathematical finance; numerical methods; computational finance
Session 1. Monday 11:30 – 13:35 Room A5.
Chair: Vázquez Cendón, Carlos (Universidade da Coruña)
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Speaker |
Organization |
Contribution title |
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Leitao, Álvaro |
Universidade da Coruña |
Neural Networks for extracting implied information from American options |
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Salvador -Mancho, Beatriz |
Universidade da Coruña |
XVA for American options with two stochastic factors: modelling, mathematical analysis and numerical methods |
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Suárez Taboada, María |
Universidade da Coruña |
New mathematical models for pricing a mine extraction project |
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Ráfales, Jonatan |
Universidade da Coruña |
Pricing TARN options with a local stochastic volatility model |
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Session 2 Monday 18:00 - 20:00 Room A5.
Chair: Vázquez Cendón, Carlos (Universidade da Coruña)
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Speaker |
Organization |
Contribution title |
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Calvo-Garrido, Maria del Carmen |
Universidade da Coruña |
PDE model and numerical methods for pricing renewable energy certificates |
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Baamonde Seoane, María A. |
Universidade da Coruña |
Free boundary SABR model for possible negative rates: computation of the volatility surface |
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Pérez Rodríguez, Soledad |
Universidad de La Laguna |
AMFR-W-methods for parabolic PDEs with mixed derivatives. Application to the Heston problem |
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Gatón, Victor |
Universidad de Valladolid |
A study over the n-dimensional optimal investment model with transaction costs and potential utility |
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