STOCHASTIC TOOLS
IN FINANCE
VIRTUAL ADVANCED COURSE 2
This Advanced Course is part of the Intensive Research Programme on Quantitative Finance

REGISTRATION FEE

♦ 100 €

Advanced Course on Stochastic Tools in Finance (IRP in Quantitative Finance) ONLINE

Sign in
Advanced course / School
From June 07, 2021
to June 11, 2021

The Advanced Course will be held ONLINE via Zoom due to the current COVID-19 epidemiological situation.

Participants will receive the link to the sessions on June 3rd.

Registration deadline 23 / 05 / 2021

Descr​iption

There is a common consensus in considering the work by Louis Bachelier ‘Theorie de l’Spéculation’ as the origin of modern Mathematical Finance. In this dissertation, some of the most common concepts on stochastic analysis were introduced. After this, the development of the quantitative tools used in the financial industry has been closely connected to the development of stochastic methods and concepts. Stochastic volatility models and local volatility models are based on stochastic differential equations and the main tool related to them is Itô calculus. In particular, as an application of Itô’s lemma, the Feynman-Kac formula links option prices with partial differential equations.

Modeling real market data needs to construct adequate new stochastic processes. But once a model is proposed, several problems appear. And once again, this problems need the use of intensive stochastic analysis tools to be solved. In particular, how can we estimate some non-directly observed market parameters (as the volatility)? What is the error in these estimations? How can we efficiently estimate option prices and volatilities? How can we evaluate the sensitivities with respect to the parameters of the model (the Greeks) when the underlying functions are not differentiable?  How can we construct hedging strategies and how can we evaluate the error in these strategies? What are the main factors in the market affecting these errors? How can we optimize all our methodologies in option pricing and hedging?

 

This course is designed to connect the latest developments in stochastic analysis with the main problems appearing in real market practice.

Organiz​ers

Elisa Alòs​​​​​​ ​​Universitat Pompeu Fabra
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Josep Vives ​Universitat de Barcelona-IMUB

Scientific com​mittee

Elisa Alòs​ ​Universitat Pompeu Fabra
​José Manuel Corcuera ​Universitat de Barcelona
​Maria Elvira Mancino ​Università di Firenze
​Cornelis W. Oosterlee ​Delft University of Technology and CWI
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Carlos Vázquez Cendón ​Universidade da Coruña

Speakers

Dariusz Gątarek Systems Research Institute PAS ABSTRACT
Rama Cont University of Oxford

 

List of participants

Click to open list
Elisa Alòs ​​Universitat Pompeu Fabra
Alejandra Cabaña Universitat Autònoma de Barcelona
Rama Cont University of Oxford
​Maria Elvira Mancino ​Università di Firenze
Darius Gatarek Institute PAS
Michel Herrera Universidade da Coruña
Eulalia Nualart Universitat Pompeu Fabra
Luis Ortiz Gracia ​Universitat de Barcelona
Makar Pravosud Universitat Pompeu Fabra
Josep Vives ​Universitat de Barcelona-IMUB
*Updated May 3, 2021

Contributed talks

We have available slots for contributed talks from participants. If you want to give a talk, please select the relevant option during the registration process.
Application deadline is May 9, 2021 
Resolutions will be sent before May 18, 2021

 

For inquiries about the program please contact the research programs coordinator Ms. Núria Hernández at nhernandez@crm.cat​​