This Advanced Course is part of the Intensive Research Programme on Quantitative Finance


♦ 100 €

* Registration is free for all affiliated researchers at the Centre de Recerca Matemàtica (CRM). Please click on the Reservation option before finishing the process.

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

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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 26 / 05 / 2021


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.


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


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


List of participants

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Mishari Al Foraih Kuwait University
Elisa Alòs ​​Universitat Pompeu Fabra
Cristina Arribas Francisco Universidad Complutense de Madrid
Berat Bayram Middle East Technical University
Alessandro Bondi Scuola Normale Superiore di Pisa
Laurent Bouvier Pierre-and-Marie-Curie University
Alejandra Cabaña Universitat Autònoma de Barcelona
Francesco Campigli Scuola Normale Superiore di Pisa
Dyson Chiweshe University of Zimbabwe
Ivan Edigarev Moscow Institute of Physics and Technology
​Maria Elvira Mancino ​Università di Firenze
Ivan Gallo University of L’Aquila
Gabriel Garcia University of Oxford
David Garcia Lorite Caixa Bank
Darius Gatarek Institute PAS
Adrián Hinojosa Calleja Universitat de Barcelona
Cyril Izuchukwu Udeani Comenius University in Bratislava
Ajay Kumar Verma Not provided
Roberto Machado Velho Federal University of Rio Grande do Sul
Zorozo Makumbe Universitat de Barcelona
Tommaso Mariotti Scuola Normale Superiore di Pisa
Ana Merkle University of Belgrade
Vincent Mwasi University of Edinburgh
Hang Nguyen University of New South Wales
Eulalia Nualart Universitat Pompeu Fabra
Jesus Ocariz Gallego Universidad Autónoma de Madrid
Luis Ortiz Gracia ​Universitat de Barcelona
Makar Pravosud Universidade da Coruña
Makar Pravosud Universitat Pompeu Fabra
Josep Vives ​Universitat de Barcelona-IMUB
*Updated June 7, 2021


In order to increase the number of young researchers participating in this activity, a limited number of registration grants are offered by Natixis. Priority will be given to doctoral students. In case applications exceed the number of available grants, Natixis will give preference to French students.

To apply, you must complete the registration process, please go to SIGN IN, indicate in the OTHERS section that you wish to apply for a registration grant, you will be asked to attach your CV. Please click on the Reservation option before finishing the process.

Application deadline is May 26, 2021 
Resolutions will be sent by May 28, 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 23, 2021 
Resolutions will be sent by May 28, 2021


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