Programof the week

Tuesday 19 April

• 11:30 Welcome and Open Session with Prof. Salvador Naya, Vice-rector of Scientific Policy, Research and Transfer of UDC; Prof. Manuel Penedo, Director of CITIC; and Prof. Carlos Vázquez, Main organizer of Study Week with Financial Industry at CITIC/UDC.
• 11:55 Presentations of the ABC-EU-XVA ESRs
• 12:00 First talk, Mr. Luis Souto Arias, "Valuation of Bermudan options with self-exciting jump-diffusions using the COS method"
• 12:30 Second talk: Mr. Kristoffer Andersson, "Convergence of a robust deep FBSDE method for stochastic control"
• 13:00 Third talk: Ms. Roberta Simonella, "XVA in a multi-currency setting with stochastic FX rates"
• 13:45 Lunch break
• 15:30 Fourth talk: Mr. Felix Wolf, "Efficient valuation of non-linear products for xVA"
• 16:00 Fifth talk: Mr. Kevin Kamm, "The stochastic Magnus expansion for SPDEs with two spatial variables"
• 16:30 Coffee break
• 17:00 Presentation of the first industrial problem: "Implied volatility surfaces in time, learned by a neural network"
• 17:30 Presentation of the second industrial problem: "On Fixing and Calibrating of the Volatility Formulas"
• 18:00 Presentation of the third industrial problem: "Regulatory and economic capital requirements related to credit risk"
• 18:30 End of first day
• Social dinner

Wednesday 20 April

• 10:00 Formation of the groups for working on problems
• 10:30 Working on problems in each group
• 13:30 Lunch time
• 15:00 Working on problems in each group
• 18:00 End of the day