Study Week
 <i>Program</i><i>of the week</i>
 <i>Program</i><i>of the week</i>
  • © 2022 ABC-EU-XVA Project (H2020-MSCA-ITN-2018 Grant ID 813261) 0

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
Thursday 21 April

- 9:30 Working on problems in each group
- 13:30 Lunch time at CITIC
- 15:00-18:00 working on problems
- Supervisory and training boards meetings
- Dinner downtown
Friday 22 April

- 9:30 Working of problems and presentation of results
- 13:30-16:00 Lunch time
- 16:00 Presentation of results.
- 18:00 Closing.

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