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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