Contributed Talks

Tuesday, Dec. 12, 4:30p - 6p

4:30p - 4:50p Valentin Tissot-Daguette (Princeton University, Bloomberg Ph.D Fellow) 

"Itô Calculus for occupied processes: going with the flow"

4:50p - 5:10p Guido Gazzani (École des Ponts Paris Tech CERMICS Lab)

"Pricing and calibration of path-dependent volatily models"

5:20p - 5:40p Florent Rouxelin (Florida International University)

"Are Bitcoins futures options a cheaper way to play the Bitcoin Lottery?"

5:40p - 6:00p Eduardo Fraga L. de Melo (FGV EMAp, SUSEP, UERJ).

"Mortality forecasting of small pension fund population with Gaussian processes in a sub population framework"

Poster Session

Monday, Dec. 11, 3:30p

Taisa Calvette (FGV EMAp)

"Optimal timing in environmental policy under of optimal carbon capture"

Caio Lins (FGV EMAp)

"Nonparametric instrumental variable regression through stocastic approximate gradient descendent"

Felipe Antunes (FGV EMAp)

"A mean field game model for educational choices"

Zeyu Cao (Centre d'économie de la Sorbonne)

"Yield curve modeling and infinite dimensional stocasthic"

Nelson Castro Zarate (Market Risk Quant Universidad Peruana, Cayetano Heredia, Banco de Crédito del Perú)

"Analyzing rate moves magnitude with respect to levels in latin american Sovereign Bonds"

Matheus Lima-Cornejo (Department of Economics, Univeristy of Verona)

"Lévy-driven asset pricing models"

Siqiao Zhao (Centre d'économie de la Sorbonne)

"Using Machine-Learning techniques to enhance the portfolio construction based on PolyModel Theory"

Vinicio Almeida (Universidade Federal do Rio Grande do Norte)

"Observations and inferences about the fixed cost in protective put strategy"