II Workshop "Financial Mathematics - Models and Statistical Methods"

The II Workshop "Financial Mathematics - Models and Statistical Methods" will take place at Faculty of Science and Technology of the New University of Lisbon, building VII, Seminars room, (2nd floor)September 15, 2017.


9:00 Opening ceremony


Morning Session

• 09:30 Albert Shiryaev: [STOCHASTIC DISORDER: on the Quickest Detection of Spontaneously  Appearing Effects]


• 11:00 Coffee Break and discussions


• 11:30 João Beleza (ISEL): [Bonds Historical Simulation Value at Risk]

• 11:50 João Pedro Nunes (ISCTE): [Early Exercise Boundaries for American-Style Knock-Out Options (joint paper with João Pedro Ruas e José Carlos Dias)]

• 12:10 Gonçalo Faria (Universidade Católica do Porto): [The equity risk premium and the low frequency of the term spread]


• 12:30 José Carlos Dias (ISCTE): [Valuation of lookback options and turbo warrants on defaultable stocks (joint paper with João Pedro Nunes)]


• 13:00 Lunch and discussions


Afternoon Session

• 14:30 Tomas Bjork: [On time inconsistent control. Theory and applications (joint paper with Agatah Murgoci and Mariana Khapko)]


• 15:30 Coffee Break and discussions


• 16:00 Raquel M. Gaspar (ISEG/UL): [Change of numeraire with arbitrary process (joint paper with Tomas Bjork and Carlos Veiga)]

• 16:20 Nuno Azevedo (Banco de Portugal): [Who would invest only in the risk-free asset?]

• 16:40 Pedro Prazeres (ISCTE): [Pricing European-style Barrier Options under Stochastic Interest Rates]


• 17:00 Coffee Break and discussions


• 17:30 José Faias (Universidade Católica): [Predicting Equity Risk Premium Using the Smooth Cross-Sectional Tail Risk]

• 17:50 Pedro Mota (FCT/UNL): [Option pricing with regimes]


• 18:10 Closing ceremony


Organizers: Manuel L. Esquível, Raquel M. Gaspar, Marta Faias