Risk & Derivatives.
Avellaneda, Marco, 1955-
Risk & Derivatives. Special Techniques for Special Events (part Ia)/ Bruno Dupire. Trading VIX Derivatives (part Ib)/ Marco Avellaneda. Macroeconomic modelling with heterogeneous agents: the master equation approach (part IIa)/ Matheus Grasselli. Bounds for VIX Futures given S&P 500 smiles (part IIb)/ Julien Guyon. Functional Itô Calculus, Path-Dependence and the Computational of Greeks (part IIIa)/ Yuri Saporito. Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer's Recursion (part IIIb)/ Uwe Schmock. Bayesian modelling and allocation of insurance risks (part IIIc)/ Rodrigo Targino. - Rio de Janeiro: IMPA, 2016. - video online
Short Course (parts I, II & III) - 7 Talks (Ia, Ib, IIa, IIb, IIIa, IIIb, IIIc)
Matematica.
cs
Risk & Derivatives. Special Techniques for Special Events (part Ia)/ Bruno Dupire. Trading VIX Derivatives (part Ib)/ Marco Avellaneda. Macroeconomic modelling with heterogeneous agents: the master equation approach (part IIa)/ Matheus Grasselli. Bounds for VIX Futures given S&P 500 smiles (part IIb)/ Julien Guyon. Functional Itô Calculus, Path-Dependence and the Computational of Greeks (part IIIa)/ Yuri Saporito. Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer's Recursion (part IIIb)/ Uwe Schmock. Bayesian modelling and allocation of insurance risks (part IIIc)/ Rodrigo Targino. - Rio de Janeiro: IMPA, 2016. - video online
Short Course (parts I, II & III) - 7 Talks (Ia, Ib, IIa, IIb, IIIa, IIIb, IIIc)
Matematica.
cs