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Veranstaltungskalender der Bergischen Universität Wuppertal

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1st German-Portuguese-Slovakian Mini-Workshop on "Novel Methods in Computational Finance"

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Kategorie: Workshop
Termin Kategorie Veranstaltung Ort
Do12Dez
14:15 Uhr -
17:45 Uhr
Kategorie: Workshop

1st German-Portuguese-Slovakian Mini-Workshop on "Novel Methods in Computational Finance"

Scientists from Lisbon, Bratislava and Wuppertal

Campus Grifflenberg, Hörsaal 5 (Gebäude G, Ebene 10, Raum 07), Gaußstr. 20

1st German-Portuguese-Slovakian Mini-Workshop on "Novel Methods in Computational Finance"

Prof. Dr. Matthias Ehrhardt

14:15 Daniel Sevcovic (Comenius University Bratislava) Comparison of numerical and analytical approximations of the early exercise boundary for the American put option

14:45 Michelle Muniz (University of Wuppertal) Using stochastic Lie group methods to approximate correlation matrices in financial markets

15:15 Beatriz Leal (ISEG Lisbon) Numerical methods for fractional in time parabolic equations: A first approach.

15:45 - 16:15 Coffee Break / Discussion Round

16:15 Anna Clevenhaus (University of Wuppertal) Pricing American Options with an adaptive Penalization Strategy and the Combination Technique

16:45 Francisco Fonseca (ISEG Lisbon) Fractional diffusion models and option pricing in jump models

17:15 Lorenc Kapllani (University of Wuppertal) A Multistep Scheme to solve Backward Stochastic Differential Equations for Option Pricing on GPUs

17:45 End of Workshop / Discussion Round