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Croatian Quants Day, 17 April 2009
After our first meeting was met with a very warm reception, we
decided to organize yet another CQD. The new workshop looks almost necessary in the time of the ongoing and
unprecedented financial crisis. It is certainly interesting to see that
some of the fingers were pointed at misuse and misunderstanding of the
quantitative methods in finance. At the same time, our
regional financial industry struggles with its own problems trying to comply
with all the new regulations and the turmoil on the world financial markets.
The
organizer intends to provide an arena for all the
practitioners and researchers of quantitative finance in the region, to
discuss the benefits and drawbacks of the different approaches,
principles and
practice. Also the students of our Master program in Financial
Mathematics are
encouraged to participate. Hence, we invite speakers with different
backgrounds
and each speaker is expected to give a talk followed by a discussion.
The
program this year consists of 4 to 5 talks given by eminent people from the
international
financial industry and academia, and 5 to 7 slightly shorter talks
given by
people working in
The
main organizer of the meeting is Mathematics Department –
Plenary
speakers :
Bent Jesper Christensen , Aarhus University, Denmark :
Volatility Persistence and Asset Market Fluctuations
Andreas E. Kyprianou , University of Bath, UK : Smooth and continuous fit principles for American options
Daniel Straumann , Riskmetrics, USA :
The incremental risk charge in Basel II
Peter Tankov , Centre de Mathematiques Appliques, Ecole Polytechnique, France :
Managing, pricing and hedging jump risk: from guaranteed funds to gap options
Invited
speakers (local):
Siniša Gjerek ,
Aureus Invest,
Denis Lukić ,
HPB,
Mario Varjačić ,
HNB,
