Description

Third Workshop of the PRISEMA Project (Portugal-Germany Bilateral Research Cooperation project funded by FCT and DAAD)

Topics to be discussed: Port-Hamiltonian systems in quantitative finance, optimal trade execution with stochastic cross-effects, detecting asset price bubbles using artificial neural networks, energy trading, jump-diffusion models for pricing emissions certificates, forward-backward stochastic differential equations and applications to carbon emissions modelling, rough volatility modelling and pricing under the rBergomi model, probability of Parisian ruin with reinsurance.

Program (June 24, 2025)

Morning Session - Room Auditório 3 (2nd Floor, Quelhas Building, ISEG)

10:30-11:00 - Matthias Ehrhardt “Port-Hamiltonian Systems in Quantitative Finance”

11:00-11:30 - Julia Ackermann “Optimal trade execution with stochastic cross-effects”

11:30-12:00 - Karel Nana “Detecting asset price bubbles using artificial neural networks”

12:00-12:30 - Daniel Cezar “Liquidity and counterparty credit risk in energy trading”

12:30 - 14:30: Lunch



Afternoon Session – Room 104 (1st Floor, F2 Building, ISEG)

14:30-15:00 - João Guerra, “VIX pricing in the rBergomi model under a stochastic change of measure”

15:30-16:00 - Gonçalo Fonseca, “Forward-Backward SDE’s with jumps and emissions modelling”

16:00-16:30 - Miguel Falcão, “Jump-diffusion modelling in emissions markets through an integro-differential equation”

16:00-16:30 - Phuong Nguyen, “New approach to minimize probability of Parisian ruin with reinsurance”