Description

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This was the third workshop of the PRISEMA Project (Portugal-Germany Bilateral Research Cooperation project funded by FCT and DAAD). Topics 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.

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Speakers:

Matthias Ehrhardt, Julia Ackermann, Karel Nana, Daniel Cezar, João Guerra, Gonçalo Fonseca, Miguel Falcão, Phuong Nguyen.

Organizers:

João M E Guerra (Universidade de Lisboa)