| Discrete-time hedging, basis risk, and covariance-dependent pricing kernels Maciej Augustyniak Department of Mathematics and Statistics, University of Montreal |
| The Bachelier implied volatility: A Malliavin calculus approach Elisa Alos Department of Economics and Business, University of Pompeu Fabra, Barcelona |
| Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR(∞) processes and applications Zhenyu Cui School of Business, Stevens Institute of Technology, Hoboken NJ |
| Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing Jean-Phillipe Aguilar Head of Pricing Models Audit, Société Générale, Paris La Defense |
| Risk-aware Trading Portfolio Optimization Marco Bianchetti and Fabio Vitale Intesa Sanpaolo and CENTAI, Milan and Turin, Italy |
| New runs-based approach to testing value at risk forecasts Marta Małecka Department of Statistical Methods, University of Łódź, Poland |
| Beyond Traditional Models: Assessing the Role of LSTM Networks in Volatility Prediction Massimo Guidolin Baffi Carefin Center, Bocconi University, Milan |
| Multi-hypothesis prediction for portfolio optimization: A structured ensemble learning approach to risk diversification Alejandro Rodriguez Dominguez Director of Quantitative Analysis and Artificial Intelligence, Miralta Finance Bank, Madrid |
| Option Pricing with a Compound CARMA(p,q)-Hawkes Lorenzo Mercuri Department of Economics, Management and Quantitative Methods, University of Milan |
| A general framework for pricing and hedging under local viability Huy Chau Department of Mathematics, University of Manchester |
| Robust Bayesian Portfolio Optimization Carlos Andres Zapata Quimbayo ODEON, Universidad Externado de Colombia, Bogota |
| Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models Josep Vives Department of Economical, Financial and Actuarial Mathematics, University of Barcelona |
| Multivariate affine GARCH in portfolio optimization. Analytical solutions and applications Marcos Escobar-Anel Department of Statistics & Actuarial Sciences, University of Western Ontario, London, Canada |