Computational methods for finance and energy markets

MS40	Computational methods for finance and energy markets
Organizers	M. Ehrhardt, E. J. W. ter Maten	Abstract

MS40-I	Tuesday, 14th June, 11:45-13:45
	Room: Aula 3	Chair: E. J. W. ter Maten
11:45	On an efficient one and multiple time-step Monte Carlo simulation of the SABR model
	A. Leitao, L. A. Grzelak, C. W. Oosterlee
12:15	Credit value adjustment, wrong way risk and Bermudan options
	Q. Feng, C. W. Oosterlee
12:45	Model risk in gas storage valuation: Joint calibration-estimation risk measurement
	G. Kiely, M. Cummins, B. Murhpy
13:15	Uncertainty quantification and Heston model
	M. Suárez-Taboada, J. W. S. Witteveen, C. W. Oosterlee, L. A. Grzelak (NEW)

MS40-II	Wednesday, 15th June, 11:45-13:45
	Room: Aula 3	Chair: M. Cummins
11:45	Developing a tool-chain for computational finance in a regulated universe
	M. Aichinger, A. Binder, M. Schwaiger
12:15	The COS method for option valuation under the SABR dynamics
	Z. van der Have, C. W. Oosterlee
12:45	Optimization of hydro storage systems and indifference pricing of power contracts
	M. Schürle, R. Kovacevic, F. Paraschiv
13:15	Estimation and application of fully parametric multifactor quantile regression with dynamic coefficients
	F. Paraschiv, D. Bunn, S. Westgaard

MS40-III	Thursday, 16th June, 11:45-13:45
	Room: Aula 3	Chair: C. Hendricks
11:45	Parallel stratified regression Monte-Carlo scheme for BSDEs with applications in finance
	E. Gobet, J. G. López-Salas, P. Turkedjiev, C. Vázquez
12:15	Hybrid finite difference / pseudospectral methods for stochastic volatility models
	C. Hendricks, M. Ehrhardt, M. Günther
12:45	Stochastic volatility models calibration with Model Order Reduction
	J.P. Silva, M. Günther, E.Jan W. ter Maten, Matthias Ehrhardt (NEW)
12:45	Uncertainty quantification and Heston model
	M. Suárez-Taboada, J. W. S. Witteveen, C. W. Oosterlee, L. A. Grzelak (Moved to Monday, MS40-I)
13:15	PDE modeling and numerical methods for swing option pricing in electricity markets
	M. C. Calvo-Garrido, M. Ehrhardt, C. Vázquez

The 19th European Conference on Mathematics for Industry