2017
Upcoming: University of Liverpool, University of Zurich, CFE London.
UCL [5]; 3rd Empirical Finance Workshop ESSEC [5]; LSE [5]; EPFL [7].
2016
AFA San Francisco [6]; Kent Business School [5], Toulouse School of Economics [5], ITAM Mexico [6], EFA Oslo [6], Rotman School of Management Toronto [5], University of Montreal [5], CFE Seville [5], Paris Finance Meetings [5].
2015
"Mathematical Finance beyond classical models" Workshop, ETH Zurich; 7th General AMaMeF and Swissquote Conference 2015, EPFL Lausanne.
Berlin-Princeton-Singapore Workshop, NUS Singapore [4]; Worcester Polytechnic Institute [4]; ORFE, Princeton [4]; Queen Mary University of London [6]; Saïd Business School, Oxford [6]; IESEG, Paris [6]; KU Leuven [6].
2014
WPI Stochastic Analysis Workshop, Worcester [4]; Stochastic Modeling LPMA Workshop, Paris [4]; Université Laval, Quebec [6]; Bendheim Center Seminar, Princeton [6]; ORFE Financial Mathematics Seminar, Princeton [4]; 8th World Congress of the Bachelier Society, Brussels [6]; HEC Montreal GERAD Seminar, Montreal [5]; Mathematical Finance Days, Montreal [6]; 8th Oxford-Princeton Workshop, Oxford [6]; EPFL Brown Bag Seminar, Lausanne [6].
2013
EFA Cambridge [5*,4].
2012
5th International Conference of the ERCIM WG on Computing & Statistics, Oviedo [5]; ETH-UZH Finance and Mathematics Doctoral Seminar, Zurich [4]; 7th World Congress of the Bachelier Finance Society, Sydney [4].
2010
Annual Swiss Doctoral Workshop in Finance, Gerzensee; Industrial-Academic Forum on Operational Risk, Fields Institute, Toronto [1].
2008
Risk Day 2008, ETH Zurich [1].
Legend
[7] Asset pricing with linear stochastic volatility. Work-in-progress.
[6] Pricing of Idiosyncratic Equity and Variance Risks. Working Paper.
[5] Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold. Working Paper.
[4] Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
[3] A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula. Working Paper.
[2] Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Farkas, 2016, Journal of Computational Finance, 20(2), 39–66.
[1] Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, 2009, with Donato Abbate and Walter Farkas. Journal of Operational Risk, 4(3).
* Presented by coauthor
Upcoming: University of Liverpool, University of Zurich, CFE London.
UCL [5]; 3rd Empirical Finance Workshop ESSEC [5]; LSE [5]; EPFL [7].
2016
AFA San Francisco [6]; Kent Business School [5], Toulouse School of Economics [5], ITAM Mexico [6], EFA Oslo [6], Rotman School of Management Toronto [5], University of Montreal [5], CFE Seville [5], Paris Finance Meetings [5].
2015
"Mathematical Finance beyond classical models" Workshop, ETH Zurich; 7th General AMaMeF and Swissquote Conference 2015, EPFL Lausanne.
Berlin-Princeton-Singapore Workshop, NUS Singapore [4]; Worcester Polytechnic Institute [4]; ORFE, Princeton [4]; Queen Mary University of London [6]; Saïd Business School, Oxford [6]; IESEG, Paris [6]; KU Leuven [6].
2014
WPI Stochastic Analysis Workshop, Worcester [4]; Stochastic Modeling LPMA Workshop, Paris [4]; Université Laval, Quebec [6]; Bendheim Center Seminar, Princeton [6]; ORFE Financial Mathematics Seminar, Princeton [4]; 8th World Congress of the Bachelier Society, Brussels [6]; HEC Montreal GERAD Seminar, Montreal [5]; Mathematical Finance Days, Montreal [6]; 8th Oxford-Princeton Workshop, Oxford [6]; EPFL Brown Bag Seminar, Lausanne [6].
2013
EFA Cambridge [5*,4].
2012
5th International Conference of the ERCIM WG on Computing & Statistics, Oviedo [5]; ETH-UZH Finance and Mathematics Doctoral Seminar, Zurich [4]; 7th World Congress of the Bachelier Finance Society, Sydney [4].
2010
Annual Swiss Doctoral Workshop in Finance, Gerzensee; Industrial-Academic Forum on Operational Risk, Fields Institute, Toronto [1].
2008
Risk Day 2008, ETH Zurich [1].
Legend
[7] Asset pricing with linear stochastic volatility. Work-in-progress.
[6] Pricing of Idiosyncratic Equity and Variance Risks. Working Paper.
[5] Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold. Working Paper.
[4] Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
[3] A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula. Working Paper.
[2] Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Farkas, 2016, Journal of Computational Finance, 20(2), 39–66.
[1] Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, 2009, with Donato Abbate and Walter Farkas. Journal of Operational Risk, 4(3).
* Presented by coauthor
