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New: Maths-Fi presents quantize.maths-fi.com a website dedicated to Optimization algorithms and numerical probability in financeVector quantization has been initially developed in the early 50's. The aim was to optimize the transmission of stationary signals. In this context, quantization was a process of signal discretization.
A large part of this work has been done in Bell laboratories.
Quantization methods now have their place in numerical probability, especially for solving problems arising in mathematical finance.
The research and the development in the field of vector quantization (finite-dimensional signals) continues today, mainly in connection with applications in signal processing and numerical probabilities.
The explosion of computing capabilities in recent decades has both been a motivation and a driving force behind the development of such numerical methods. More information, downloads, publications here
Frontières en Finance
R. Cont (CNRS - Columbia University)-Y.Braouezec (IESEG School of Management)
ont le plaisir de vous annoncer le prochain Petit Déjeuner de la Finance à l'Institut Louis Bachelier (Paris - métro bourse)
mercredi 15 févier 2012, de 8h à 9h30 à Paris
Deadline inscription : 10 février 2012.
Présentation de Andrea Pallavicini (Banca IMI) Credit Value Adjustment in presence of margin requirements and funding costs
Abstract:
We describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and include the common market practices suggested by the ISDA documentation without assuming restrictive constraints on margining procedures and close-out netting rules.
Plus d'informations
S'inscrire ici inscription@frontiers-in-finance.com
Universite Paris Diderot - Quantitative and Statistical Finance - 25th birthday of the master program "M2 Modélisation Aléatoire"
March 1-2, 2012 - Paris
Location: University Paris 7 Diderot, Site Paris Rive Gauche, Amphithéâtre Buffon, Paris
This two-day workshop aims to bring together the academics and practitioners at the forefront of quantitative, statistical and computational finance, and to discuss the recent progress in these fields.
A special session will be dedicated to the 25th birthday of the master program 'M2 Modélisation Aléatoire' (ex-DEA Laure Elie) in Paris-Diderot University, joint with Paris Sorbonne University, ENSAE and Télécom Paris.
The participation is free but the registration is mandatory (registration deadline: January 31, 2012.
More information...
Math.unipd.itConferences, summer schools, workshops, etc... In Italy and in the rest of the world.
Click here.
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