Program for stream Numerical and Simulation Methods in Finance

MC-34: Numerical and Simulation Methods in Finance I
Stream: Numerical and Simulation Methods in Finance
Room: SOUTH BUILDING UV S113 (building 0)
Chair(s): Gordon Dash

• Practical considerations for credit price optimisation
  Marius Smuts, Fanie (SE) Terblanche
• Forecasting crude oil futures prices using global macroeconomic news sentiment
  Paresh Date, Zryan Sadik, Gautam Mitra
• Hedging home price risks
  William Mingyan Cheung, Li Bao, Stephan Unger
• Modeling statewide 2018 tax-induced regime shifts through artificial intelligence and big data analytics
  Nina Kajiji, Gordon Dash, Domenic Vonella

MD-34: Numerical and Simulation Methods in Finance II
Stream: Numerical and Simulation Methods in Finance
Room: SOUTH BUILDING UV S113 (building 0)
Chair(s): Ana Monteiro, Ayşe Mutlu Derya

• An agent-based model for Korean stock market - KOSPI 200 and interactions among investors
  Chansoo Kim, Kyung O Baek, Haneol Cho
• Roster design for complex queue systems in banking
  Federico Trigos, Alan Vazquez, Leopoldo Cárdenas-Barrón
• Kernel density estimation: local cubic polynomial approach with non-arbitrage constraints
  Ana Monteiro, Antonio Santos