Risk and Trading Operations: Recent Research

  • Date: 05/28/2019
Speaker(s):
Alexis Arrigoni
Energy and Fuel-switching Pricing using Levy Processes-An Application to Albertan Data
 
Qi Guo
Application of Hawkes Processes in High Frequency Trading 
 
Qiyue He
Application of Hawkes Processes in High Frequency Trading
 
Aiden Huffman
Application of Hawkes Processes in High Frequency Trading
 
Yi (Ivy) Zhang
Option Pricing with Semi-Markov Switching Levy Processes 
Location: 

Calgary, Alberta

Description: 

Quantitative finance plays a key role in risk management, particularly in the areas of price analysis, position taking and market understanding. Join us for three presentations by University of Calgary graduate students on how leading-edge research can be applied to business operations and provide valuable insight to Alberta companies.

 

 

Topics to be addressed in three deep-dive discussions include:

 

• Energy- and Fuel-Switching Pricing: an Approach to Carbon Pricing

• Applying Hawkes Processes in High-Frequency Trading

• Option Pricing with Semi-Markov Switching Levy Processes

Register here.

 

Register here

Schedule: 

Date:Tuesday, May 28, 2019
Time: 11:00am-2:00pm
Location: SAS Canada, 517 10th Ave SW, Suite 850, Calgary