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Mohammed MIRI Participation To Workshop On Financial Modelling With Jump Processes - Sep 06

 

Pricing Partners Derivatives-Pricing-Analytics-Independent-Valuation    Pricing Partners amamef-advanced mathematical-methods-for-finance
 

Mohammed MIRI, quantitative analyst at Pricing Partners, has recently presented his ongoing research on "Predictor-Corrector" methods dedicated to PIDE (Partial Integrated Differential Equation) and Monte Carlo during the "Workshop on Financial Modelling with Jump Processes" conference. 

 

The conference was organised by Mr RAMA CONT and CHRISTOPH SCHWAB at Ecole Polytechnique, Palaiseau, France on September 6th, 7th and 8th, 2006. 

In the last decade we have witnessed the emergence of a wide interest in modeling price behavior in financial markets using stochastic processes with discontinuous trajectories. Models based on Lévy processes and, more recently, more general discontinuous Markov processes, have been the focus of a quickly growing research literature, but have also made their way into applications, leading to new challenges in terms of numerical methods, simulation and estimation. A large part of this research has been going on in Europe. We also note that many young researchers, whose research deserves to be known to a wider audience, have been working on this topic. The goal of this 3 day workshop will be to gather researchers...

http://www.fiquam.polytechnique.fr/AMAMEF/ 


 

About Pricing Partners

Founded by professionals of the trading floor industry, Pricing Partners provides software solutions and consulting services for derivatives independent valuation. Pricing Partners proposes Price-it®, an independent analytic library solution to price complex financial products on different markets (IR, Equity, Credit, Inflation, Hybrids, Commodities and FX). 

The Pricing Partners solution enables users to comply with accounting standards evolution as well as regulation evolutions in a capital market industry related to independent valuation issues of OTC products. Price-it® principally targets asset-managers, financial departments of large banks, dealing rooms and audit firms. The company is based in Paris.