F6. Quantitative and computational finance

The topics covered by this session include any  original research and comprehensive review papers in theoretical, quantitative, mathematical, computational, numerical and empirical finance that are concerned with: specification, estimation, computation, simulation, evaluation and forecasting of  financial market models; financial algorithms; Bayesian MCMC models; Generalized method of moments; multivariate conditional, stochastic and realized volatility models; ultra high frequency data; leverage, asymmetric and spillover effects; multi-factors; diffusion processes; spot, options and futures prices; VIX; pricing financial derivatives; modelling  financial derivatives; scaling and switching models; dynamic correlation and covariance models; targeting; stochastic dominance; finite dimensional dependence; quantiles; vine copulas; skew-adjusted multi-fractals; equity index option dynamics; efficient price estimation; stationary, non-stationary and stable volatility; fractional integration and long memory; heterogeneous autoregressive models; vector random coefficient autoregressive models; cointegrated VAR analysis; dynamic models of the variance risk premium; Markov switching models; jumps and co-jumps; cash flow volatility; volatility risk; separating information maximum likelihood estimation; integrated volatility and covariance; micro-market and microstructure noise.