Martino Grasselli, Head of the Finance Group at De Vinci Research Center, presented an invited talk at the international conference “Mathematics & Finance: Research in Options (RiO)” in Rio de Janeiro. Since 2005, this international conference on mathematical finance has been a key event for the quant community around the world.
Martino Garsselli’s invited talk elaborated on his scientific work on barrier option pricing and showcased the De Vinci Research Center‘s contribution to key fields such as Mathematical Finance, Asset Valuation, Portfolio Management, corporate finance, and so on.
Research in Options 2022: gathering the latest international findings in financial engineering
The conference is organized by IMPA, the most prestigious pure and applied mathematics department in Brazil. The event counts among its organizers important names, including Bruno Dupire (Bloomberg NY), Marco Avellaneda (Courant Institute NY, unfortunately passed away very recently), Raphael Douady (Stony Brook University NY), Jorge Zubelli (Kalifa Univ EA).
After the last two editions of the conference held remotely, it was finally possible to return in presence during the period of August 20-24, 2022, and this year Jorge Zubelli’s 60th birthday was honored.
This is the seventeenth edition of a highly successful meeting that takes profit of the presence of a large number of scientists, mathematicians, and practitioners working on the interface of mathematics and finance. The distinguishing feature of this event is precisely the presence of several practitioners in the room, which allows the speakers to receive important inputs and feedback from people who experience finance in the non-academic world of the banking and consulting industry.
Martino Grasselli invited speaker at RiO 2022
For the past few years, Martino Grasselli, head of the Finance Group at DVRC, has been regularly invited to give a plenary talk at the international conference “Mathematics & Finance: Research in Options (RiO),” a pun that recalls the venue hosting the event, namely Rio de Janeiro.
In 2022, Martino Grasselli presented a paper on barrier option pricing, written with his former PhD Student Andrea Mazzoran and Mark Craddock from the University of Technology in Sydney. The paper laid the theoretical foundation for addressing a problem that is still open in practice, namely while pricing barrier options does not constitute a real issue (at least for simple models), hedging and risk monitoring of these products are extremely difficult, as the presence of a barrier makes the price highly variable. The scientific contribution is mostly mathematical in nature but has immediate practical implications, and numerous examples of direct applications of the result demonstrated in the paper were presented.
“The presence as plenary speaker of researchers from DVRC at this event is extremely important insofar it provides an international visibility to our research center and it confirms the quality achieved by the finance group at Devinci Higher Education”, said Martino Grasselli.