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Regular version of the site

Conferences

Laboratory members take part in various conferences and other scientific events.

2018

  • International Congress of Actuaries 2018, Berlin, June 4-8, 2018.
    Smirnov S., Lapshin V., Kurbangaleev M., Zanochkin A. A Robust Modification Of The Eiopa Standard For Risk Free Term Structure Of Interest Rates Based On Smith-wilson Method.
  • XIX April International Academic Conference On Economic and Social Development, Moscow, April 13, 2018.
    M. Kurbangaleev, Z. Selezneva.  Information capacity of the aggregated credit scores.
  • "Tikhonov readings" scientific conference, Moscow, October 29 - November 2, 2018.
    Smirnov S., Andreev N. A guaranteed deterministic approach to the portfolio investment and superhedging problems.
  • "Expert estimates and data analysis" research seminar at V.A. Trapeznikov Institute of control sciences, Moscow, March 14, 2018.
    Smirnov S., Kurbangaleev M. Aggregation of credit ratings as a consensus problem for expert estimates.


2017

  • Perm Winter School, Perm, February 3-4, 2017.
    N. Andreev. Worst-Case Approach to Strategic Optimal Portfolio Selection under transaction Costs and Trading Limits.
  • Perm Winter School, Perm, February 3-4, 2017.
    V. Lapshin.Individual Credit Assesment.
  • Perm Winter School, Perm, February 3-4, 2017.
    M. Kurbangaleev. Aggregation of individual credit assessments as a problem of consensus in expert system.
  • XVIII April International Academic Conference On Economic and Social Development. Moscow, April 11-14, 2017.
     N. Andreev. Worst-Case Approach to the Discrete-Time Stochastic Optimal Control with Application to the Portfolio Selection Problem.


2016

  • 7th International Academic Conference for Students and Graduate Students ‘Statistical Methods for Analysis of the Economy and Society’, Moscow, May 17-20, 2016.
    N. Andreev, A. Byachkova. Statistical analysis of the Brinson approach to the portfolio attribution problem under transaction costs.
  • III International Conference «Modern Econometric Tools and Applications -META2016», Nizhny Novgorod, September 22-24, 2016.
    A. Byachkova, N. Andreev. The analysis of portfolio efficiency according to the Brinson approach including transaction costs.
  • Perm Winter School, Perm, February 4, 2016.
    V. Lapshin. Art of Yield Curve Modelling: Joint Consistency of Russian Government Bond Quotes.
  • XII Russia Risk Conference, Moscow, October 20, 2016.
    V. Lapshin. Bond market liquidity: quote inconsistency measure (with applications).
  • "Mathematics and Interdisciplinary Research - 2016" national conference, Perm, May 16-20, 2016.
    N. Andreev, A. Byachkova. Portfolio performance attribution under the Brinson approach in presence of transaction costs.


2015

  • Roundtable "Assessing liquidity of securities under Basel III. Factoring liquidity into calculation of market risk in line with Bank of Russia’s new requirements", Moscow, December 15, 2015.
    Andreev N. "Implicit transaction costs and liquidity aspects in order driven market".
  • XXII International Conference "Lomonosov-2015", Moscow, April 13-17, 2015
    Andreev N. "Optimal portfolio selection under unspecified price dynamic
  • European Bond Commission Conference, 2015, Smirnov S.
  • Perm Winter School, 2015, Kurbangaleev M., Lapshin V.

2014 

  • 57th MIPT Scientific Conference with international participation "Actual Problems of Fundamental and Applied Sciences in the Field of Physics", International Youth Scientific Conference “Actual Problems of Fundamental and Applied Sciences in the Modern Information Society”, Moscow, November  24-29, 2014
    Andreev N. "Portfolio selection for unspecified price dynamics under transaction costs".


2013

  • Scientific practical conference "Perm Winter School", Perm, February 5-7, 2013
    V. Lapshin, Financial Instruments.
  • Scientific practical conference "Perm Winter School", Perm, February 5-7, 2013
    M. Kurbangaleev, Issues of margin requirements assessment for central clearing of OTC derivatives.
  • Scientific practical conference "Perm Winter School", Perm, February 5-7, 2013
    N. Andreev, Mathematical models of price impact and optimal portfolio management in illiquid markets.
  • Sixth annual conference on the reconstruction of European historical dances XIII-XX centuries. St. Petersburg, 8 - 10 March 2013
    Lapshin V. "Contrdance in Europe, the second half of the XVIII century: a review of the sources and the main trends".
  • XX International Conference "Lomonosov-2013". Moscow, April 9-12, 2013
    Andreev N. "Numerical study of the book limit orders to the market shares of movable applications".

2012 

  • X Russian Bond Congress, St. Petersburg, December 6 - 7, 2012
    Lapshin V. "The integration of credit and market risk models"
  • Russia Risk Conference, Moscow,  November 20 - 21, 2012
    Lapshin V. "The integration of credit risk and market risk models"
  • International Scientific Conference "Lomonosov Readings - 2012", Moscow,  April 16-25, 2012
    Andreev N., Lapshin V. "Stochastic dynamics model of the limit orders book in the optimal portfolio liquidation"
  • Scientific practical conference "Perm Winter School". Perm,  Fabruary 2 - 4, 2012
    V. Lapshin, Joint non-parametric approach to credit and interest rate modeling.
  • Scientific practical conference "Perm Winter School". Perm,  Fabruary 2 - 4, 2012
    N. Andreev, Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data.

 

 

 
 

 

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