Name
|
Title of the Talk
|
Michele
Leonardo Bianchi
|
The change of Measure Problem for Tempered
Stable Processes |
An Chen
|
Life-Insurance-specific optimal investment: The
impact of stochastic interest rate and shortfall constraint
|
Marcus
Christiansen
|
A sensitivity analysis concept for life
insurance with respect to infinite technical basis parameters
|
Fernanda
D'Ippoliti
|
Option valuation in a stochastic
volatility jump-diffusion model
|
Naoufel
El-Bachir
|
An exact formula for default swaptions
pricing in the SSRD and SSRJD stochastic intensity models
|
Abdelali
Gabih
|
Piecewise deterministic affne intensity
processes in credit risk |
Henrik
Jönsson
|
Convergence of American option rewards
|
Nico
Janicke
|
The estimation of volatility in stochastic
volatility models
|
Jae Hoon
Jho
|
Recursive
Procedure for the Aggregate Distribution of Dependent Variables
|
Stefanie
Kammer
|
Credit Spread Volatility under a First Passage
Time Model
|
Stefan
Kindermann
|
Identification
of the local speed function in a Lévy model for option pricing
|
Andreas
Kolbe
|
Valuation of mortage-backed securities: A
closed-form approximation
|
Jozef
Kollar
|
Mean-variance hedging in stochastic volatility
models driven by Lévy processes
|
Ralf Korn
|
Dividends - Modelling, Option Pricing and
Portfolio Optimization
|
Sophie
Ladoucette
|
Exact and
asymptotic properties for a generic reinsurance layer based on an
ordered claim size
|
Huijuan
Liu
|
Predictive
Distributions for Reserves which Separate True IBNR and IBNER Claims
|
Viktoriya
Masol
|
Pricing
Synthetic CDOs under Lévy models
|
Rosario
Monter
|
Switching
Parisians: a credit risk model with macro-economic states
|
Ostap
Okhrin
|
Determining
the structure and estimation of Hierarchical Archimedean Copulas
|
| Jörg
Philipps |
Pricing of Options in Life and Pension
Insurance Contracts |
Class
Prelle
|
A Renewal Theoretic Result in Portfolio Theory
under Transaction Costs
|
Vadim
Prudnikov
|
Dynamic formation of investment strategies
for Defined Contributions pension plan participants: a new approach
|
Jean-Francois
Renaud
|
Distribution of the dividend payments in a
Lévy risk model
|
Leonardo
Rojas-Nandayapa
|
Methods to estimate the optimal
dividend barrier and the probability of ruin
|
Michael
Schmutz
|
Zonoid
Options
|
Torsten
Schöneborn
|
Competing players in illiquid markets:
Predatory trading vs. liquidity provision
|
Wim
Schoutens
|
Lévy
Processes Jumping into Credit Risk
|
Pauline
Sculli
|
Piecewise deterministic affne intensity
processes in credit risk
|
Nicholas
Sharp
|
A New Prepayment Model: An Occupation-Time
Derivative Approach
|
Maria
Siopacha
|
Weak and strong Taylor methods for numerical
solutions of stochastic differential equations
|
Nathaniel
Smith
|
Methods to estimate the optimal dividend
barrier and the probability of ruin
|
Svitlana
Stotska
|
Pricing of Credit Default Swaps in a Markov
Chain Framework
|
Stefan
Tappe
|
Invariant manifolds for Lévy term
structure models |
Arnout
Van
Messem
|
Bouligand derivatives and robustness of
support vector machines
|
Johannes
Wissel
|
Arbitrage-free Market Models of Option Prices
|
