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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
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Program: Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs, November 17 - 21, 2008
Mon, November 17, 2008
09:15-09:30Opening
09:30-10:20Mike GilesMultilevel Monte Carlo path simulation
10:20-10:50Break
10:50-11:40Vlad BallyTubes estimates for Ito processes
11:40-15:00Lunch Break
15:00-15:50Cornelis OosterleeEfficient methods for pricing options with and without early exercise features
15:50-16:20Break
16:20-17:10Benjamin JourdainRobust adaptive variance reduction for normal random vectors
Tue, November 18, 2008
09:30-10:20Christoph SchwabConvergence Rates of sparse tensor approximations for elliptic sPDEs
10:20-10:50Break
10:50-11:40Gilles PagesOptimal quantization for the pricing of American style derivatives
11:40-15:00Lunch Break
15:00-15:50Emmanuel GobetApproximate closed formulas in stochastic volatility models
15:50-16:20Break
16:20-17:10Stefan GeissVariational properties of BSDEs and fractional smoothness
Wed, November 19, 2008
09:30-10:20Peter ForsythA Hamilton Jacobi Bellman Approach to Optimal Trade Execution
10:20-10:50Break
10:50-11:40Bruno BouchardStrong Approximations of BSDEs in a domain
11:40-15:00Lunch Break
15:00-15:50Yves AchdouMean Field Games: Numerical Methods
15:50-16:20Break
16:20-17:10Christoph ReisingerNumerical solution of an SPDE arising in credit modelling
Thu, November 20, 2008
09:30-10:20Arturo Kohatsu-HigaA Semigroup Approach for Weak Approximations with an Application to Infinite Activity Lévy Driven SDEs
10:20-10:50Break
10:50-11:40Enrique ThomannBranching processes in Fluid Mechanics - An application to the Navier-Stokes and LANS-alpha equations
11:40-15:00Lunch Break
15:00-15:50Peter FrizTowards a (rough) pathwise theory of fully non-linear stochastic partial differential equations
15:50-16:20Break
16:20-17:10Andrea PascucciKolmogorov equations and applications to path dependent derivatives
Fri, November 21, 2008
09:30-10:20Josef TeichmannNumerical methods for SPDEs with applications to the HJM equation
10:20-10:50Break
10:50-11:40Edward WaymireSkew Brownian Motion and Applications in Partial Differential Equations with Discontinuous Coefficients

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