Mon, October 20, 2008 |
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09:15-09:30 | Opening |
09:30-10:20 | Christian Hipp | Control for the Lundberg model, with emphasis on optimal reinsurance |
10:20-10:50 | Break |
10:50-11:40 | Jostein Paulsen | Optimal dividend payments and reinvestments of diffusion processes with both fixed and proportional costs |
11:40-15:00 | Lunch Break |
15:00-15:50 | Bernt Øksendal | Optimal control with partial information for stochastic Volterra equations |
15:50-16:20 | Break |
16:20-17:10 | Agnès Sulem | Maximum Principles for optimal control of forward-backward stochastic differential equations with jumps |
Tue, October 21, 2008 |
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09:30-10:20 | Nicole Bäuerle | MDP Algorithms for Portfolio Optimization Problems in pure Jump Markets |
10:20-10:50 | Break |
10:50-11:40 | Hanspeter Schmidli | Controlled Risk Processes and Large Claims |
11:40-15:00 | Lunch Break |
15:00-15:50 | Manfred Schäl | Non-dangerous risky investments for insurance companies |
15:50-16:20 | Break |
16:20-17:10 | Bruno Bouchard | Stochastic Target Problems with Controlled Loss. (joint work with N. Touzi and R. Elie). |
Wed, October 22, 2008 |
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09:30-10:20 | Huyên Pham | Backward SDEs with constrained jumps and Quasi-Variational Inequalities : Applications to impulse and switching controls in finance |
10:20-10:50 | Break |
10:50-11:40 | Gordan Zitkovic | Stability and equilibria of financial markets |
11:40-15:00 | Lunch |
15:00-15:50 | Damien Lamberton | Some properties of American option prices in exponential Lévy mdels |
15:50-16:20 | Break |
16:20-17:10 | Nizar Touzi | Market illiquidity and dual formulation of target problems |
Thu, October 23, 2008 |
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09:30-10:20 | Xunyu Zhou | Thou Shalt Still Buy and Hold |
10:20-10:50 | Break |
10:50-11:40 | Romuald Elie | Optimal consumption investment strategy under drawdown constraint |
11:40-15:00 | Lunch Break |
15:00-15:50 | Mihail Zervos | Optimal Consumption and Investment with Habit Formation and Hyperbolic Discounting |
15:50-16:20 | Break |
16:20-17:10 | Fausto Gozzi | Optimal management of pension funds: a stochastic control approach |
Fri, October 24, 2008 |
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09:00-09:50 | Peter Tankov | Discrete hedging in models with jumps |
09:50-10:40 | Mogens Steffensen | Optimal Control in Finite State Markov Chains with Applications to Personal Finance and Credit Risk Management |
10:40-11:10 | Break |
11:10-12:00 | Hans Gerber | On optimal dividends |
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