Program: Practitioner's Day, September 08, 2008
| Mon, September 08, 2008 | ||
|---|---|---|
| 09:00-09:45 | Dilip Madan | Correlating Levy Processes with Applications |
| 09:45-10:30 | Peter Leoni | Challenges for Power and Gas Derivatives |
| 10:30-11:00 | Coffee Break | |
| 11:00-11:45 | Alberto Elices Vallejo | Models with time-dependent parameters using transform methods: application to Heston's model |
| 11:45-12:30 | Peter Schaller | Pivotal quantile estimates in Value at Risk calculations |
| 12:30-14:00 | Lunch Break | |
| 14:00-14:45 | John Crosby | A new class of Levy process type models with almost perfect calibration to both barrier and vanilla fx options (joint work with Peter Carr). |
| 14:45-15:30 | Stefan Fink | Efficient solutions for mid- size problems in interest rate derivative pricing and risk management |
| 15:30-16:00 | Coffee Break | |
| 16:00-16:45 | Andreas Weingessel | Challenge ICAAP |
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/pday/index.php
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