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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Program: Workshop on Advanced Modeling in Finance and Insurance, September 22 - 26, 2008
Mon, September 22, 2008
09:15-09:30Opening
09:30-10:20Ole E. Barndorff-NielsenBSS models and Intermittency/Volatility
10:20-10:50Break
10:50-11:40Claudia KlüppelbergThe Lévy-driven continuous-time COGARCH model
11:40-15:00Lunch Break
15:00-15:50Jan KallsenOn hedging and indifference pricing in models with stochastic volatility and jumps
15:50-16:20Break
16:20-17:10Robert StelzerMultivariate Lévy driven stochastic volatility models
Tue, September 23, 2008
09:30-10:20David HobsonOptimal Liquidation of Derivative Portfolios
10:20-10:50Break
10:50-11:40Miklos RasonyiModelling markets with transaction costs
11:40-15:00Lunch Break
15:00-15:50Jeannette WoernerAnalyzing market microstructure
15:50-16:20Break
16:20-17:10Chris RogersContracting for optimal investment with risk control
Wed, September 24, 2008
09:30-10:20Fred Espen BenthModeling spot and forward prices in energy markets
10:20-10:50Break
10:50-11:40Hanspeter SchmidliOn CAT Options and Bonds
Thu, September 25, 2008
09:30-10:20Ernst EberleinAnalysis of valuation formulae and applications to option pricing in Lévy models
10:20-10:50Break
10:50-11:40Semyon MalamudInformation Percolation
11:40-15:00Lunch Break
15:00-15:50Saul JackaRepresentation of coherent risk measures by trading.
15:50-16:20Break
16:20-17:10Georg PflugMulti-period risk functionals
Fri, September 26, 2008
09:30-10:20Alexander SchiedOptimal portfolio liquidation
10:20-10:50Break
10:50-11:40Hans FoellmerAsymptotic arbitrage and large deviations

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