Tue, December 02, 2008
09:30-10:15	Johannes Leitner	Robust Martingale Representations for Marked Point Processes
10:15-10:45	Break
10:45-11:15	Martin Keller-Ressel	Moment explosions and long-term properties of affine stochastic volatility models
11:15-11:45	Markus Hahn	Estimating Models Based on Markov Jump Processes Given Fragmented Observation Series
11:45-14:00	Lunch Break
14:00-14:30	Irina Penner	Markets with convex transaction costs
14:30-15:00	Corina Constantinescu	Erlang(n) risk models with risky investments
15:00-15:30	Break
15:30-16:00	Philipp Mayer	A generalized Dupire formula and a stable way to estimate it
16:00-16:30	Erika Hausenblas	An explicit formula for the Hellinger Kakutani product of purely discontinuous processes
Wed, December 03, 2008
09:30-10:15	Uwe Schmock	Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality
10:15-10:45	Break
10:45-11:15	Stefan Thonhauser	On transaction costs in insurance
11:15-11:45	Carlo Sgarra	On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
11:45-14:00	Lunch Break
14:00-14:30	Mariko Arisawa	Homogenizations of Lévy operators with asymmetric Lévy density -application to the stochastic volatility model with jump processes-
14:30-15:00	Christa Cuchiero	A new class of analytically tractable processes with applications to option pricing
15:00-15:30	Break
15:30-16:00	Zorana Grbac	Credit rating-based Lévy Libor model
16:00-16:30	Stefan Gerhold	Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for American Option Pricing
Thu, December 04, 2008
09:30-10:15	Friedrich Hubalek	On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps
10:15-10:45	Break
10:45-11:15	Ronnie Loeffen	Refracted Lévy processes
11:15-11:45	Antonis Papapantoleon	A new approach to LIBOR modeling - application of affine processes
11:45-14:00	Lunch Break
14:00-14:30	Elisa Alòs	On the impact of correlation on option prices: a Malliavin Calculus approach.
14:30-15:00	Dominik Kortschak	Asymptotic properties of compound distribution tails
15:00-15:30	Break
15:30-16:00	Piotr Jaworski	On a subjective risk measurement and capital allocation
16:00-16:30	Verena Goldammer	Modeling and Estimation of Dependent Credit Rating Transitions

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