Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Program: Concluding Workshop, December 02 - 04, 2008
Tue, December 02, 2008
09:30-10:15Johannes LeitnerRobust Martingale Representations for Marked Point Processes
10:45-11:15Martin Keller-ResselMoment explosions and long-term properties of affine stochastic volatility models
11:15-11:45Markus HahnEstimating Models Based on Markov Jump Processes Given Fragmented Observation Series
11:45-14:00Lunch Break
14:00-14:30Irina PennerMarkets with convex transaction costs
14:30-15:00Corina ConstantinescuErlang(n) risk models with risky investments
15:30-16:00Philipp MayerA generalized Dupire formula and a stable way to estimate it
16:00-16:30Erika HausenblasAn explicit formula for the Hellinger Kakutani product of purely discontinuous processes
Wed, December 03, 2008
09:30-10:15Uwe SchmockGeneralization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality
10:45-11:15Stefan ThonhauserOn transaction costs in insurance
11:15-11:45Carlo SgarraOn the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
11:45-14:00Lunch Break
14:00-14:30Mariko ArisawaHomogenizations of Lévy operators with asymmetric Lévy density -application to the stochastic volatility model with jump processes-
14:30-15:00Christa CuchieroA new class of analytically tractable processes with applications to option pricing
15:30-16:00Zorana GrbacCredit rating-based Lévy Libor model
16:00-16:30Stefan GerholdLÚvy-Sheffer Systems and the Longstaff-Schwartz Algorithm for American Option Pricing
Thu, December 04, 2008
09:30-10:15Friedrich HubalekOn Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps
10:45-11:15Ronnie LoeffenRefracted Lévy processes
11:15-11:45Antonis PapapantoleonA new approach to LIBOR modeling - application of affine processes
11:45-14:00Lunch Break
14:00-14:30Elisa Al˛sOn the impact of correlation on option prices: a Malliavin Calculus approach.
14:30-15:00Dominik KortschakAsymptotic properties of compound distribution tails
15:30-16:00Piotr JaworskiOn a subjective risk measurement and capital allocation
16:00-16:30Verena GoldammerModeling and Estimation of Dependent Credit Rating Transitions

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