Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Program: Practitioner's Day, September 08, 2008
Mon, September 08, 2008
09:00-09:45Dilip MadanCorrelating Levy Processes with Applications
09:45-10:30Peter LeoniChallenges for Power and Gas Derivatives
10:30-11:00Coffee Break
11:00-11:45Alberto Elices VallejoModels with time-dependent parameters using transform methods: application to Heston's model
11:45-12:30Peter SchallerPivotal quantile estimates in Value at Risk calculations
12:30-14:00Lunch Break
14:00-14:45John CrosbyA new class of Levy process type models with almost perfect calibration to both barrier and vanilla fx options (joint work with Peter Carr).
14:45-15:30Stefan FinkEfficient solutions for mid- size problems in interest rate derivative pricing and risk management
15:30-16:00Coffee Break
16:00-16:45Andreas WeingesselChallenge ICAAP

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