Spring School

“Stochastic Models in Finance and Insurance”

March 21 - April 1, 2011, Jena (Germany)

Kollegienhof
Hanfried - click here
Photo: FSU/Archiv

Welcome!

Organized within the Marie Curie Initial Training Network (ITN) “Deterministic and Stochastic Controlled Systems and Applications” (PITN-GA-2008-213841), the School is devoted to stochastic models for finance and insurance, with special emphasis on the link between these two disciplines. It is intended to include recent developments in the following topics: Lévy processes and applications in finance and insurance, semimartingale and non-semimartingale stochastic calculus and applications in finance and insurance, models involving fractional Brownian motion, equity linked insurance, dynamic hedging schemes, model risk, credit derivatives, both from a theorist and practitioners point of view.

The programme will consist of 90 minutes lectures, talks of invited experts (45 - 60 minutes) and contributed talks (20 - 30 minutes).

The school addresses to PhD students, postgraduate researchers and practitioners, but also to experts from the fields to present their most recent research results.

The participants are expected to arrive on Sunday, March 20, in the afternoon. The scientific programme will start in the morning of Monday, March 21, and end on Friday, April 1, in the afternoon. Departure day is Saturday, April 2.

The Spring School will be held in the “Rosensäle” (Fürstengraben 27) close to the main building of the University of Jena which is located in the heart of the city. We organize accommodation in the hotels nearby. ITN participants and invited Lecturers will be accommodated by the organizers without further request. Other participants should contact the secretariat of the Workshop (for the address see below) for room request and reservation by completing and sending the registration form. From most of these hotels, the Conference site can be reached by foot in a few minutes.

The scientific and social Programme (which also includes the weekend) will be announced soon.


List of Invited Speakers

  • Nicole Bäuerle (KIT, Karlsruhe, Germany)
  • Francesca Biagini (LMU Munich, Germany)
  • Rama Cont (CNRS, Paris, France & Columbia University New York, USA)
  • Nils Dennstedt (Provinzial NordWest, Kiel, Germany)
  • Ernst Eberlein (University of Freiburg, Germany)
  • Nicole El Karoui (Université Pierre & Marie Curie, Paris, France)
  • Patrick Hénaff (UBO Brest, France)
  • Monique Jeanblanc (Université d'Évry, France)
  • Yuri Kabanov (Université de Franche-Comté, Besancon, France)
  • Claudia Klüppelberg (TU Munich, Germany)
  • Stéphane Loisel (ISFA, Université Lyon 1, France)
  • Thilo Meyer-Brandis (LMU Munich, Germany)
  • Carlo Sgarra (Politecnico di Milano, Italy)
  • Georgiy Shevchenko (University of Kiev, Ukraine)
  • Albert Shiryaev (MSU and Steklov Institute Moscow, Russia)
  • Esko Valkeila (Aalto University, Finland)

Programme Committee

  • Rama Cont (CNRS, Paris, France & Columbia University New York, USA)
  • Hans-Jürgen Engelbert (FSU Jena, Germany)
  • Hans Föllmer (HU Berlin, Germany)
  • Patrick Hénaff (UBO Brest, France)
  • Claudia Klüppelberg (TU Munich, Germany)
  • Albert Shiryaev (MSU and Steklov Institute Moscow, Russia)

Local Organizing Committee

  • Andrii Andrusiv
  • Matteo Bedini
  • Stefan Blei
  • Paolo Di Tella
  • Hans-Jürgen Engelbert
  • Michael Hinz
  • Erik Schneider
  • Martina Zähle

Registration

Deadline for registration and hotel reservation is February 6, 2011. Please use the registration form which you find here as doc or pdf.


Registration Fee

The registration fee for participants (excluding Network participants and invited speakers) is 100 € and has to be paid on arrival. The registration fee includes refreshments offered in the lecture breaks (coffee, beverages, cakes), but does not include meals, Conference dinner and excursion.


Contacts

If you have some questions concerning the Workshop or wish to participate, don't hesitate to contact the Workshop Secretariat:

or the Jena ITN office jena_itn(at)uni-jena.de.


Sponsors

The meeting is sponsored by the Marie Curie Initial Training Network (ITN) “Deterministic and Stochastic Controlled Systems and Application” (PITN-GA-2008-213841) and by the Friedrich-Schiller-University of Jena.


Some useful links