Spring School

“Finance and Insurance - Stochastic Analysis and Practical Methods”,

March 2-13, 2009, Jena (Germany)

 

Invited Lectures

Bank, Peter,
Technical University Berlin, Germany 		Illiquid Financal Markets - Finance, Economics, Mathemtics 180 Min.
Frey, Rüdiger,
University of Leipzig, Germany		 Credit Risk: Recent Developments in Valuation and Risk Management for CDOs 90 Min.
Imkeller, Peter,
Humboldt-University Berlin, Germany		 On Martingale Optimality, BSDE and Cross Hedging Energy Risk 90 Min.
Imkeller, Peter,
Humboldt-University Berlin, Germany		 Models of Financial Markets with Asymmetric Information: Additional Utility and Entropy of Information 90 Min.
Jeanblanc, Monique,
University of Evry, France		 Credit Risk Modeling Part I; Part II; Part III; Part IV; Part V 540 Min.
Kabanov, Yuri,
Université de Franche-Comté, Besançon, France		 Introduction to the Theory of Financial Markets with Transaction Costs 540 Min.
Kallsen, Jan,
Christian-Albrechts-University of Kiel, Germany		 Affine Processes in Mathematical Finance 90 Min.
Klüppelberg, Claudia
Technical University Munich, Germany		 The Lévy-Driven COGARCH Model - Extensions and Ramifications 90 Min.
Mikosch, Thomas
University of Copenhagen, Denmark		 A Point Process Approach to Non-Life Insurance 180 Min.
Di Nunno, Giulia,
University of Oslo, Norway		 Introduction to Malliavin calculus and Applications to Finance Part I; Part II; Part III 180 Min.
Teichmann, Josef
University of Technology, Vienna, Austria		 A new Approach to SPDEs with Applications to Mathematical Finance 180 Min.

 

 

Talks of ITN Members and Contributed Talks (45 Minutes)

Andrusiv, Andrii,
Friedrich Schiller University of Jena, Germany		 Strong Invariance Principle for Randomly Stopped Stochastic Processes
Bedini, Matteo,
Université de Bretagne Occidentale, Brest, France		 An Information-Based Approach to Credit-Risk Modelling
Essaky, El Hassan,
Université Cadi Ayyad, Safi, Morocco		 Generalized Beckward Stochastic Differential Equation with two Reflecting Barriers and Stochastic Quadratic Growth
Fink, Holger,
Technical University Munich, Germany		 Fractional Lévy Driven Stochastic Differential Equations
Fruth, Antje,
Technical University Munich, Germany		 Optimal Liquidation in Limit Order Books with Stochastic Liquidity
Höschler, Marcel,
QP Lab, Berlin, Germany		 A Time- and Price-Continuous Order Book Model
Issoglio, Elena,
Friedrich Schiller University of Jena, Germany		 Multidimensional Stochastic Bridges: A Study via SDEs
Jang, Hyun Jin,
KAIST, Daejeon, Republic of Korea		 Kth Default Time Distribution and Basket Default Swap Pricing
Shuai,Jing,
Université de Bretagne Occidentale, Brest, France		 Introduction to G-Expectation, G-Brownian motion and G-Backward SDEs
Lin, Qian ,
Université de Bretagne Occidentale, Brest, France		 Stochastic Differential Equations Driven by G-Brownian Motion
Ouknine, Youssef,
Université Cadi Ayyad, Marrakesh, Morocco		 Fubini Theorem for Stable Processes
Rotenstein, Eduard Paul,
University “Al. I. Cuza”, Iaşi, Romania		 American Game Options and Reflected BSDEs with Quadratic Growth
Stroh, Maximilian,
Goethe-University, Frankfurt a.M., Germany		 Optimal Portfolios of a Small Investor in a Limit Order Market - A Shadow Price Approach
Thampi, K.K.,
M.G.University, Kerala, India		 On a Class of Renewal Queueing and Risk Processes
Urusov, Mikhail,
Technical University Berlin, QP Lab, Germany		 On the Martingale Property of Certain Local Martingales
Zălinescu, Adrian,
Romanian Academy Iaşi, Romania		 Variational Inequalities Driven by Lévy Processes
Marie Curie ITN -
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