Spring School

“Stochastic Models in Finance and Insurance”

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

 

Invited Lectures and Talks

Bäuerle, Nicole,
KIT, Karlsruhe, Germany
Markov Decision Processes with Applications to Finance
Biagini, Francesca,
Ludwig Maximilian University, Munich, Germany
Evaluating Hybrid Products: the Interplay between Financial and Insurance Markets
Cont, Rama,
CNRS, Paris, France & Columbia University New York, USA
Non-anticipative Functional Calculus: Theory and Applications Teil I; Teil II
Dennstedt, Nils,
Provinzial NordWest, Kiel, Germany
Crucial Paths in Stochastic Modelling for Life Insurers
Eberlein, Ernst,
University of Freiburg, Germany
Lévy Driven Financial Models
Eddahbi, Mhamed,
Université Cadi Ayyad, Marrakesh, Morocco
Chaos Expansion of some Functionals of the fBm and Lévy Processes and Applications
El Karoui
Université Pierre & Marie Curie, Paris, France
Individual-based Modeling in Population Dynamics with Application to Longevity Basis Risk
Hénaff, Patrick,
Université de Bretagne Occidentale, Brest, France
Measuring the Risk of Financial Models
Jeanblanc, Monique,
University of Evry, France
Conditional Default Probability and Density
Kabanov, Yuri,
Université de Franche-Comté, Besançon, France
No Arbitrage under small Transaction Costs
Khomenko, Oleksandr,
ERGO Versicherungsgruppe AG, Düsseldorf, Germany
Replicating Life Insurance Liabilities
Klüppelber, Claudia,
Technical University Munich, Germany
Modelling Electricity Market Data: The CARMA Spot Model, Forward Prices and the Market Risk Premium
Loisel, Stéphane,
ISFA, Université Lyon 1, France
Variable Annuities and Equity-linked Life Insurance Teil I; Teil II
Meyer-Brandis, Thilo,
Ludwig Maximilian University, Munich, Germany
Computing Greeks without Derivatives
Sgarra, Carlo,
Politecnico di Milano, Italy
The Risk Premium and the Esscher Transform in Power Markets
Shevchenko, Georgiy,
University of Kiev, Ukraine
Fractional and Multifractional Models in Finance
Shiryaev, Albert N.,
University of Kiev, Ukraine
Standard and Nonstandard Problems in Optimal Stopping
Valkeila, Esko,
Aalto University School of Science, Finland
Topics on Fractional Brownian Motion Teil I; Teil II; Teil III

 

 

Contributed Talks

Andrusiv, Andrii,
Friedrich Schiller University of Jena, Germany
On Minimal Entropy Martingale Measures
Bedini, Matteo,
Friedrich Schiller University of Jena, Germany
Information and Credit Risk
Diomande, Bakarime,
University “Al. I. Cuza”, Iaşi, Romania
Maximum Principle for Stochastic Delay Differential Equation in Infinite Dimension Spaces
Gassiat, Paul
LPMA, Université Paris 7, France
Investment Consumption Problem in Illiquid Markets with Regime Switching
Hakassou, Antoine,
Université Cadi Ayyad, Marrakesh, Morocco
A Study of a Stochastic Differential Equation with Superlinear Growth Rates
Ibragimov, Anton,
Università di Milano-Bicocca, Milano, Italy
Parabolic SDE in Infinite Dimensions over G-expectatins
Jing, Shuai,
Université de Bretagne Occidentale, Brest, France
SPDE driven by a Fractional Brownian Motion of Hurst Coefficient H ∈ (1/2,1). Study through its Doubly Stochastic Interpretation
Joos, Dominik,
KIT, Karlsruhe, Germany
Modelling the Development of Interbank Markets during a Liquidity Shock
Lin, Qian,
Université de Bretagne Occidentale, Brest, France
Nash Equilibria for 2-Persons Non-Zero Sum Stochastic Differential Games in a general Setting
Maticiuc, Lucian,
University “Al. I. Cuza”, Iaşi, Romania
Multivalued Backward Stochastic Differential Equations driven by FRactional Brownian Motion with Hurst Parameter H > 1/2
Rainer, Catherine,
Université de Bretagne Occidentale, Brest, France
Hölder Regularity for Viscosity Solutions of fully Nonlinear Hamilton-Jacobi Equations with Super-Quadratic Growth in the Gradient
Rehman, Nasir,
AIOU University, Islamabad, Pakistan
Continuity Estimates of the Optimal Exercise Boundary with respect to Volatility for the American Option
Tikanmäki, Heikki,
Aalto University School of Science, Finland
How to Hedge Asian Options in Fractional Black-Scholes Model