Spring School

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

March 2-13, 2009, Jena (Germany)


Invited Lectures

Illiquid Financal Markets - Finance, Economics, Mathemtics 180 Min.
Credit Risk: Recent Developments in Valuation and Risk Management for CDOs 90 Min.
On Martingale Optimality, BSDE and Cross Hedging Energy Risk 90 Min.
Models of Financial Markets with Asymmetric Information: Additional Utility and Entropy of Information 90 Min.
Credit Risk Modeling Part I; Part II; Part III; Part IV; Part V 540 Min.
Introduction to the Theory of Financial Markets with Transaction Costs 540 Min.
Affine Processes in Mathematical Finance 90 Min.
The Lévy-Driven COGARCH Model - Extensions and Ramifications 90 Min.
A Point Process Approach to Non-Life Insurance 180 Min.
Introduction to Malliavin calculus and Applications to Finance Part I; Part II; Part III 180 Min.
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
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