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Lecturers
Invited Speakers
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Paul Glasserman, Columbia University New York, USA
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Talk I: Monte Carlo Methods for Portfolio Credit Risk (Abstract)
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Talk II: Pricing American Options by Simulation: Overview and New Results (Abstract)
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Michael Kalkbrenner, Deutsche Bank AG Frankfurt, Germany
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Talk I: Capital allocation in large credit portfolios (Abstract)
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Talk II: Economic capital: towards the integration of credit and market risk (Abstract)
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Dilip Madan, University of Maryland, USA
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Talk: Stochastic Processes in Financial Valuation and their Computational Demands (Abstract)
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Marc Yor, Université Paris VI France
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Talk I: A review of results pertaining to the pricing of Asian options (Abstract)
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Talk II. Pricing some exotic options with the help of excursion theory (Abstract)
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Contributed Speakers
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Yves Achdou, Université Paris 7, France
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Talk: Calibration of Volatility with American Options (Abstract)
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Maya Briani, IAC - CNR and University of Roma "La Sapienza" Italy
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Talk: Implicit--Explicit Numerical Schemes for Integro-differential Parabolic Problems arising in Financial Theory (Abstract)
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Rama Cont, Centre de Mathematiques Appliquees CNRS - Ecole Polytechnique, France
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Talk: Option pricing with additive processes (Abstract)
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Jörg Kampen, University of Heidelberg Germany
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Talk: Calibration of multivariate stochastic volatility models (Abstract)
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Claudia La Chioma, IAC - CNR and University of Roma "La Sapienza" Italy
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Talk: Nonlinear degenerate integro--partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations (Abstract)
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Ana-Maria Matache, RiskLab and Seminar for Applied Mathematics, ETH Zürich Switzerland
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Talk: Wavelet solution of degenerate parabolic equations arising in stochastic volatility models (Abstract)
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Christoph Reisinger, IWR, University of Heidelberg Germany
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Talk: Pricing Options on Big Baskets (Abstract)
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Christoph Schwab, Seminar for Applied Mathematics ETH Zürich
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Talk: Wavelet pricing of contracts on assets driven by jump-diffusion processes (Abstract)
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