|
Programme
Thursday, September 11th
|
08:00 - 09:00
|
Registration
|
|
09:00 - 09:45
|
D. Madan, Stochastic Processes in Financial Valuation and their Computational Demands (Abstract)
|
|
Coffee break
|
|
|
10:15 - 11:00
|
E. Eberlein (I), More realistic modelling in finance (Abstract)
|
|
11:10 - 11:55
|
M. Yor (I), A review of results pertaining to the pricing of Asian options (Abstract)
|
|
Lunch
|
|
|
14:00 - 14:45
|
P. Schönbucher, Computational aspects of portfolio Credit Risk management (Abstract)
|
|
Coffee break
|
|
|
15:15 - 16:00
|
P. Glasserman (I), Monte Carlo Methods for Portfolio Credit Risk (Abstract)
|
|
16:15 - 17:00
|
M. Kalkbrenner (I), Capital allocation in large credit portfolios, (Abstract)
|
Friday, September 12th
|
08:30 - 09:00
|
Registration
|
|
09:00 - 09:45
|
M. Kalkbrenner (II), Economic capital: towards the integration of credit and market risk (Abstract)
|
|
Coffee break
|
|
|
10:15 - 11:00
|
E. Eberlein (II), Modelling of Lévy term structures (Abstract)
|
|
11:10 - 11:55
|
M. Yor (II), Pricing some exotic options with the help of excursion theory (Abstract)
|
|
Lunch
|
|
|
14:00 - 14:45
|
D. Filipovic, A Simple Model for Credit Migration and Spread Curves (Abstract)
|
|
15:15 - 16:00
|
G. Papanicolaou, Finding, measuring and using mean reversion in financial data (Abstract)
|
|
16:15 - 17:00
|
P. Glasserman (II), Pricing American Options by Simulation: Overview and New Results (Abstract)
|
|
18:30
|
Banquet, Restaurant Zürichberg
|
Saturday, September 13th
|
09:00 - 09:30
|
R. Cont, Option pricing with additive processes (Abstract)
|
|
9:30 - 10:00
|
C. Schwab, Wavelet pricing of contracts on assets driven by jump-diffusion processes (Abstract)
|
|
Coffee break
|
|
|
10:30 - 11:00
|
Y. Achdou, Calibration of Volatility with American Options (Abstract)
|
|
11:00 - 11:30
|
C. Albanese, A Jump Model with Binomial Volatility (Abstract)
|
|
11:30 - 12:00
|
A.-M. Matache, Wavelet solution of degenerate parabolic equations arising in stochastic volatility models (Abstract)
|
|
Lunch
|
|
|
14:00 - 14:30
|
J.-P. Fouque, Multi-Scale Stochastic Volatility (Abstract)
|
|
14:30 - 15:00
|
C. Reisinger, Pricing Options on Big Baskets (Abstract)
|
|
Coffee break
|
|
|
15:30 - 16:00
|
J. Kampen, Calibration of multivariate stochastic volatility models (Abstract)
|
|
16:00 - 16:30
|
La Chioma, Non-linear degenerate integro--partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations (Abstract)
|
|
16:30 - 17:00
|
M. Briani, Implicit--Explicit Numerical Schemes for Integro-differential Parabolic Problems arising in Financial Theory (Abstract)
|
|
|
