Stochastic Methods in Financial Models

Financial modeling is a field that attracts researchers and practitioners from different areas of stochastic analysis, scientific computation, statistics, physics and finance. Models involving fractional, stable (or other jump processes) have been introduced to  better describe the evolution of financial or insurance assets and to include the possibility of extremal events. Infinite dimensional processes and stochastic partial differential equations have become required tools for describing the evolution of interest rates. Techniques such as the enlargement of filtrations have been performed  for modeling default and credit risk and the detection of illegal behaviour such as inside trading.  For numerical simulations, tools such as refined Monte- Carlo methods and Malliavin calculus have become important. The minisymposium  aims at presenting the state of the art in these topics and will also be an occasion for interaction between practitioners and  members of the academic community.

 
 
 

O. Barndorff-Nielsen (Aarhus)	G. Barone-Adesi (Lugano)
R. Cont (Polytechnique Palaiseau)	E. Eberlein (Freiburg)
H. Föllmer (Berlin)	J.P. Fouque (North  Carolina)
H. Geman (ESSEC and Dauphine)	C. Klüppelberg (Munich)
D. Madan (Maryland)	C. Martini (Artabel SA)
F. Moriconi (Perugia)	B. Øksendal (Oslo)
G. Scheuenstuhl (Risklab Germany)	Ch. Stricker (Besançon)

Public conferences

On Thursday  May 23rd afternoon, the Minisymposium will take place at the Centro Studi Bancari a Vezia.
At 4.15 pm two public conferences will take place, in order to encourage the exchanges between the local finance operators and
the academic community.

Prof. Jean-Pierre Fouque (North Carolina University)

Pricing Volatility Time-Scales
 
 

Dr. G Scheuenstuhl (Risklab-Hypovereinsbank Germany)
 
 

For further information, please contact one of the organizers.

Secretary of the conference

Mrs. Erika GINDRAUX, Ascona 02, Département de Mathématiques, Ecole Polytechnique Fédérale, CH-Lausanne, Switzerland.  EMAIL: Erika.Gindraux@epfl.ch   Fax: +41 21 693 43 03