Financial and Actuarial Mathematics, TU Wien, Austria TU Wien FAM

Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility, and Applications of Shot Noise Processes

May 22-23, 2001

Vienna University of Technology

For detailed maps click on the locations, once you found the building Paul Lévy will lead you to the lecture rooms.

Tuesday, May 22, 2001: Morning Session
Location: HS 13 Ernst Melan (Hauptgebäude, Karlsplatz 13, 3rd floor)

10.45-11.30 Ole E. Barndorff-Nielsen, Aarhus University: Lévy based chronometers
11.30-12.15 Elisa Nicolato, Vienna University of Technology: On multivarate extensions of Ornstein-Uhlenbeck type stochastic volatility models
12.15-14.30 Lunch break

Tuesday, May 22, 2001: Afternoon Session
Location: FH HS 6 (Freihausgebäude, Wiedner Hauptstr. 8, yellow area, 2nd floor)

14.30-15.15 Sergei Levendorskii, Rostov State University: Regular Lévy processes of exponential type and Feller processes of normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen)
15.15-15.45 Coffee/tea
15.45-16.30 Robert Tompkins, Vienna University of Technology: The sampling properties of a moment matching method
16.30- Discussion

Wednesday, May 23, 2001: Morning Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)

09.30-10.15 Franz Konecny, BOKU (University of Agricultural Sciences), Vienna Jump Diffusion Models for Streamflow Series
10.15-10.45 Coffee/tea
10.45-11.30 Sylvia Frühwirth-Schnatter, Leopold Sögner, Vienna University of Economics and Business Administration: MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility model
11.30-12.15 Omiros Papaspiliopoulos, Lancaster University: Bayesian inference for Non-Gaussian OU SV processes
12.15-14.30 Lunch break

Wednesday, May 23, 2001: Afternoon Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)

14.30-15.15 Neil Shephard, Nuffield College, Oxford: Realised volatility and SV models: some more results
15.15-15.45 Coffee/tea
15.45-16.30 Claudia Klueppelberg, University of Technology, Munich: Optimal portfolios when stock prices follow a Lévy process
16.30- Discussion

The workshop is supported by the Austrian Science Foundation (FWF) under grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and Management Science').

Last Modification: May 17, 2001