WOMF 1999

Workshop on Mathematical Finance

Strobl and Vienna, Austria, September 13-18, 1999

Program

September 13, 1999 (Monday)

09:00 - 09:05 Opening session
09:10 - 10:00 H. Föllmer Weak Brownian motions: A case study for reconstructing dynamical models from option prices
10:10 - 11:00 M. Musiela A simulation algorithm based on measure relationships in the lognormal Market Models
11:00 - 11:30 COFFEE BREAK
11:30 - 12:20 P. Boyle Valuation in an incomplete market
12:20 - 14:00 LUNCH BREAK
14:00 - 14:50 E. Platen Stochastic Volatility in a Multi-factor Market Model
15:00 - 15:50 R. Sircar Mean-Reverting Stochastic Volatility
15:50 - 16:30 COFFEE BREAK
16:30 - 17:20 M. Yor Some recent results about Brownian exponential functionals
17:30 - 18:20 Problem session

September 14, 1999 (Tuesday)

09:00 - 09:50 D. Kramkov On hedging under transaction costs
10:00 - 10:50 F. Delbaen A discrete time optimisation problem for the lognormal distribution
10:50 - 11:20 COFFEE BREAK
11:20 - 12:10 S.M. Schaefer Why do Long Term Forward Interest Rates (Almost) Always Slope Downwards?
12:10 - 14:00 LUNCH BREAK
14:00 - 14:50 C. Stricker Hedging under transaction costs in discrete time
15:00 - 15:50 Y. Kabanov Continuous-time models of a security markets with transaction costs
15:50 - 16:30 COFFEE BREAK
16:30 - 17:20 M. Schweizer On enlarged filtrations and insiders in finance
17:30 - 18:20 W. Runggaldier On risk management under partial information
19:00 CONFERENCE DINNER

September 15, 1999 (Wednesday)

09:00 - 09:50 A.N. Shiryaev Stopping rules for selling stocks
10:00 - 10:50 S. Kusuoka Approximation of Expectation on Diffusion Models in Mathematical Finance
10:50 - 11:20 COFFEE BREAK
11:20 - 12:10 P. Embrechts The Fundamental Theorem of Risk Management: on Uses and Misuses of Correlation in Finance and Insurance
12:10 - 14:00 LUNCH
14:00 BUS TRANSFER TO VIENNA

September 16, 1999 (Thursday)

09:00 - 09:50 T. Björk Geometric aspects of interest rate theory
10:00 - 10:50 O. E. Barndorff-Nielsen Modelling by Levy processes, for finance and turbulence
11:50 - 11:20 COFFEE BREAK
11:20 - 12:10 E. Eberlein Realistic modeling in finance
12:10 - 14:00 LUNCH BREAK
14:00 - 14:50 M.Davis Credit Spread Modelling in Convertible Bonds
15:00 - 15:50 D. Duffie Default Timing and Valuation
15:50 - 16:30 COFFEE BREAK
16:30 - 17:20 S. Pliska Recent advances in risk sensitive portfolio management
17:30 - 18:20 Y. Ait-Sahalia Maximum-likelihood estimation of discretely sampled diffusions: A closed-form approach

September 17, 1999 (Friday)

09:00 - 09:50 D. Sondermann The Expectation Hypotheses revisited: Term Premiums and No-Arbitrage.
10:00 - 10:50 G. Constantinides Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
10:50 - 11:20 COFFEE BREAK
11:20 - 12:10 M. Brennan Assessing Asset Pricing Anomalies
12:10 - 14:00 LUNCH BREAK
14:00 - 14:50 L.C.G. Rogers A study of liquidity effects
15:00 - 15:50 D. Heath Futures-based term structure models
15:50 - 16:30 COFFEE BREAK
16:30 - 17:20 M. Avellaneda Calibration of Monte Carlo Models via Relative Entropy Minimization: Equities, FX and Fixed-income models

September 18, 1999 (Saturday)

09:00 - 09:50 T.Zariphopoulou Valuation models with non-traded assets
10:00 - 10:50 K. Singleton Specification Analysis of Dynamic Term Structure Models
10:50 - 11:20 COFFEE BREAK
11:20 - 12:10 C. Skiadas Optimal Consumption and portfolio selection with temporally dependent preferences
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