---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 5 Nov 2004 11:19:03 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
To: RICAM-All <ricam-all(a)ricam.oeaw.ac.at>
Subject: [Ricam-all] RICAM-Kolloquium
Prof. Albrecht Irle
Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel
Dienstag, 9. November, 15:30 Uhr, HS 5
Optimal Stopping Problems in Mathematical Finance
Abstract: Optimal stopping theory has again become an active area of
research, one of the reasons being their importance for pricing American
options. In this talk two new methods for finding optimal stopping rules
are described. The first method is discrete in nature and may be used to
construct algorithms of simulation type. The second method pertains to
diffusion processes and uses suitable martingales. Applications to
mathematical finance are described.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz, Austria
E-mail: Annette.Weihs(a)oeaw.ac.at
Tel: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
http://www.ricam.oeaw.ac.at
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