---------- 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 [attachment removed and saved to below URL by admin] URL : http://www.fam.tuwien.ac.at/listsdata/20041105T1422.pdf Type: PDF document, version 1.2 Size: 207335