Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility, and Applications of Shot Noise Processes May 22-23, 2001, Vienna University of Technology ------------------------------------------------------------------------ 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, 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 (Univ. 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'). URL: http://www.fam.tuwien.ac.at/g2g -------------------------------------------------------------------------- Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html