---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Tue, 6 Jun 2006 16:02:59 +0200 (CEST) From: Rama CONT <Rama.Cont(a)polytechnique.fr> Subject: Workshop on Financial Modeling with Jump Processes, Sept 6-8 2006 Dear colleague, On behalf of the Scientific Committee and the Local Organizing Committee, we are pleased to announce the forthcoming Workshop on Financial Modeling with Jump Processes, Ecole Polytechnique (Palaiseau, France), September 6-8, 2006 http://www.fiquam.polytechnique.fr/AMAMEF/ We invite contributions dealing with models based on jump processes and their applications in finance dealing in particular, but not exclusively, with the following issues: Multidimensional models with jumps: dependence modeling, Lévy copulas, numerical methods for multidimensional models. Simulation and estimation: efficient simulation of multivariate models, econometrics of jump processes, realized volatility/ bi-power variation. Partial integro-differential equations (PIDEs) and computational methods Inverse problems: theory and algorithms for inverse problems related to option pricing models with jumps. New modeling approaches: Markov processes with jumps, models for electricity prices, interest rate models with jumps and their efficient analytical and numerical treatment * DEADLINE for submission of abstracts: JUNE 15, 2006 * DEADLINE for registration: AUGUST 1, 2006. For more information please visit the conference website: http://www.fiquam.polytechnique.fr/AMAMEF/ THIS WORKSHOP IS SUPPORTED BY: European Programme on "Advanced mathematical methods for finance" Centre de Mathematiques Appliquees, Ecole Polytechnique Chaire des Risques Financiers, Ecole Polytechnique Seminar on Applied Mathematics, ETH Zurich Europlace Institute of Finance