EURANDOM Workshop on
"Exotic option pricing under advanced Lévy models"
EURANDOM, Eindhoven, The Netherlands
May 3 and 4, 2004.
http://www.eurandom.nl/workshops/2004/Exotic%20pricing/exotic_pricing.htm
Summary
In recent years more and more attention has been given to stochastic
models of financial markets which depart from the traditional
Black-Scholes model; that is to say both in academia and financial
institutions alike. In particular focus has been placed on modelling
risky assets with semi-martingales. For example Lévy process based
models are able to take into account different important stylised
features of financial time series. The consequence of working with more
advanced stochastic models forces a number of new mathematical
challenges with respect to exotic derivatives. Exotic derivatives are
gaining increasing importance as financial instruments and are traded
nowadays in large quantities in over the counter markets. Examples of
these exotic options are lookback, barrier, Asian, Parisian, Bermudian,
Russian, Israeli, Passport, Cliquet, digital, swing, corridor, Variance
Swap options etc. Moreover these instruments are finding their way into
other businesses like the (re-)insurance; for example catastrophe
options, weather derivatives and energy derivatives are useful in
handling different kinds of risk.
Mathematical issues at stake include: multiple inverse Fourier transform
techniques, issues of smooth and continuous pasting in free boundary and
optimal stopping problems, extracting overshoot distributions from
Wiener-Hopf factorisations, characterizing distributions of functionals
of Levy processes, wavelet and other sub-basis methods for American-type
option pricing, Monte-Carlo simulations and other numerical techniques.
This workshop aims to bring people together from both industry and
academia to overview recent results, discuss imminent problems and
motivate new research.
Special lectures by
Dilip Madan,University of Maryland at College Park
Peter Carr, New York University and Bloomberg
Marc Yor, Université Paris VI
Albert Shiryaev, Stekolov Mathematical Institute and Moscow State
University
Speakers and Discussion chairmen
Hansjörg Albrecher, Technische Universität Graz
Paulinne Barrieu, London School of Economics
Peter Carr, New York University and Bloomberg
Freddy Delbaen, ETH-Zentrum
Richard Hudson, The Wall Street Journal
Christoph Kühn, Johann Wolfgang Goethe-Universität
Andreas Kyprianou, Universiteit Utrecht
Elisa Nicolato,University of Aarhus
David Nualart, Universitat de Barcelona
Dilip Madan ,University of Maryland at College Park
Goran Peskir, University of Aarhus
Frédérique Petit , Université Paris VI
Wim Schoutens, K.U.Leuven - U.C.S.
Albert Shiryaev, Stekolov Mathematical Institute and Moscow State
University Nick Webber, Cass Business School Marc Yor, Université Paris VI
REGISTRATION FEE
For academia there is no fee.
For non-academic people the fee is
500 Euro* (For inscriptions before 31th of March, 2004)
700 Euro* (For inscriptions after 31th of March, 2004)