Ich bitte um nochmalige Veröffentlichung der folgenden Ankündigung, da
ein Programmpunkt dazugekommen ist.
Besten Dank
R. Tichy
In the course of the FWF-project Quasi-Monte Carlo Methods in Finance
and Insurance the Graz University of Technology in cooperation with the
University of Linz organizes a
Workshop on Financial and Actuarial Mathematics
(October 2 - 3)
at the Department of Mathematics of the Graz University of Technology,
Steyrergasse 30.
Program:
October 2, 2003:
15.00: Jörn Sass (Österr. Akademie d. Wissenschaften): "Optimizing the
Terminal Wealth: An HMM for the Stock Returns"
16.00: Coffee break
16.30: Ralf Korn (Univ. Kaiserslautern): "Optimal investment and
possible crashes"
17.30: L.C.G. Rogers (Univ. Cambridge): "Pricing and optimal exercise
of credit-risky callable convertible bonds"
October 3, 2003:
10.00: Walter Schachermayer (TU Wien): "Optimizing Expected Utility of
Dividend Payments for a Brownian Risk Process and a Peculiar Nonlinear
ODE (Going Beyond Linear Barrier Strategies)"
11.00: Hansjörg Albrecher (KU Leuven): "Extensions of the
Cramer-Lundberg model in Ruin Theory"
14.00: Paul Embrechts (ETH Zürich): "Modelling dependence structures
for multivariate high frequency data in finance"
15.00: Coffee break
15.30: Uwe Schmock (TU Wien): "Modelling dependent credit risks"
16.30: Soren Asmussen (Univ. Aarhus): "Heavy tails, importance sampling
and cross entropy".
R. Tichy