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)