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