[FAM-news] (no subject)

Victor Olevskii vit@fam.tuwien.ac.at
Mon, 21 May 2001 17:25:32 +0200

Financial and Actuarial Mathematics: Time Table

Workshop on Financial Time Series, LÚvy Processes, Stochastic Volatility,
            and Applications of Shot Noise Processes

       May 22-23, 2001, Vienna University of Technology

Tuesday, May 22, 2001: Morning Session
Location: HS 13 Ernst Melan (Hauptgebńude, Karlsplatz 13, 3rd floor)

 10.45-11.30  Ole E. Barndorff-Nielsen, Aarhus University:
 LÚvy based chronometers

 11.30-12.15  Elisa Nicolato, Vienna University of Technology:
 On multivarate extensions of Ornstein-Uhlenbeck type stochastic
 volatility models

 12.15-14.30  Lunch break

Tuesday, May 22, 2001: Afternoon Session
Location: FH HS 6 (Freihausgebńude, Wiedner Hauptstr. 8, 2nd floor)

 14.30-15.15  Sergei Levendorskii, Rostov State University:
 Regular LÚvy processes of exponential type and Feller processes of
 normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen)

 15.15-15.45  Coffee/tea

 15.45-16.30  Robert Tompkins, Vienna University of Technology:
 The sampling properties of a moment matching method

 16.30-       Discussion

Wednesday, May 23, 2001: Morning Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)

 09.30-10.15  Franz Konecny, BOKU (Univ. of Agricultural Sciences), Vienna:
 Jump Diffusion Models for Streamflow Series

 10.15-10.45  Coffee/tea

 10.45-11.30  Sylvia FrŘhwirth-Schnatter, Leopold S÷gner, Vienna University
              of Economics and Business Administration:
 MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility

 11.30-12.15  Omiros Papaspiliopoulos, Lancaster University:
 Bayesian inference for Non-Gaussian OU SV processes

 12.15-14.30 Lunch break

Wednesday, May 23, 2001: Afternoon Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)

 14.30-15.15  Neil Shephard, Nuffield College, Oxford:
 Realised volatility and SV models: some more results

 15.15-15.45  Coffee/tea

 15.45-16.30  Claudia Klueppelberg, University of Technology, Munich:
 Optimal portfolios when stock prices follow a LÚvy process

 16.30-       Discussion

The workshop is supported by the Austrian Science Foundation (FWF) under
grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and
Management Science').

URL: http://www.fam.tuwien.ac.at/g2g

Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html