[FAM-news] [Ricam-all] RICAM-Kolloquium (fwd)

Andreas Schamanek schamane at fam.tuwien.ac.at
Fri Nov 5 14:23:11 CET 2004


---------- Forwarded message ----------
From: Walter Schachermayer <wschach at fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 5 Nov 2004 11:19:03 +0100
From: Annette Weihs <annette.weihs at oeaw.ac.at>
To: RICAM-All <ricam-all at ricam.oeaw.ac.at>
Subject: [Ricam-all] RICAM-Kolloquium

Prof. Albrecht Irle
Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel

Dienstag, 9. November, 15:30 Uhr, HS 5

Optimal Stopping Problems in Mathematical Finance

Abstract:  Optimal stopping theory has again become an active area of
research, one of the reasons being their importance for pricing American
options. In this talk two new methods for finding optimal stopping rules
are described. The first method is discrete in nature and may be used to
construct algorithms of simulation type. The second method pertains to
diffusion processes and uses suitable martingales. Applications to
mathematical finance are described.

Annette Weihs

Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz, Austria

E-mail: Annette.Weihs at oeaw.ac.at
Tel: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
http://www.ricam.oeaw.ac.at


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