Guests of PRisMa Lab

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2007

Christina Niethammer, University of Konstanz, Germany;
Research visit: November 22-23, 2007;
Talk: "Portfolio Optimization and Optimal Martingale Measures in the Presence of Unbounded Jumps", November 22, 2007

Dr. Claudia Ravanelli, Swiss Banking Institute, University of Zurich, Switzerland;
Research visit: November 19-22, 2007;
Talk: "Cash Sub-additive Risk Measures and Interest Rate Ambiguity", November 20, 2007

Peter Tankov, Laboratoire de Probabilités et Modèles Aléatoires, Université Paris, France;
Research visit: November 15-17, 2007;
Talk: "Asymptotic analysis of hedging errors in models with jumps", November 16, 2007

Dr. Stefano Herzel, Dipartimento di Economia, Finanza e Statistica, Università degli Studi di Perugia, Italy;
Research visit: November 15-18, 2007;
Talk: "An affine intensity model for large credit portfolios", November 16, 2007

Dr. Flavio Angelini, Dipartimento di Economia, Finanza e Statistica, Università degli Studi di Perugia, Italy;
Research visit: November 15-17, 2007;
Talk: "Measuring the error of dynamic hedging: a Laplace transform approach", November 16, 2007

Dr. Denis Belomestny, Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany;
Research visit: November 15-19, 2007;
Talk: "A jump-diffusion Libor model and its robust calibration", November 16, 2007

Prof. Ole E. Barndorff-Nielsen, Centre of Mathematics for Applications, University of Aarhus, Denmark;
Research visit: November 13-15, 2007

Thorsten Schmidt, Department of mathematics and computer science, University of Leipzig, Germany;
Research visit: Oktober 21-23, 2007;
Talk: "Pricing and Hedging of Credit Derivatives via Nonlinear Filtering", Oktober 22, 2007

Peter Laurence, Courant Institute of Mathematical Science, New York University, USA;
Research visit: September 20-24, 2007;
Talk: "Hedging and Pricing of Generalized Spread Options and the Market Implied Comonotonicity Gap", September 21, 2007

Teitur Arnarson, Matematikinstitutionen KTH , Stockholm, Sweden;
Research visit: September 17-26, 2007;
Talk: "Early Exercise Boundary Regularity Close to Expiry in Indifference Setting", September 18, 2007

Takahiro Tsuchiya, Tokyo Institute of Technology, Japan;
Research visit: September 17-26, 2007

Dr. Pavel Gapeev, WIAS - Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany;
Research visit: August 12-22, 2007

Dr. Andreas H. Hamel, University Halle-Wittenberg, on leave ORFE, Princeton University, U.S.A.;
Research visit: July 23 - August 10, 2007;
Talk: "A duality theory for set-valued convex functions with applications to set-valued convex risk measures", July 24, 2007

Prof. Birgit Rudloff, Department of Operations Research and Financial Engineering (ORFE), Princeton University, U.S.A.;
Research visit: July 16 - August 10, 2007

Prof. Peter Imkeller, Department of Mathematics, Humboldt University at Berlin, Germany;
Research visit: June 19-20, 2007;
Talk: "Optimal cross hedging of insurance derivatives", Lecture Series Financial and Actuarial Mathematics, June 19, 2007

Prof. Peter Eichelsbacher, Department of Mathematics, University of Bochum, Germany;
Research visit: June 18-22, 2007

Dr. Pavel Gapeev, WIAS - Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany;
Research visit: June 10-13, 2007;
Talk: "Constructing jump analogues of diffusions and application to finance", June 12, 2007

Prof. Monique Jeanblanc, Département de Mathématiques, Université d'Evry, France;
Research visit: June 3-16, 2007;
Talk 1: "CDS prices in a general case - case of several defaults - hedging strategies", June 4, 2007
Talk 2: "Hedging defaultable claims: single default", June 4, 2007

Dr. Pavel V. Shevchenko, Division of Mathematical and Information Sciences, Commonwealth Scientific and Industrial Research Organisation (CSIRO), Sydney, Australia;
Research visit: May 27 - June 2, 2007;
Talk: "Modelling Operational Risk", May 29, 2007

Prof. Fred Espen Benth, Department of Mathematical Sciences, University of Oslo, Norway;
Research visit: May 13-16, 2007;
Talk: "Options and the stochastic volatility model of Barndorff-Nielsen and Shephard", May 15, 2007

Dr. Pavel Grigoriev, Department of Mathematics, University of Leicester, UK;
Research visit: April 22-30, 2007;
Talk: "Risk measures: Law-invariance and time consistency", April 24, 2007

Prof. Laszlo Gyorfi, Budapest University of Technology and Economics, Budapest, Hungary;
Research visit: April 15-21, 2007;
Lecture: "Empirical log-optimum portfolio selection", April 16-20, 2007

Christina Ziehaus, Vienna University, Austria;
Talk: "Variable Selection in the Context of linear Regression", April 10, 2007

Takahiro Tsuchiya, Graduate School of Mathematics, Ritsumeikan University, Kusatsu, Japan;
Research visit: February 1-8, 2007;
Talk: "What is the natural scale for a Lévy process in modelling term structure of interest rates?", February 6, 2007

Tom A. Ashu, University of Kaiserslautern, Germany;
Research visit: January 15-17, 2007;
Talk: "Asset Liability Management for Pension funds using Conditional Value at Risk constraints", January 16, 2007.

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