20/04/2005 22/04/2005

Workshop Stochastic Analysis and Applications in Finance

The workshop is concerned with applications of stochastic analysis and related fields to problems from finance such as the pricing and hedging of derivatives and optimal portfolio choice. Both issues are well-understood in standard linear finite-dimensional models with complete markets and symmetric information. However, these models are at best a stylized picture of real markets, and the development of new, more realistic models leads to challenging mathematical questions. The two-day workshop will focus on two issues in this area, infinite-dimensional models on the one hand and models with incomplete markets and incomplete information on the other. Before the workshop there will be a one-day minicourse on stochastic analysis in infinite dimensions with applications to financial mathematics.


Apr 20, 2005
08:00 - 07:01
09:15 - 10:45 Josef Teichmann (Technische Universität Wien, Wien, Austria)
Stochastic Analysis in infinite dimensions with Applications to Term Structure Models I
10:45 - 11:15
11:15 - 12:45 Jerzy Zabczyk (Polish Academy of Sciences, Warsaw, Poland)
Stochastic evolution equations with Levy noise
12:45 - 14:30
14:30 - 16:00 Josef Teichmann (Technische Universität Wien, Wien, Austria)
Apr 21, 2005
08:00 - 07:01
08:00 - 07:01
08:00 - 07:01
09:00 - 09:15
09:15 - 10:00 Rama Cont (Ecole Polytechnique, Paris, France)
Model uncertainty and its impact on the pricing of derivative instruments
10:00 - 10:45 Dariusz Gatarek (NumeriX LLC, London, United Kingdom)
Pricing of callable financial instruments in high dimensions
10:45 - 11:15
11:15 - 12:00 Jerzy Zabczyk (Polish Academy of Sciences, Warsaw, Poland)
Portfolio diversification with Markovian prices
12:00 - 12:45 Josef Teichmann (Technische Universität Wien, Wien, Austria)
Calculation of the Greeks for jump-diffusions
12:45 - 14:30
14:30 - 15:05 Raquel Gaspar (Stockholm School of Economics, Stockholm, Sweden)
Finite-Dimensional Realizations of Forward-Price Term Structure Models
15:05 - 15:40 Hans Bühler (TU Berlin und Deutsche Bank, Berlin, Germany)
Consistent Variance Curve Models
15:40 - 16:15 Anne Gundel (HU Berlin, Berlin, Germany)
Utility maximization with a shortfall risk constraint under model uncertainty
16:15 - 16:45
16:45 - 17:20 Thorsten Schmidt (Universität Leipzig, Leipzig, Germany)
Infinite Dimensional Models for Credit and Mortgage Risk
17:20 - 17:55 Thilo Meyer-Brandis (University of Oslo, Oslo, Norway)
White Noise Approach to Evolution Equations Driven by Hilbert Space Valued Levy White Noise
20:00 - 21:00
Apr 22, 2005
09:15 - 10:30 Wolfgang J. Runggaldier (Università degli Studi di Padova, Padova, Italy)
Survey Lecture: On Portfolio Optimization and Hedging under incomplete Information
10:30 - 11:00
11:00 - 11:45 Thorsten Rheinländer (London School of Economics, London, United Kingdom)
Minimal Entropy Martingale Measure in generalized Barndorff-Nielsen/Shephard Models
11:45 - 12:30 Monique Jeanblanc (Université d'Évry, Evry, France)
PDE Approach to valuation and hedging of credit derivatives
12:30 - 14:30
14:30 - 15:15 Alexander Schied (Technische Universität Berlin, Berlin, Germany)
Duality theory for optimal investments under model uncertainty
15:15 - 16:00 Eckhard Platen (School of Finance and Economics, Sidney, Australia)
A Benchmark approach to Finance
16:00 - 16:30
16:30 - 17:15 Dirk Becherer (Imperial College, London, United Kingdom)
On Constructive Solutions for Hedging and Valuation by Utility Indifference


Francis Insorh Akolbila

Elisa Alòs

Hirbod Assa

Ezekiel Olusola Ayoola

Jochen Backhaus

Nicole Baeuerle

Dirk Becherer

Arne Becker

Denis Belomestny

Yuliya Bregman

Hans Bühler

Raquel Bujalance

Ricardo Castano-Bernard

Rama Cont

Markus Fischer

Uta Freiberg

Teresa García Muniesa

Raquel Gaspar

Dariusz Gatarek

Anne Gundel

Jacek Jakubowski

Mesrop Janunts

Monique Jeanblanc

Xu Ling

Carlo Marinelli

Thilo Meyer-Brandis

Agatha Murgoci

Mariusz Niewęgłowski

Frank Oertel

Eckhard Platen

Ulrike Polte

Monika Popp

Thorsten Rheinländer

Ulrich Rieder

Wolfgang J. Runggaldier

Matthias Scherer

Alexander Schied

Thorsten Schmidt

Stephan Sturm

Josef Teichmann

Marco Tolotti

Constanze Wäldrich

Ubbo Wiersema

Christoph Winter

Johannes Wissel

Wiebke Wittmüß

Ralf Wunderlich

Jerzy Zabczyk

Carsten Zecher

Scientific Organizers

Rüdiger Frey

Universität Leipzig

Thorsten Schmidt

Universität Leipzig

Stefan Müller

Max Planck Institute for Mathematics in the Sciences

Administrative Contact

Katja Bieling

Max Planck Institute for Mathematics in the Sciences, Leipzig Contact via Mail