Non-Semimartingale Techniques in Mathematical Finance

May 26-28, 2009, Helsinki University of Technology

Front page

Organisers

Speakers

Program

Registration

Travelling and accommodation

Venue


Helsinki University of Technology
Department of Mathematics and Systems Analysis

Program

Monday

20:00 - 21:00Organisers are available at the lobby of Hotel Arthur

Tuesday

08:45 - 09:00Registration
09:00 - 10:00W. Schachermayer (The fundamental theorem of asset pricing for continuous processes under small transaction costs)
 Coffee break
10:30 - 11:00T. Meyer-Brandis (Electricity spot price modeling with a view towards spike risk)
11:00 - 11:30E. Platen (A benchmark approach to financial market modelling beyond semimartingales)
11:30 - 12:00Y. Mishura (Long-range dependence and non-semimartingale models in finance)
 Lunch
13:30 - 14:00T. Sottinen (Conditional small balls, local continuity and quadratic variation)
14:00 - 14:30P. Guasoni (The fundamental theorem of asset pricing for discontinuous processes)
14:30 - 15:00R. Cont (Functional Itô formula and stochastic integral representation for functionals of semimartingales)
 Coffee break
15:30 - 16:00T. Pennanen (Superhedging in illiquid markets)
16:00 - 16:30A. Kulikov (Pricing with multidimensional coherent risk measures)
16:30 - 17:00E. Azmoodeh (European call option and fractional frictionless/friction Market)
17:15Get Together

Get together is at the coffee room of the Institute of Mathematics (next to the computer access room). There will be a small evening buffet and beverages available.

Wednesday

09:00 - 10:00F. Russo (Stochastic calculus via regularization and one application to mathematical finance)
 Coffee break
10:30 - 11:00A. Basse (When is a moving average a semimartingale?)
11:00 - 11:30I. Nourdin (Itô's formulas in law for fractional Brownian motion)
11:30 - 12:00J. Picard (A tree approach to calculus for non-semimartingales)
 Lunch
13:30 - 14:00C. Bender (Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus)
14:00 - 14:30G. Peccati (Some limit theorems for functionals of Gaussian or Poisson fields)
14:30 - 15:00J. Schmiegel (Brownian semistationary processes and turbulence modelling)
 Coffee break
15:30 - 16:00A. Ohashi (Weak approximations for Wiener functionals)
16:00 - 16:30Y. Yolcu Ocur (SDE solutions in the space of smooth random variables)
16:30 - 17:00M. Pakkanen (Stochastic Integrals and conditional full support)
18:30Sauna

The sauna is a public Kotiharjun sauna close to the Helsinki city centre. A guide will leave from TKK at 17.30 and another guide from Hotel Arthur at 18.00. If you prefer to come to the sauna by your own, please be at the sauna around 18.30. Check the link for more details and information how to reach there.

Thursday

09:00 - 10:00M. Podolskij (Power variation methods for stochastic processes)
 Coffee break
10:30 - 11:00B. Oksendal (A general maximum principle for anticipating stochastic control and application to insider trading)
11:00 - 11:30J. Corcuera (Multipower variation for Brownian semistationary processes)
11:30 - 12:00J. Woerner (Fractional processes: Modelling and inference)
 Lunch
13:30 - 14:00M. Pontier (Optimal strategies in a risky debt context)
14:00 - 14:30H. Sayit (No arbitrage without semimartingales)
14:30 - 15:00A. Neuenkirch (A Milstein-type scheme without Lévy-area terms for SDEs driven by fractional Brownian motion)
 Coffee break
15:30 - 16:00S. Ortiz-Latorre (Itô-Stratonovich formula for Gaussian Processes: A Riemann sums approach)
19:00Conference Dinner

The conference dinner is at Restaurant Kuu, the address is Töölönkatu 27.


Ari-Pekka Perkkiö Last modified: Fri Aug 22 10:31:25 EEST 2008