CENTRE DE MATHEMATIQUES APPLIQUEES
CENTRE DE MATHEMATIQUES APPLIQUEESCNRS UMR 7641 - Ecole Polytechnique
91128 Palaiseau, France.
CONTACTS:
Nicole EL KAROUI ( elkaroui@cmapx.polytechnique.fr
).
Rama CONT (Rama.Cont@polytechnique.fr)
.
TELEPHONE:
01 69 33 46 26.
FAX:
01 69 33 30 11.
LIEU:
Salle de Conférences - Aile 0, Niveau 3.
Centre de Mathématiques Appliquées
Ecole Polytechnique
91128 Palaiseau.
Acces RER B: Massy Palaiseau + Bus 91-06 (Arret: Ecole Polytechnique)
ou Lozere (suivre les panneaux).
Adam KURPIEL(Universite de Bordeaux IV):
American options exercise
policy under stochastic volatility.
Hossein KAZEMI(University of Massachussets):
Calculating the Market Price
of Risk from Interest Rate Processes.
Andrew MATACZ(Science et Finance, Paris).
An empirical investigation of the
forward interest rate term structure.
Damir Filipovic(ETH Zurich).
Invariant manifolds for stochastic PDEs and the consistency of term structure interpolation methods.
Dmitri KRAMKOV(Tokyo Mitsubishi International, London).
On optimal investment in financial markets
Stefan STRAETMANS(Amsterdam).
Extreme financial returns and their comovements: a multivariate approach.
Wolfgang RUNGGALDIER (Padova):
A filtering approach to pricing in multivariate term structure models.
Jean-Philippe BOUCHAUD (CEA Saclay):
The Worst Fluctuation Method for Value at Risk calculation.
Irene GIARDINA (CEA Saclay).
Minority Games: simple models for adaptive competition in a market.
Rudiger FREY (Zurich).
Illiquid markets as a source of model risk in dynamic hedging
Jean-Pierre FOUQUE(North Carolina State University):
Pricing and Hedging under fast mean-reverting Stochastic
Volatility: a martingale approach.
Thierry DELAHAUT(Universite de Toulouse):
Queues de distributions des rendements dans les modeles de
marchés speculatifs
avec interactions entre agents.
Monique JEANBLANC (Univ. d'Evry):
Le role de l'information dans les modeles de risque de défaut.
The role of information in default risk modeling.
Workshop on:
Stochastic volatility models and Levy processes.
Masanao AOKI (Dept of Economics, UCLA)
Open models of stock markets with two types of participants.
Masanao AOKI (Dept of Economics, UCLA)
Open models of stock markets with two types of participants.
Stanley PLISKA (University of Illinois, Chicago)
Interest-rate sensitive risk management.