Runggaldier2007

Program

	Monday, 16	Tuesday, 17	Wednesday, 18	Thursday, 19	Friday, 20
9.00 - 9.30	Opening session	Bensoussan	Biagini	Di Masi	Touzi
9.30 - 10.00	Mercurio	Hipp	Frey	Picci	Schweizer
10.00 - 10.30	Chiarella	Elliott	Tolotti	Andreatta	Ortu
10.30 - 11.00	Coffee break
11.00 - 11.30	Platen	Pratelli	Jaschke	Mitter	Kohlas
11.30 - 12.00	Eberlein		Bonollo	Spizzichino	Kabanov
12.30 - 15.00	Lunch
15.00 - 15.30	Favero	Nagai	Excursion Passo delle Erbe (bring comfortable shoes!)	Thomaseth	Romanin Jacur
15.30 - 16.00	Spreij	Frittelli		Pasquali	Grasselli
16.00 - 16.30	Coffee break			Coffee break
16.30 - 17.00	Sondermann	Liptser		Finesso
17.00 - 17.30	Zane	Taksar
19.00 -	Dinner			Social Dinner	Dinner
				Social Dinner	Farewell party

Giovanni Andreatta, Universit≒ di Padova
Airport Congestion: Demand Management Strategies and Equity Issues
Alain Bensoussan, University of Texas, Dallas
Real Options
Francesca Biagini, Universit∽t M◯nchen
Local Risk-Minimization for Defaultable Markets
Michele Bonollo, Banco Popolare di Verona e Novara
Stress Testing in Market Risk Management: Theory and Practice
Carl Chiarella, University of Technology, Sydney
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines
Giovanni Battista Di Masi, Universit≒ di Padova
Ergodicity of filtering processes by vanishing discount approach
Ernst Eberlein, Universität Freiburg
Efficient valuation of exotic derivatives in Lévy models
Robert J. Elliott, University of Calgary
Insurance Claims Modulated by a Hidden Marked Point Process
Gino Favero, Universit≒ Bocconi, Milano
Some issues about sublinear price functionals
Lorenzo Finesso, ISIB-CNR, Padova
Approximate factor analysis models
R◯diger Frey, Universit∽t Leipzig
Credit Risk with Filtered Market Information
Marco Frittelli, Universit≒ degli Studi, Milano
Indifference price with unbounded processes and claims: an Orlicz space approach.
Martino Grasselli, Universit≒ di Padova
Demographic risk sharing in overlapping generations: the case of DC pension funds
Christian Hipp, University of Karlsruhe
Optimal dividend distribution under a ruin constraint for Brownian motion
Stefan Jaschke, Munich Re, Munich
Internal risk models in insurers and banks
Yuri Kabanov, Universit∬ de Franche-Comt∬, Besancon
Mathematical theory of financial markets with transaction costs
Juerg Kohlas, University of Freiburg
Uncertain information: Random variables in a graded semilattice
Robert Liptser, Tel Aviv University
Ruin Analysis in the constant elasticity of variance model
Fabio Mercurio, Banca IMI, Milano
Libor market models with stochastic volatility
Sanjoy Mitter, Massachusetts Institute of Technology
Statistical Inference and Statistical Mechanics
Hideo Nagai, University of Osaka
Asymptotics of the probability minimizing a down-side risk: Partial information case
Fulvio Ortu, Universit≒ Bocconi, Milano
Asset Prices and the Marginal Utility of Optimal Intertemporal Wealth
Sara Pasquali, IMATI-CNR, Milano
Bayesian inference in a stochastic predator-prey system
Giorgio Picci, Universit≒ di Padova
Almost sure Convergence to Consensus of Random Gossip Algorithms
Eckhard Platen, University of Technology, Sydney
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Maurizio Pratelli, Universit≒ di Pisa
From Malliavin calculus on Wiener space to Malliavin calculus on Poisson space
Giorgio Romanin Jacur, Universit≒ di Padova
Hospital emergency services: models and simulation
Martin Schweizer, ETH, Zurich
Using stochastic control in robust portfolio selection
Dieter Sondermann, University of Bonn
TBA
Fabio Spizzichino, Universit≒ di Roma - La Sapienza
Conditions for Positive Dependence in Reduced Form Models
Peter J.C. Spreij, University of Amsterdam
Deconvolution for an atomic distribution
Michael Taksar, University of Missouri
TBA
Karl Thomaseth, ISIB-CNR, Padova
Bayesian inference in dynamic modeling of biological systems
Marco Tolotti, Universit≒ Bocconi, Milano
Large Portfolio losses; A dynamic contagion model
Nizar Touzi, Ecole Polytechnique, Paris
Probabilistic numerical methods for fully nonlinear PDEs
Omar Zane, ABN-AMRO, London
TBA