STOCHASTIC FINANCE 2004
AUTUMN SCHOOL & INTERNATIONAL CONFERENCE
Coimbra, 20-24 September & Lisbon, 26-30 September, Portugal
Scientific event promoted by CIM (Centro Internacional de Matemática)
and hosted by CIM & ISEG
www.iseg.utl.pt/~stochfin2004
INTERNATIONAL CONFERENCE
Plenary lectures, invited lectures, contributed talks and posters
Scientific Committee
Albert N.Shiryaev (Chairman)
Ole E. Barndorff-Nielsen
Ernst Eberlein
Conference Thematic Sections
1. Math. Finance-Stochastic Models
2. Derivative Pricing
3. Interest Rate Term Struct. Modeling
4. Portfolio Management
5. Integrated Risk Management
6. Mathematical Economics
7. Finance
8. Quant. And Computational Models and
Methods
Plenary Speakers
Albert Shiryaev - Steklov Math. Inst, Russia
Ait-Sahalia - Princeton University, USA
Barndorff-Nielsen - Univ. of Aarhus, Denmark
Hans Foellmer - Humboldt Universitat zu Berlin
Tomas Bjork - Stockholm School of Economics, Sweden
Paul Embrechts - ETH-Zentrum, Zurich, Switzerland
Yoannis Karatzas - Columbia University, New York, USA
N. El Karoui - École Polytechnique, Palaiseau, France
Eckhard Platen - Univ of Technology, Sydney, Australia
Stanley Pliska - Department of Finance, Chicago, USA
Marek Rutkowski - Warsaw Univ of Technology, Poland
Invited Speakers
Youri Kabanov - Université de Franche-Comté, France
Ernst Eberlein - University of Freiburg - Germany
Bent Jesper Christensen - University of Aarhus, Denmark
Wolfgang Runggaldier - Universitŕ degli Studi di Padova, Italy
Dmitry Kramkov - Carnegie Mellon University, USA
Monique Jeanblanc - Université d'Evry Val d'Essonne, France
Xun-Yu Zhou - Chinese University of Hong Kong, China
Nizar Touzi - CREST, Laboratoire de Finance et Assurance, France
Claudia Klüppelberg - Technische Universität München, Germany
Yoshio Mayahara - Nagoya City University, Japan
Michael Sřerensen - University of Copenhagen, Denmark
AUTUMN SCHOOL
Five courses on basic theoretical aspects of financial mathematics and
applications arising
from business problems
C1. Introduction to Stochastic Differential Equations - Carlos Braumann
(Univ. Évora)
C2. Arbitrage Theory in Continuous Time - Tomas Bjork (Stockholm School
of Economics)
C3. Extremes and Risk Management Ivette Gomes (FCUL, Univ. Lisbon,
Portugal)
C4. Risk Management Joăo Duque (ISEG, Techn. Univ. Lisbon)
C5. Intr. to Statistical Inference on Diffusion Processes J. Nicolau
(ISEG, Techn. Univ.
Lisbon)
20-24 September --- Observatório Astronómico da Universidade de Coimbra
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