ANNOUNCEMENT
Workshop on
"Exotic option pricing under advanced Lévy models"
http://www.eurandom.tue.nl/workshops/2004/Exotic%20pricing/exotic_pricing.ht
m
EURANDOM, Eindhoven, The Netherlands
May 3 and 4, 2004
Summary
In recent years more and more attention has been given to stochastic models
of financial markets which depart from the traditional Black-Scholes model;
that is to say both in academia and financial institutions alike. In
particular focus has been placed on modelling risky assets with
semi-martingales. For example Lévy process based models are able to take
into account different important stylised features of financial time series.
The consequence of working with more advanced stochastic models forces a
number of new mathematical challenges with respect to exotic derivatives.
Exotic derivatives are gaining increasing importance as financial
instruments and are traded nowadays in large quantities in over the counter
markets. Examples of these exotic options are lookback, barrier, Asian,
Parisian, Bermudian, Russian, Israeli, Passport, Cliquet, digital, swing,
corridor, Variance Swap options etc. Moreover these instruments are finding
their way into other businesses like the (re-)insurance; for example
catastrophe options, weather derivatives and energy derivatives are useful
in handling different kinds of risk.
Mathematical issues at stake include: multiple inverse Fourier transform
techniques, issues of smooth and continuous pasting in free boundary and
optimal stopping problems, extracting overshoot distributions from
Wiener-Hopf factorisations, characterizing distributions of functionals of
Levy processes, wavelet and other sub-basis methods for American-type option
pricing, Monte-Carlo simulations and other numerical techniques.
This workshop aims to bring people together from both industry and academia
to overview recent results, discuss imminent problems and motivate new
research.
Special lectures by
Dilip Madan,University of Maryland at College Park
Peter Carr, New York University and Bloomberg
Marc Yor, Université Paris VI
Albert Shiryaev, Stekolov Mathematical Institute and Moscow State
University
Speakers and Discussion chairmen
Hansjörg Albrecher, Technische Universität Graz
Paulinne Barrieu, London School of Economics
Peter Carr, New York University and Bloomberg
Freddy Delbaen, ETH-Zentrum
Richard Hudson, The Wall Street Journal
Christoph Kühn, Johann Wolfgang Goethe-Universität
Andreas Kyprianou, Universiteit Utrecht
Elisa Nicolato,University of Aarhus
David Nualart, Universitat de Barcelona
Dilip Madan ,University of Maryland at College Park
Goran Peskir, University of Aarhus
Frédérique Petit , Université Paris VI
Wim Schoutens, K.U.Leuven - U.C.S.
Albert Shiryaev, Stekolov Mathematical Institute and Moscow State
University
Nick Webber, Cass Business School
Marc Yor, Université Paris VI
Please contact Dr. A. Kyprianou, Utrecht University ([log in to unmask])
and Dr. W. Schoutens, K.U.Leuven ([log in to unmask]) if you
need more information.
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