List of Speakers and Title of Talks
(1) Claudio Albanese, Credit Barrier Models
(2) Tomasz
R.
Bielecki, Hedging of Default Risk: Incomplete Case
(3) Abel Cadenillas, Optimal Manager Compensation with Choice of Effort
and Volatility
(4) Rene Carmona, Spreads, Swings, and Temperature Options: Mathemati-
cal Challenges
(5) Tyrone Duncan, Some Processes Associated with a Fractional Brownian
Motion for Finance
(6) Nicole El Karoui, Optimal Risks Transfer under Dynamic Risk Measure
(7) Robert J. Elliott, Pricing Untradable Claims
(8) Wendell H. Fleming, Some Optimal Investment, Production and Con-
sumption Models
(9) Jean-Pierre Fouque, Multiscale Stochastic Volatility Asymptotics
(10) Ulrich Haussmann, Optimal Portfolios Based on Stock Prices when Rates
of Return are Hidden Markov Chains
(11) Kurt Helmes, Computing Optimal Selling Rules for Stocks Using Linear
Programming
(12) Yaozhong Hu, Optimal Portfolio for an Insider
(13) Xin Guo, A Constrained Nonlinear Regular-Singular Control Problem
with Application
(14) Floyd B. Hanson, Robust Estimation of Market Parameters for Stock
Jump-diffusion Models
(15) Daniel Hermindez-Hernandez, Optimal Investment in Incomplete Finan-
cial Markets with Stochastic Volatility
(16) Jacek Jakubowski, On Pricing of Futures and Forward Contracts on a
Zero Coupon Bonds in the Cox-Ingersoll-Ross Model
(17) Roger Lee, Model Free Replication of Path-Dependent Securities
(18) Andrew Lim, Hedging Default in an Incomplete Market
(19) Jin Ma, Pathwise Stochastic Control Problems and Stochastic HJB Equa-
tions
(20) Marek Musiela, Modelling in Finance: Case Study-FX Market
(21) Tao Pang, A Stochastic Control Model in Risk Management
(22) Bozenna Pasik-Duncan, Random Walk around Some Problems in Identi-
fication and Adaptive Control of Stochastic Systems
(23) Eckhard Platen, Incomplete Benchmark Models with Intensity Based Jumps
(24) Stanley
R.
Pliska, An Intensity-Based Approach for Valuation of Mortgage
Contracts Subject to Prepayment Risk
(25) Chris Rogers, Two-Sector Stochastic Growth Models
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