Model-based analysis of contracts and portfolios has become a standard in the finance industry, and the number of academic institutions offering curricula in financial mathematics is increasing rapidly. In this context, the winter school on Mathematical Finance that will take place January 24-26, 2011 in Lunteren aims at providing a meeting place for participants both from industry and from academia.
The program provides ample opportunity for discussion.
The special topics of the 10th winter school are Energy Markets and Malliavin Calculus in Finance. These are the subjects of minicourses that will be taught by two distinguished speakers: Professor R¨udiger Kiesel (Universit¨at Duisburg-Essen) and Professor Bernt Oksendal (University of Oslo). Additionally there will be three onehour lectures by Professors Hansjoerg Albrecher (Universit´e de Lausanne), Gilles Pag`es (Universit´e de Paris VI) and Johan Tysk (Uppsala Universitet). Thirty-minute lectures on recent research work in the Netherlands will be presented by Ove G¨ottsche (Twente University), Michiel Janssen (Universiteit van Amsterdam and Eureko), Roel Mehlkopf (Tilburg University) and Enno Veerman (Universiteit van Amsterdam).
Auspices and sponsoring
The winter school takes place under the auspices of the following research schools:
- Center for Economic Research (CentER)
- STAR.
CentER is the research school of the Faculty of Economics and Business Administration of Tilburg University. The stochastics groups of the mathematics departments of the universities in The Netherlands cooperate in STAR. The winter school is supported financially by CenTER, STAR, and by the Netherlands Organization for Scientific Research (NWO). Administrative assistance is provided by the Korteweg-De Vries Institute for Mathematics of the Universiteit van Amsterdam.
Organizers
The winter school is organized by:
Hans Schumacher (Department of Econometrics and Operations Research, Tilburg
University; tel. 013-4662050, e-mail jms@uvt.nl)
Peter Spreij (Korteweg–De Vries Institute for Mathematics, Universiteit van Amsterdam;
tel. 020-5256070, e-mail spreij@uva.nl).
Program outline
The program starts with registration and coffee on Monday, January 24, from 10:30 to 11:30, and ends on Wednesday, January 26, at 16:00. The following events are planned:
Minicourses
R¨udiger Kiesel
Modelling energy markets
Bernt Oksendal
Malliavin calculus for L´evy processes and applications to Finance
Special invited lectures
Hansjoerg Albrecher
Solvency modelling with dependent risks
Gilles Pag`es
Dual quantization methods and application to Finance
Johan Tysk
Boundary behaviour of densities for non-negative diffusions
Short contributions
Ove G¨ottsche
Option pricing and the cost of risk
Michiel Janssen
Portfolio optimisation with a value at risk constraint in the presence of unhedgeable
risks
Roel Mehlkopf
Intergenerational risk sharing and long-run labor income risk
Enno Veerman
The affine transform formula for affine jump-diffusions with a general closed convex
state space
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Web page
Please see www.mathfin.nl for the latest information about the winter school.
Venue
The winter school will take place at Congreshotel De Werelt, Westhofflaan 2, Lunteren, tel. 0318-484641, fax 0318-482924. Located in the heart of the Veluwe forest, De Werelt is one of the top accommodations in the Netherlands in terms of attractiveness of surroundings. Access by car or by public transportation is easy.
By train, the village of Lunteren can be reached in twenty minutes from Amersfoort, and in ten minutes from Ede-Wageningen. It takes about fifteen minutes to walk from the railway station in Lunteren to the conference center (see directions below). If you come by car, ANWB signs in Lunteren will guide you to the venue. It is also possible to take a taxi from the taxi stand at railway station Ede- Wageningen. To get a taxi in Lunteren, call 0318-484555. For further details please see www.congrescentrum.com/route/EN/de_werelt.
Directions from the railway station: leaving the station, turn right across the pebblecovered
parking lot. Turn left into the forest (Boslaan). At the crossroads, turn right into Molenweg. The first turn left is Westhofflaan.
Special Topics:
Energy Markets
Malliavin Calculus in Finance
January 24 - 26, 2011
CongresHotel De Werelt, Lunteren
Sponsored by NWO, STAR, and CentER
