Special of Session of the seminar on Stochastic Analysis, Random Fields and Applications
Financial modeling is a field that attracts researchers and practitionners from different areas of stochastic analysis, scientific computation, statistics and finance. Models involving fractional, stable (or other jump processes) have been introduced to better describe the evolution of financial or insurance assets and to include the possibility of extremal events. Infinite dimensional processes and stochastic partial differential equations have become required tools for describing the evolution of interest rates. Techniques such as the enlargement of filtrations have been performed for modeling default and credit risk and the detection of illegal behaviour such as inside trading. For numerical simulations, tools such as refined Monte- Carlo methods and Malliavin calculus have become important. The minisymposium aims at presenting the state of the art in these topics and will also be an occasion for interaction between practitioners and members of the academic community.
Among the speakers
N. Bouleau (ENPC Paris)
R. Carmona (Princeton)
R. Cont (Polytechnique)
H. Geman (ESSEC + Dauphine)
D. Madan (Maryland)
P. Malliavin (Académie des Sciences Paris)
M. Musiela (BNP Parisbas, London)
B. Øksendal (Oslo)
M. Pratelli (Pisa)
W. Runggaldier (Padova)
W. Schmidt (HfB Frankfurt)
M. Schweizer (ETH Zürich
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Download the poster (PDF) |
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