Workshop on Recent Developments in Numerical Methods with Applications in Statistics and Finance
Speakers and Titles
- Aurelien Alfonsi (Paris)
- Christian Bayer (Berlin): Smoothing the payoff for efficient computation of basket options
- Kathrin Glau (Munich): Parametric Option Pricing by Interpolation
- Manolis Georgoulis (Athens/Leicester): Reduced complexity space-time discontinuous Galerkin methods for degenerate parabolic problems
- Emmanuel Gobet (Paris): Price expansion in local-stochastic volatility model: vanilla and barrier options
- Ralf Korn (Kaiserslautern): Pricing of cliquet options and their use in life insurance products
- Annika Lang (Göteborg): Simulating weak convergence rates for SPDE approximations
- Mikko Pakkanen (London): Hybrid scheme for moving average processes and random fields
- Lina von Sydow (Uppsala): Efficient and accurate pricing of options
- Michaela Szölgyenyi (Vienna): Numerical methods for SDEs with discontinuous drift appearing in mathematical finance
- Lukasz Szpruch (Edinburgh)
- Nizar Touzi (Paris): Branching diffusion representation of nonlinear PDEs
Program
| Thursday | Friday | ||
| 09.00-09.45 | Lang | 09.00-09.45 | Touzi |
| 09.45-10.30 | Szölgyenyi | 09.45-10.30 | von Sydow |
| 10.30-11.00 | Coffee break | 10.30-11.00 | Coffee break |
| 11.00-11.45 | Szpruch | 11.00-11.45 | Pakkanen |
| 11.45-12.30 | Gobet | 11.45-12.30 | Bayer |
| 12.30-14.30 | Lunch & Discussions | 12.30-14.30 | Lunch & Discussions |
| 14.30-15.15 | Alfonsi | 14.30-15.15 | Korn |
| 15.15-16.00 | Georgoulis | 15.30 | End |
| 16.00-16.45 | Glau | ||
| 17.00-18.00 | Poster session & flash talks | ||
| 19.30 | Dinner |
Practical information
Date: 8 and 9 June 2017
Venue: University of Mannheim, B6
Organizers
Andreas Neuenkirch (Mannheim), Antonis Papapantoleon (Mannheim)