Statistical Modeling of Complex Systems and Processes

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)