Program and abstracts are now online: | ||
| Program | ||
| Abstracts | ||
Conference Venue: | ||
The summer school and all talks will take place at:
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Courses by Invited Speakers: | ||
| Alexander Gushchin: | Duality methods in robust utility maximization (slides) | |
| Michael Kalkbrener: | Understanding the behaviour of credit correlations under stress (slides) | |
| Rüdiger Kiesel: | Introduction to energy markets (slides1, slides2, slides3) | |
| Alexander Kulikov: | One-dimensional and multi-dimensional coherent risk measures: examples, properties and applications to different problems in mathematical finance (slides1, slides2) | |
| Aleksandar Mijatovic: | First passage in stochastic volatility models with jumps: applications in financial markets (slides) | |
| Ulrich Rieder: | Markov decision processes with applications to finance (slides) | |
| Albert Shiryaev: | Optimal stopping with local time Probabilistic and algorithmic approaches to the concept of randomness (slides) | |
Talks: | ||
| Sören Christensen | On optimal stopping of autoregressive sequences (slides) | |
| Yaroslav Lyulko | Stochastic representations of max-type functionals from random walk (slides) | |