Schedule

Sunday September 9th, 2012

Monday September 10th, 2012

8:30 - 9:00: Registration
9:00 - 9:05: Welcome
9:05 - 10:35: G. Pflug, Risk Measures 1
10:35 - 11:00: Coffee Break
11:00 - 12:30: V. Schmidt, Methods of spatial stochastic modelling, with applications to analysis and simulation of insurance risks 1
12:30 - 14:00: Lunch
14:00 - 16:00: Welcome to the University, Tour of the campus and coffee
16:00 - 17:30: S. Ankirchner, The Skorokhod embedding problem and applications in Economics and
Finance 1

Tuesday September 11th, 2012

9:00 - 10:30: S. Ankirchner, The Skorokhod embedding problem and applications in Economics and
Finance 2
10:30 - 11:00: Coffee Break
11:00 - 12:30: G. Pflug, Risk Measures 2
12:30 - 14:00: Lunch
14:00 - 14:25: G. Ferrara, Forecast combination with Bayesian Model
14:30 - 14:55: A. Pierini, A Multivariate VEC-BEKK model for portfolio selection
15:00 - 18:00: Guided tour Ulm and Neu-Ulm

Wednesday September 12th, 2012

9:00 - 10:30: H. Zwiesler/J. Ruß, Stochastic methods in modern life insurance 1
10:30 - 11:00: Coffee Break
11:00 - 12:30: H. Zwiesler/J. Ruß, Stochastic methods in modern life insurance 2
12:30 - 14:00: Lunch
14:00 - 15:30: G. Pflug, Risk Measures 3
15:30 - 16:00: Coffee Break
16:00 - 17:30: S. Ankirchner, The Skorokhod embedding problem and applications in Economics and Finance 3

Thursday September 13th, 2012

9:00 - 10:30: H. Zwiesler/J. Ruß, Stochastic methods in modern life insurance 3
10:30 - 11:00: Coffee Break
11:00 - 12:30: M. Podolskij, Statistical methods of high-frequency data I 1
12:30 - 14:00: Lunch
14:00 - 14:25: M. Rezapour, Extremal behavior of stochastic integrals with iid regularly varying predictable integrands
15:00 - 20:00: Excursion to Blaubeuren

Friday September 14th, 2012

9:00 - 10:30: M. Podolskij, Statistical methods of high-frequency data I 2
10:30 - 11:00: Coffee Break
11:00 - 12:30: A. Schied, Mathematical aspects of electronic trading and market impact 1
12:30 - 14:00: Lunch
14:00 - 15:30: V. Schmidt, Methods of spatial stochastic modelling, with applications to analysis and simulation of insurance risks 2
15:30 - 16:00: Coffee Break
16:00 - 17:30: A. Schied, Mathematical aspects of electronic trading and market impact 2

Saturday September 15th, 2012

9:00 - 10:30: A. Schied, Mathematical aspects of electronic trading and market impact 3
10:30 - 11:00: Coffee Break
11:00 - 12:30: M. Podolskij, Statistical methods of high-frequency data I 3

Sunday September 16th, 2012

Monday September 17th, 2012

9:00 - 10:30: S. Asmussen, Heavy-tailed sums: simulation and dependence 1
10:30 - 11:00: Coffee Break
11:00 - 12:30: S. Asmussen, Heavy-tailed sums: simulation and dependence 2
12:30 - 14:00: Lunch
14:00 - 14:25: B. Zhao, A Jump-Diffusion Process with Given Marginal Densities to Price Volatility Derivatives
14:30 - 14:55: N. Rodosthenous, Perpetual American options in diffusion-type models with running maxima and drawdowns
15:00 - 15:25: S. Rujivan, A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
15:30 - 16:00: Coffee Break
16:00 - 17:30: V. Schmidt, Methods of spatial stochastic modelling, with applications to analysis and simulation of insurance risks 3

Tuesday September 18th, 2012

Wednesday September 19th, 2012

9:00 - 10:30: J. Jacod, Statistical methods of high-frequency data II 2
10:30 - 11:00: Coffee Break
11:00 - 12:30: R. Stelzer, Multivariate stochastic volatility modelling 2
12:30 - 14:00: Lunch
14:00 - 14:25: A. Scott, Rare Event Simulation for Diffusions
14:30 - 14:55: C. Zhang, Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes
15:00 - 15:25: H. Eyjolfsson, A Fourier simulation scheme for Levy semistationary processes
15:30 - 16:00: Coffee Break
16:00 - 17:30: V. Fasen, Extremal behaviour of stochastic processes 2

Thursday September 20th, 2012

Friday September 21st, 2012

9:00 - 10:30: V. Fasen, Extremal behaviour of stochastic processes 3
10:30 - 11:00: Coffee Break
11:00 - 12:30: R. Stelzer, Multivariate stochastic volatility modelling 3
12:30 - 14:00: Lunch
14:00 - 14:25: Z. Cui, Deterministic criterion for the martingale property of correlated stochastic volatility models
14:30 - 14:55: Ch. Lorenz, Drift Dependence of Optimal Order Execution Strategies Under Transient Price Impact
15:00 - 15:30: Coffee Break
15:30 - 17:00: J. Jacod, Statistical methods of high-frequency data II 3

Saturday September 22nd, 2012