Visiting addressNiels Henrik Abels hus Moltke Moes vei 35 (map)
Welcome to the conference on Stochastics of Environmental and Financial Economics. The conference will bring together leading researchers in the fields of stochastic analysis and finance to discuss recent developments and challenges with an edge towards energy, environmental and financial markets.
Jocelyne Bion-Nadal (CNRS and Ecole Polytechnique) holder et seminar med tittelen: Martingale problem for integro-differential operators with path dependent coefficients
Sara Ana Solanilla Blanco (University of Oslo) holder et seminar med tittelen: Approximation of the HDD and CDD temperature futures price dynamics
Professor Harry Zheng (Imperial College, London) holder et seminar med tittelen: Existence and Construction of Smooth Solutions to HJB Equations and Applications
Professor Yaozhong Hu (University of Kansas) holder et seminar med tittelen: Density convergence for some nonlinear Gaussian stationary sequences
Paul Krühner (UiO) holder et seminar med tittelen: Optimal bounds for SDE's with measurable drift coefficient
Dr. Alexander Schnurr (TU Dortmund) holder et seminar med tittelen: A Canonical Way to Derive Properties of Lévy-Type Processes
Professor Yaozhong Hu (University of Kansas) holder et seminar med tittelen: Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency
Risk measures are set to quantify in terms of assets/money the amount of financial risk associated to a certain financial position. The purposes for such evaluations are many and interesting both from the investors perspectives and regulators. As example, these evaluations are important to quantify the amount of reserve that financial institutions, such as banks or insurance companies, have to set aside as hedging guarantee. In the recent years large attention is given towards convex and coherent risk measures.
A series of 10 lectures will be held by Prof. Giacomo Scandolo, Department of Mathematics, University of Verona (Italy), visiting scholar at our department.
The course is suggested to Master and PhD students in the area of Stochastic Analysis, Insurance, and Risk as well as practitioners in the area.
Torstein Nilssen (Universitetet i Oslo) holder et seminar med tittelen: Malliavin differentiability for a class of SDE's in Hilbert spaces.
Professor B. Rajeev (India Statistical Institute, Bangalore) holder et seminar med tittelen: The Monotonicity Inequality on Hermite-Sobolev spaces.
David Ruiz Baños (University of Oslo) holder et seminar med tittelen: On the regularity of densities of SDE's. A classical solution to the stochastic transport equation
Prof. Dr. Stefan Ankirchner (University of Bonn) holder et seminar med tittelen: The Skorokhod embedding problem for homogeneous diffusions and applications to stopping contests
Hanna Zdanowicz (Univeritetet i Oslo) holder et seminar med tittelen: Pricing of energy spread options by Fourier transform
Dr. Benjamin Holcblat (BI Norwegian Business School) holder et seminar med tittelen: A Classical Moment-Based Approach with Bayesian Properties: Econometric Theory and Empirical Evidence from Asset Pricing
Jukka Lempa (Oslo and Akershus University college of applied sciences) holder et seminar med tittelen: Resolvent-techniques for multiple exercise problems
Professor Madan L. Puri (Indiana University) holder et seminar med tittelen: Asymptotic Normality, Rates of Convergence, and Large Deviation Probabilities for a Broad Class of Statistics.
Professor Paul Ehling (BI Norwegian Business School): Asset Prices and Portfolio Choice with Learning from Experience
Paul Krühner (University of Oslo) holder et seminar med tittelen: On uniqueness of Markov processes described by a symbol.
Marcus Eriksson (Universitet i Oslo): Green certificates in the Nord Pool market
David Ruiz Baños (Universitetet i Oslo) holder et seminar med tittelen: Computing Greeks without Derivatives
Oleg Reichmann (ETH Zurich) holder et seminar med tittelen: Time and space inhomogeneous models in option pricing
Professor G. Scandolo (University of Verona and Firenze) holder et seminar med tittelen: Assessing Financial Model Risk
Sara Ana Solanilla Blanco (Universitetet i Oslo) holder et seminar med tittelen: Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes