Mini-Workshop in Stochastic Computing and Optimization

Würzburg, Germany, September 30 - October 2, 2014

Program in short:

Arrival: Tuesday, Sept 30th
Workshop Dinner: Tuesday 30th evening
Invited lectures: Wednesday 1st after the lunch - Thursday 2nd afternoon
Contributed talks: Thursday 2nd afternoon
Closing of the workshop: Thursday 2nd 4:00 p.m.

Mid-Term Review (afternoon Tuesday 30th to about lunch time Wednesday 1st)

Preliminary Workshop Program

Tuesday, September 30th, 2014:

20:00Welcome and Workshop Dinner

Wednesday, October 1st, 2014:

14:00 – 14:30Registration
at the Hubland Campus in the Informatics Building - Turing Lecture Room (How to reach the Computer Science Building (Informatik)).

14:30 – 15:00Welcome and Opening of the Workshop

15:00 – 15:45Kees Oosterlee

Fourier cosine expansions for backward stochastic differential equations in finance

15:45 – 16:30Maya Briani

Numerical methods for pricing options under jump--diffusion processes and stochastic volatility models

16:30 - 17:00Coffee break

17:00 – 17:45Andrea Pascucci

Implied volatility for any local-stochastic volatility model

Thursday, October 2nd, 2014

09:00 – 09:45Mario Annunziato

A new trend in optimal control of stochastic processes

9:45 – 10:30Carlos Vázquez Cendón

Efficient calibration and pricing with SABR models and GPUs

10:30 – 11:00Coffee break

11:00 – 11:45Hanno Gottschalk

Statistical investigations of finance data and some consequences for market models driven by Levy noise

11:45 – 12:30Marcin Magdziarz

Fractional Fokker-Planck equations - properties and applications

12:30 – 14:00Lunch break

14:00 - 16:00Contributed Talks

Qian Feng

Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model

Anton van der Stoep

The Time-Dependent FX-SABR Model: Efficient Calibration based on Effective Parameters

16:00 End of Workshop

last update: 17/09/2014