SCHEDULE:

9:30-

 

10:00

Registration

10:00-

 

10:35

Fima C. Klebaner (Director, Centre for Modelling of Stochastic Systems, Dept. of Mathematics, Monash University, Melbourne, Australia)
Option Pricing when Stock is a Continuous Semimartingale

10:40-

 

11:15

Fima C. Klebaner (Director, Centre for Modelling of Stochastic Systems, Dept. of Mathematics, Monash University, Melbourne, Australia) and Zinoviy Landsman (Dept. of Statistics) 
Option Pricing for Log-Symmetric Distributions of Returns

11:15-

 

11:45

Coffee Break

11:45-

 

12:20

Elena Radu (Dept. of Statistics)
Option Pricing for Log-Symmetric Hyperbolic Distributions of Returns

12:25-

 

13:00

Arthur Chiragiev (Dept. of Statistics), Zinoviy Landsman (Dept. of Statistics)
Multivariate Flexible Pareto Distribution and Portfolio Allocation

13:00-

 

14:15

Lunch

14:15-

 

14:50

Zinoviy Landsman (Dept. of Statistics)
Translation Invariant and Positive Homogeneous Risk Measures and Portfolio Management

14:55-

 

15:30

Esther Frostig (Dept. of Statistics)
Dependence in Failure Times Due to Environmental Factors - Applications to Credit Risk Models

15:35-

 

16:05

Yaniv Zaks (Dept. of Mathematics, Bar-Ilan University), Esther Frostig (Dept. of Statistics) and Benny Levikson (deceased) from the Department of Statistics also contributed to this research. 
Pricing a Heterogeneous Portfolio Based on a Demand Function
 

 

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