Mandelbrot fractal geometry

University of Bath - links to University home Department of Mathematical Sciences
News & Events



Getting Here

Crossing Barriers
Hitting and stopping time problems in finance and insurance
University of Bath, 14-15 January 2010


Problems involving hitting and stopping times are ubiquitous across the fields of financial and insurance mathematics, and as both fields have rapidly advanced and drafted in more sophisticated models, the need to advance the corresponding mathematical techniques has also grown.

In Mathematical Finance, problems involving hitting times and stopping times arise classically in the study of American and Barrier options, but also their study has proven to be important in robust hedging, real option theory and in the modelling of credit default events. In insurance, the major application is to ruin theory. Often however the latter is complicated by additional perturbations of the path of the surplus process which correspond to dividend strategies. Examples include path refraction and path reflection.

The aim of the workshop is to bring together academics from the finance and insurance communities, in order to share recent advances in the techniques connected to hitting and stopping problems.

Confirmed main speakers:

  • Hansjoerg Albrecher
  • Peter Carr
  • David Hobson
  • Dilip Madan
  • Martijn Pistorius
  • Hans Peter Schmidli

Download Programme (PDF 54KB)


Supported By:

AXA Research Fund Logo

AXA Research Fund Logo


Prob-L@B Logo



Scientific Organisers:

  • Dr. Alex Cox
  • Prof. Andreas E. Kyprianou
  • Dr. Kees van Schaik