Crossing Barriers
Hitting and stopping time problems in finance and insurance
University of Bath, 14-15 January 2010
All talks take place in Room 6W 1.2. Refreshments and lunch will be in Room 6W 1.24.
| | | |
| Thursday 14th January |
| 10:30-11:00 | | Refreshments |
| 11:00-11:05 | | Welcome |
| 11:05-11:50 | | Hansjörg Albrecher: Crossing Ruin Boundaries |
| 11:55-12:25 | | Mihail Zervos: π-options |
| 12:30-13:30 | | Lunch |
| 13:30-14:15 | | Martijn Pistorius: Continuously monitored barrier options under Markov processes |
| 14:20-14:50 | | Alex Mijatovic: Convergence rates for the two-sided first-passage densities |
| 14:55-15:25 | | Jean-Francois Renaud: De Finetti's optimal dividends problem with a Gerber-Shiu function |
| 15:30-16:00 | | Refreshments |
| 16:00-16:30 | | Peter Tankov: Pricing and hedging gap risk |
| 16:35-17:05 | | Alexey Kuznetsov: Wiener-Hopf factorization: an analytical approach |
| 17:10-17:40 | | Griselda Deelstra: Vanna-Volga methods applied to FX derivatives: from theory to market practice |
| 17:45-19:00 | | Wine Reception |
| 19:00-20:00 | | Dinner |
| | | |
| Friday 15th January |
| 9:30-10:00 | | Sergei Levendorskii: Prices and sensitivities of barrier and first touch digital options
in Lévy driven models, near barrier |
| 10:05-10:50 | | Peter Carr: Static Hedging of Barrier Options on Driftless Diffusions |
| 10:50-11:20 | | Refreshments |
| 11:20-11:50 | | Kees van Schaik: A Wiener-Hopf Monte Carlo simulation technique for Lévy processes |
| 11:55-12:25 | | Angelos Dassios: Double sided Parisian options |
| 12:30-13:45 | | Lunch |
| 13:45-14:30 | | Hans-Peter Schmidli: Conditional Law of Risk Processes Given that Ruin Occurs |
| 14:35-15:20 | | Dilip Madan: Capital Requirements, Acceptable Risks and Profits |
| 15:25-15:55 | | Refreshments |
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