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9:30-10:00
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Registration |
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10:00-10:35
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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 |
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10:40-11:15
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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 |
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11:15-11:45
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Coffee Break |
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11:45-12:20
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Elena Radu (Dept. of Statistics)
Option Pricing for Log-Symmetric Hyperbolic Distributions of Returns |
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12:25-13:00
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Arthur Chiragiev (Dept. of Statistics), Zinoviy Landsman (Dept. of Statistics)
Multivariate Flexible Pareto Distribution and Portfolio Allocation |
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13:00-14:15
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Lunch |
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14:15-14:50
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Zinoviy Landsman (Dept. of Statistics)
Translation Invariant and Positive Homogeneous Risk Measures and Portfolio Management |
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14:55-15:30
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Esther Frostig (Dept. of Statistics)
Dependence in Failure Times Due to Environmental Factors - Applications to Credit Risk Models |
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15:35-16:05
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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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For further details e-mail Prof. Zinoviy Landsman.
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