Abstracts of the talks at the Fourth National Symposium on Financial Mathematics part of SMOCS-05
The Conference Booklet (all abstracts in one PDF file) [313KB]
Assefa, S. A Quadratic Gaussian Reduced Form Model
Bruti-Liberati, N., Platen, E. On the Approximation of Jump-Diffusion Processes
Cottrell, T. Elliott, R. Two strikes and you're out
Dufresne, D. Stochastic Life Annuities
El Karoui, N. Measuring, pricing and hedging financial risk in a dynamic world
Elliott, C., Elliott, R., Malcolm, W. Commodity Prices and Regime Switching Bases
Hamza, K., Klebaner, F. On the existence of non-constant volatility in the Bachelier and Black-Scholes formulae
Hatherley, A. An Examination of the Effect of Non-Normality on Optimal Portfolio Construction: A Copula Based Approach
Hinz, J. Valuing production capacities on electricity
Hulley, H., Heath, D., Platen, E. A comparative study of hedge performance robustness for equity index models
Imkeller, P. Models of financial markets with asymmetric information: additional utility and entropy of information
Le, T. Stochastic Market Volatility Models
Malcolm, W., Elliott, R.
Sequential Online Volatility Detection For Markov Modulated Asset Price Dynamics
Majumdar, C. A Rehabilitation of Beta-Pricing Stochastic Syndrome
Miller, S., Platen, E. Analytic Pricing of European Contingent Claims under the Real World Measure
Miura, R. Rank Process and Stochastic Corridor
Miyahara, Y., Moriwaki, N. Volatility Smile/Smirk Properties of [GLP \& MEMM] Pricing Models
Novikov, A., Borovkov, K. Pricing discretely monitored exotic options under the Levy process framework
Platen, E. On the Role of the Growth Optimal Portfolio
Schlogl, E. Factor distributions and correlations implied by market quotes for synthetic CDO tranches
Shiryaev, A.N. On the distributions of maximum downfalls of a Brownian motion with drift
Sorensen, M., Jacobsen, M. Multivariate diffusion modelling
Yamazato, M. Optimal logarithmic utility for insiders in Levy market
Abstracts of the talks at the non-NSFM component of SMOCS-05
Borovkov, K. Borovkov, A. Large deviations for random walks with regular exponentially decaying distributions
Elliott, R., Filinkov, A., Nicholson, R. A free boundary problem related to environmental management system
Gani, J. Modelling a plantation-nursery system
Grunske, L. Modelling and Analysing of Stochastic Failures in Complex Component-Based Systems
Hwang, C.-R., Sheu, S.-J. Nonreversible perturbations accelerate convergence
Ivanov, A.F, Swishchuk, A.V. Optimal control of stochastic differential delay equations with application in economics
Lyasoff, A. Using Bellman's Principle without the Bellman Equation
Kaji, S. On tail distributions of supremum and quadratic variation of cadlag local martingales
Kawazu, K. On stochastic processes in random environment and related topics
Korotkikh, V., Korotkikh, G. On optimality condition of complex systems
Last, G. Palm distributions and invariance properties of spatial point processes
Lesmono, D. A Mathematical Model for Opportunistic Timing and Manipulation in Australian Federal Elections
Ogawa, S. Noncausal Problems in Stochastic Calculus
Resnick, S. Multivariate heavy tails, asymptotic independence and beyond
Rueschendorf, L. Analysis of algorithms by the contraction method
Simoes, J.M. A Complex Systems Approach to Spatial Epidemics
Small, C.G. Eigenfunction methods for estimation with random fields small.pdf
Spieksma, F. Computing convergence rates for denumerable Markov chains
Tavaré, S., Wilkinson, R. Using the fossil record to date splits in the primate tree
Vatutin, V., Dyakonova, E. Branching processes in random environment and the bottleneck of evolution
Xia, A. Compound Poisson approximation via Stein's method
