from August 22, 2011 to September 3, 2011 (Europe/Ljubljana)
Europe/Ljubljana timezone
Summer School timetable and abstracts of courses

A timetable of the Summer School can be downloaded here (published on August 20, 2011). Minor changes in the timetable are still possible.

The Summer School and Workshop Book of Abstracts is available now. You can download it here, but every participant will get one at the registration desk.


Short abstracts of courses

Click on author's name to see his personal webpage and on the lecture's title to see the abstract.


Nicholas Hugh Bingham (Imperial College London, UK)
Introduction to Lévy processes
 

David Hobson (University of Warwick, UK)
The Skorokhod embedding problem and model independent hedging strategies for derivatives
 

Alexander Lipton (Bank of America Merrill Lynch / Imperial College London, UK)
Stochastic volatility models and option pricing
 

Dilip B. Madan (University of Maryland, USA)
Financial modelling with jumps
 

Martijn R. Pistorius (Imperial College London, UK)
Stochastic volatility models with jumps
 

Christoph Schwab (ETH Zurich, Switzerland)
Introduction to PDE option pricing beyond Lévy
 

Albert N. Shiryaev (Steklov Mathematical Institute, Russia)
Introduction to optimal stopping
 

Mikhail Urusov (University of Ulm, Germany)
Stochastic differential equations
 

Egon Zakrajšek (Federal Reserve Board, Washington, USA)
Applied financial econometrics*
Unfortunately Mr. Zakrajšek will not be able to come.