PDE methods in mathematical finance (2008)

Organizers: PF Peter Laurence (U. Roma), OTPF Mariko Arisawa (INRIA Rocqencourt)

Events

Workshop "Small time asymptotics, perturbation theory and heat kernel methods in mathematical finance"
Location: WPI Time: 10. Feb 2009 (Tue) - 12. Feb 2009 (Thu)
Organisation(s) WPI Organiser(s) Peter Laurence (U. Roma)
Remark: Click HERE for the programme.

7th Pauli Colloquium : P.L. Lions : "Financial mathematics and/after the crash"
Location: lecture room HS 3 in UZA2 / U. Wien / Nordbergstr. 15 / Time: 19. Dec 2008 (Fri) - 19. Dec 2008 (Fri); Opening: 15:45
Organisation(s) WPI Organiser(s) Norbert J. Mauser (WPI c/o U. Wien) Walter Schachermayer (WPI c/o U. Wien)
Remark: Details on the program, with abstract.

Workshop on "American and Bermudan Options"
Location: WPI Time: 17. Oct 2008 (Fri) - 18. Oct 2008 (Sat)
Organisation(s) WPI Organiser(s) Mark Broadie (U. Columbia) Friedrich Hubalek (TU Wien) Damien Lamberton (Marne la Vallée) Peter Laurence (WPI and U. Roma)
Remark: Click HERE for the programme.

Working group "PDE methods in mathematical finance"
Location: WPI Time: 1. Aug 2008 (Fri) - 31. Aug 2008 (Sun)
Organisation(s) WPI Organiser(s) Peter Laurence (WPI/U. Roma)

Pauli Fellows

Ekeland, Ivar			1. Apr 2009-31. May 2009
Laurence, Peter			1. Jan 2008-31. Mar 2009

Olga Taussky Pauli Fellows

Arisawa, Mariko

1. Aug 2008-31. Mar 2009

Visitors

Arous, Gerard Ben			10. Feb 2009-13. Feb 2009
Baviera, Roberto		Co-funding: AMAMEF	16. Oct 2008-19. Oct 2008
Bender, Christian		Co-funding: AMAMEF	16. Oct 2008-18. Oct 2008
Buehler, Hans			12. Feb 2009-14. Feb 2009
Elices Vallejo, Alberto			13. Jan 2009-19. Jan 2009
Fouque, Jean- Pierre			9. Feb 2009-13. Feb 2009
Friz, Peter			9. Feb 2009-13. Feb 2009
Gulisashvili, Archil			9. Feb 2009-15. Feb 2009
Hagan, Pat			9. Feb 2009-11. Feb 2009
Henry- Labordere, Pierre			10. Feb 2009-11. Feb 2009
Hsu, Elton			9. Feb 2009-14. Feb 2009
Ibanez, Alfredo		Co-funding: AMAMEF	16. Oct 2008-20. Oct 2008
Ikeda, Nobuyuki			10. Feb 2009-12. Feb 2009
Jamshidian, Farshid		Co-funding: AMAMEF	16. Oct 2008-19. Oct 2008
Lamberton, Damien		Co-funding: AMAMEF	16. Oct 2008-19. Oct 2008
Leandre, Remi			9. Feb 2009-12. Feb 2009
Levendorvskii, Sergei			9. Feb 2009-12. Feb 2009
Lions, Pierre- Louis			18. Dec 2008-19. Dec 2008
Ninomiya, Syoiti			8. Feb 2009-14. Feb 2009
Osajima, Yasafumi		Co-funding: BNP Paribas	9. Feb 2009-13. Feb 2009
Pagès, Gilles		Co-funding: AMAMEF	16. Oct 2008-18. Oct 2008
Rogers, Chris		Co-funding: AMAMEF	16. Oct 2008-17. Oct 2008
Scaillet, Olivier			10. Feb 2009-12. Feb 2009
Schoenmakers, Kohn		Co-funding: AMAMEF	16. Oct 2008-17. Oct 2008
Stentoft, Lars		Co-funding: AMAMEF	17. Oct 2008-21. Oct 2008
Takahashi, Ahikiko			10. Feb 2009-12. Feb 2009
Tehranchi, Mike			6. Feb 2009-13. Feb 2009
Touzi, Nizar		Co-funding: AMAMEF	17. Oct 2008-17. Oct 2008
Wang, Tai- Ho			6. Aug 2008-13. Aug 2008
			16. Jan 2009-23. Jan 2009

PostDocs

Matveev, Vladimir

12. Aug 2008-25. Aug 2008