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From Lévy Processes to Semimartingales - Recent Theoretical Developments and Applications to Finance

August 20-27, 2002

Aarhus, Denmark

Mathematics

Host: Department of Mathematical Sciences, University of Aarhus
Homepage: http://www.maphysto.dk/events/LPS2002/
Email: maphysto@maphysto.dk

Organizers: Ole E. Barndorf-Nielsen, University of Aarhus; Bent Jesper Christensen, University of Aarhus; Albert N. Shiryaev, Steklov Institute, Moscow; Michael Sørensen, University of Copenhagen

Description:
* Introduction to Semimartingales and their Basic Algebra. Lectures by Professor Albert N. Shiryaev, Steklov Institute, Moscow * Change of Time and Measure. Lectures by Professor Albert N. Shiryaev, Steklov Institute, Moscow * Stochastic Volatility Models and some of their Applications. Lectures by Professor Neil Shephard, Nuffield College, Oxford, Professor Ole E. Barndorff-Nielsen, MaPhySto, Aarhus, and Professor Friedrich Hubalek, Vienna University of Technology.

Date received: February 23, 2002

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