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STOCHASTIC
PROCESSES, STOCHASTIC CALCULUS AND APPLICATIONS
Rome, September 19-20, 2002
Programme |
9:30-10:45 Thomas G. Kurtz, University of Wisconsin, Madison
“Stochastic equations for spatial birth
and death processes”
10:45-11:15 Coffee break
11:15-12:30 Laurent Massoulié,
Microsoft, Cambridge
“Una Legge Forte dei Grandi Numeri per il
15:00-15:30 Claudio Asci,
University of Rome-La Sapienza
“The Iterated Proportional Fitting algorithm and its Bayesian version”
15:30-16:00 Domenico
Marinucci, University of Rome-La Sapienza
“Nonparametric model checks for long memory regression”
16:00-16:30 Coffee break
16:30-17:00 Gianfausto Salvadori, University of Lecce
“A generalized Pareto intensity-duration
model of storm rainfall
exploiting 2-copulas”
17:00-17:30 Emilio De
Santis, University of Rome-La Sapienza
“An inequality on the intensities of a
"conditional" pure birth process
given different histories”
[18:00-19:30 Riunione organizzativa del Progetto
Nazionale]
20:30 Social
Dinner
9:30-10:45 Claudia Klueppelberg, University of Muenchen
“Extreme behaviour of stochastic
processes
with
applications to risk management”
10:45-11:15 Coffee break
11:15-12:30 Paul Glasserman, Columbia
University, New York
“Importance Sampling in Finance”
14:30-15:00 Francesca
Biagini, University of Bologna
“Minimal variance hedging for fractional Brownian motion”
15:00-15:30 Fabio
Antonelli, University of Chieti-G. D'Annunzio
“Densities of one dimensional backward
sde's”
15:30-16:00 Paolo Guasoni,
University of Pisa
“Excursion Theory and the Martingale Hypothesis”
16:00-16:30 Coffee break
16:30-17:00 Roberto Monte, University of Rome-Tor Vergata
“Insider Trading in Continuous Time with Infinite
Horizon”
17:00-17:30 Adamo Uboldi,
University of Rome-La Sapienza and IAC-CNR, Rome
“The CIR model for Italian interest
rates”
17:30-18:00 Sergio
Scarlatti, University of Chieti-G. D'Annunzio
“A folk theorem for minority games”