First Announcement

STOCHASTIC FINANCE 2004

AUTUMN SCHOOL & INTERNATIONAL CONFERENCE

Coimbra, 20-24 September & Lisbon, 26-30 September, Portugal

Scientific event promoted by CIM (Centro Internacional de Matemática) and hosted by CIM & ISEG

 

www.iseg.utl.pt/~stochfin2004

 

1. Autumn School

2. International Conference

3. Scientific Committee

4. Sponsors

5. Academic Sponsors

6. Organizing Committee

7. Other information

 

SPONSORS

Banco de Portugal (confirmed)

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AUTUMN SCHOOL

 

Five courses on basic theoretical aspects of financial mathematics and applications arising from business problems

 

C1. Introduction to Stochastic Differential Equations - Carlos Braumann (Univ. Évora)

C2. Arbitrage Theory in Continuous Time - Tomas Bjork (Stockholm School of Economics)

C3. Extremes and Risk Management Ivette Gomes (FCUL, Univ. Lisbon, Portugal)

C4. Risk Management João Duque (ISEG, Techn. Univ. Lisbon)

C5. Intr. to Statistical Inference on Diffusion Processes J. Nicolau (ISEG, Techn. Univ. Lisbon)

 

20-24 September --- Observatório Astronómico da Universidade de Coimbra

 

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INTERNATIONAL CONFERENCE

Plenary lectures, invited lectures, contributed talks and posters

 

Conference Thematic Sections

 

1. Math. Finance-Stochastic Models 

2. Derivative Pricing 

3. Interest Rate Term Struct. Modeling

4. Portfolio Management

 

5. Integrated Risk Management  

6. Mathematical Economics

7. Finance

8. Quant. And Computational Models and Methods

 

Plenary Speakers 

Albert Shiryaev

Steklov Math. Inst, Russia

Ait-Sahalia

Princeton University, USA

Barndorff-Nielsen

Univ. of Aarhus, Denmark

Hans Foellmer

Humboldt Universitat zu Berlin

Tomas Bjork

Stockholm School of Economics, Sweden

Paul Embrechts

ETH-Zentrum, Zurich, Switzerland

Yoannis Karatzas

Columbia University, New York, USA

N. El Karoui

École Polytechnique, Palaiseau, France

Eckhard Platen

Univ of Technology, Sydney, Australia

Stanley Pliska

Department of Finance, Chicago, USA

Marek Rutkowski

Warsaw Univ of Technology, Poland

Invited Speakers

Youri Kabanov
Université de Franche-Comté – France

Ernst Eberlein
University of Freiburg - Germany

Bent Jesper Christensen
University of Aarhus - Denmark

Wolfgang Runggaldier
Università degli Studi di Padova - Italy

Dmitry Kramkov
Carnegie Mellon University - USA

Monique Jeanblanc
Université d'Evry Val d'Essonne - France

Xun-Yu Zhou
Chinese University of Hong Kong - China

Nizar Touzi
CREST, Laboratoire de Finance et Assurance - France

Claudia Klüppelberg
Technische Universität München - Germany

Yoshio Mayahara
Nagoya City University - Japan

Michael Søerensen
University of Copenhagen - Denmark

 

26-30 September

Instituto Superior de Economia e Gestão - Universidade Técnica de Lisboa

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Scientific Committee

Albert N.Shiryaev (Chairman)

Ole E. Barndorff-Nielsen

Ernst Eberlein

 

 

 

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Some support will be available for students and people from developing countries.

Contact the organizers at stochfin2004@iseg.utl.pt

Subscribe to the conference mailing list at  http://dolly2.mat.uc.pt/cgi-bin/mojo/mojo.cgi

Information on registration, fees, abstracts, proceedings, accommodation in the 2nd announcement(Jan2004).

 

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Academic Sponsors

 

CIM - Centro Internacional de Matemática

ISEG - Instituto Superior de Economia e Gestão

CMUC -  Centro de Matemática da Universidade de Coimbra

FCT-UNL - Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa

CEMAPRE - Centro de Matemática Aplicada à Previsão e Decisão Económica

 

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 Organizing Committee

Maria do Rosário Grossinho (Chair, ISEG, Univ. Tecn. Lisboa)

João Nicolau (ISEG, Univ. Tecn. Lisboa)

Manuel L. Esquível (FCT, Univ. Nova de Lisboa)

Paulo Brito (ISEG, Univ. Tecn. Lisboa)

Paulo Eduardo Oliveira (FCT, Univ. de Coimbra)