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A CMA-workshop on
MATHEMATICS AND ECONOMICS
Risk Measures and Utility Maximization
Hosted by:
Department of Mathematics and The Centre of Mathematics for Applications,
University of Oslo, Norway
Time and place:
Friday Oct 3, 2003, Department of Mathematics - University
of Oslo, Niels H. Abel hus - 10th floor, Room B1036
Participants:
List of participants here.
Program:
(Collection
of abstracts)
9.15-10.15 Huyen Pham (University
of Paris VII, Paris): Wealth-path dependent utility maximization
in incomplete markets. Full
talk.
10.15-10.35 Coffee break
10.35-11.15 Xeni Kristine Dimakos (Norwegian Computing
Centre, Oslo): Correlation as a dependence measure in risk management.
Full
talk.
11.20-12.00 Knut Aase (NHH, Bergen): Optimal risk
sharing. Full
talk.
12.00-13.15 Lunch
13.15-14.15 Peter Bank (Humboldt
University, Berlin) : Utility maximization and American options.
Full
talk.
14.15-14.35 Coffee break
14.35-15.15 Hans Olav Husum (Central Bank of Norway,
Oslo): Are asset managers incoherent?
15.20-16.00 Kenneth H. Karlsen (University of Bergen,
Bergen): A semilinear Black and Scholes partial differential equation
for valuing American options. Full
talk.
19.00 Dinner
Organizing
committee:
Bernt Øksendal, oksendal@math.uio.no
Giulia Di Nunno, giulian@math.uio.no
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