A CMA-workshop on
"Mathematical Finance and Copulas"

11th Workshop in Mathematics & Economics

Hosted by:
Department of Mathematics and The Centre of Mathematics for Applications, University of Oslo, Norway

Time and place:
Friday Oct 15, 2004, CMA, University of Oslo, Niels H. Abel hus - 10th floor, Room B1036

List of Participants:
Here.

Program:

9:00 Welcome

9:15 –10:00 Peter Tankov (Ecole Polytechnique, Palaiseau France): Modelling dependence of multidimensional Lévy processes

10:00 –10:15 Coffee break

10:15 –10:45 Tørres Trovik (Central Bank of Norway): Optimal strategic allocation under estimation risk

10:55 –11:25 Jørgen Haug (NHH, Bergen): Endogenous regimes in the real term structure of interest rates

11:30 –12:00 Ilan Cooper (BI, Oslo): Stock Return Predictability in a Production Economy

12:00 –13:15 Lunch break

13:15 –14:00 Peter Tankov (Ecole Polytechnique, Palaiseau France): Applications of Lévy copulas

14:00 –14:15 Coffee break

14:15 –14:45 Paul Kettler (CMA, Mathematics Department UIO): The Pyramid distribution, its copula and Lévy process

14:55-15:25 Bernt Odegård (BI, Oslo): Patient ownership

15:30 –16:00 Kjetil Storesletten (Economics Department, UIO): Insurance and opportunities: the welfare analysis of wage inequality with flexible labor supply

Please note that there is NO registration fee.

The organizing committee:

Fred Espen Benth fredb@math.uio.no
Giulia Di Nunno giulian@math.uio.no
Bernt Øksendal oksendal@math.uio.no