Mathematical Finance

Oslo, October 5-6, 2006

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

New (added on Oct. 9):

You can find slides from the talks here:
http://folk.uio.no/martijg/PhDWorkshop/Slides

Introduction:

The fourth annual Ph.D. workshop in Mathematical Finance will this year be hosted by CMA. After two years in Lund and last year in Uppsala this Swedish happening is expanding to Norway. We invite all Swedish and Norwegian Ph.D. student working in the field to come and present their research in an informal context. 

Participants:

Mats Broden, Lunds tekniska högskola
Jonas Persson, Uppsala Universitet
Karl Larsson, Lunds Universitet
Jonas Ströjby, Lunds tekniska högskola
Mia Hinnerich, Handelshögskolan
Mikael Elhouar, Handelshögskolan
Agatha Murgoci, Handelshögskolan
Carl Lindberg, Chalmers
Hassilah Binti Salleh, CMA
Inga Baadshaug Eide, CMA
Olli Wallin, CMA
Martin Groth, CMA
Yeliz Yolcu Okur, CMA

Program:

Day 1 (Thursday)

11.45 - 13.15 We gather for lunch.
13.15 - 13.45 A semilinear partial integro-differential equation for American options, Olli Wallin (CMA)
13.45 - 14.15 Second order expansions and dynamic extensions of the SABR model Karl Larsson (LU)
14.15 - 14.45 Finite Dimensional Realization of Regime-Switching HJM models, Mikael Elhouar (HHS)
14.45 - 15.30 Coffee/tea break
15.30 - 16.00 Calibration of Option Valuation Models using Sequential Monte Carlo Methods, Mats Broden (LTH)
16.00 - 16.30 TBA, Jonas Ströjby (LTH)
19.00 - Dinner at Restaurant 'Mares', Frognerveien

Day 2 (Friday)

~9 Gathering and coffee
09.30 - 10.00 TBA, Carl Lindberg (Chalmers/CMA)
10.00 - 10.30 Pricing Vulnerable Options with Good Deal Bounds, Agatha Murgoci (HHS)
10.30 - 11.00 Short break
11.00 - 11.30 Pricing American options using a space-time adaptive FD method, Jonas Persson (UU)
11.30 - 12.00 CAT bonds, Inga Baadshaug Eide (CMA)
12.00 - 13.00 Lunch
13.00 - 13.30 Inflation Indexed Swaps and Swaptions, Mia Hinnerich (HHS)
13.30 - 14.00 Valuing volatility swaps for a non-Gaussian OU stochastic volatility model, Martin Groth (CMA)
14.00 - Coffee/tea and end of the workshop

A collection of abstracts can be found here.

Where:

The workshop will take place in the CMA seminar room (B1036) in the Niels Henrik Abel building (mathematics building) on the 10th. floor.

Travel description:

If you arrive by plane to Gardemoen Airport take the Airport train to Oslo central station. Tranfer to subway line 3 towards Sognsvann or line 5 towards Storo. Get of at Blindern station and walk up to the Math. department, building 14 in this map

Financing: 

CMA is kindly providing funds to support the workshop. Lunch and coffee both days will there for be free for all participants. We also hope all participants will join us for a workshop dinner subsidised by CMA.

Registration:

No fee is required, but if you are interested in participating, please send an e-mail to the organiser.

Accommodation:

Please contact the organiser for suggestions.

Links to previous years:

Lund 2003:  http://www.maths.lth.se/matstat/staff/erikl/Finansmote2003.html Lund 2004:  http://www.maths.lth.se/matstat/staff/erikl/Finansmote2004.html Uppsala 2005:  http://www.it.uu.se/internt/tdb/finma

Organiser:

Martin Groth (CMA) : martijg (+) math.uio.no