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.
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
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
The workshop will take place in the CMA seminar room (B1036) in the Niels Henrik Abel building (mathematics building) on the 10th. floor.
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
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.
No fee is required, but if you are interested in participating, please send an e-mail to the organiser.