Mandelbrot fractal geometry

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Crossing Barriers
Hitting and stopping time problems in finance and insurance
University of Bath, 14-15 January 2010


All talks take place in Room 6W 1.2. Refreshments and lunch will be in Room 6W 1.24.

Download Programme (PDF 54KB)

Thursday 14th January
10:30-11:00 Refreshments
11:00-11:05 Welcome
11:05-11:50 Hansjörg Albrecher: Crossing Ruin Boundaries
11:55-12:25 Mihail Zervos: π-options
12:30-13:30 Lunch
13:30-14:15 Martijn Pistorius: Continuously monitored barrier options under Markov processes
14:20-14:50 Alex Mijatovic: Convergence rates for the two-sided first-passage densities
14:55-15:25 Jean-Francois Renaud: De Finetti's optimal dividends problem with a Gerber-Shiu function
15:30-16:00 Refreshments
16:00-16:30 Peter Tankov: Pricing and hedging gap risk
16:35-17:05 Alexey Kuznetsov: Wiener-Hopf factorization: an analytical approach
17:10-17:40 Griselda Deelstra: Vanna-Volga methods applied to FX derivatives: from theory to market practice
17:45-19:00 Wine Reception
19:00-20:00 Dinner
Friday 15th January
9:30-10:00 Sergei Levendorskii: Prices and sensitivities of barrier and first touch digital options in Lévy driven models, near barrier
10:05-10:50 Peter Carr: Static Hedging of Barrier Options on Driftless Diffusions
10:50-11:20 Refreshments
11:20-11:50 Kees van Schaik: A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
11:55-12:25 Angelos Dassios: Double sided Parisian options
12:30-13:45 Lunch
13:45-14:30 Hans-Peter Schmidli: Conditional Law of Risk Processes Given that Ruin Occurs
14:35-15:20 Dilip Madan: Capital Requirements, Acceptable Risks and Profits
15:25-15:55 Refreshments

Supported By:

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Scientific Organisers:

  • Dr. Alex Cox
  • Prof. Andreas E. Kyprianou
  • Dr. Kees van Schaik