Stochastics with Emphasis on Finance
held at the
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Linz, September 2008 - December 2008
The goal of the Special Semester is to provide a stimulating environment for mathematicians, quantitative economists and, in particular, researchers in the areas of applied probability and analysis, computational methods, and finance to jointly address emerging challenges in the interface between stochastics and finance.
The aim is to focus in particular on the following topics that are at least partly related to research conducted at RICAM itself:
- Inverse and Partial Information Problems: Methodology and Applications.
- Optimization and Optimal Control.
- Computational Methods with Applications in Finance, Insurance and the Life Sciences.
- Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs.
- Advanced Modeling in Finance and Insurance.
Leading experts in one or more of the above topics, talented post-docs and doctoral students will have the opportunity to collaborate at RICAM in an interdisciplinary atmosphere in order to gain new perspectives and to develop novel approaches.
The specific activities planned for the Special Semester are:
- an initial "autumn school" on the various topics of the Semester intended mainly as a tutorial for the benefit of younger participants.
- Thematic workshops for a duration of up to one week.
- Social events.
The Special semester should also allow
- for senior researchers to have the possibility to conduct collaborative research with colleagues on topics related to those of the Special Semester,
- for the younger participants to conduct research with other scientists who are present,
- for all participants to spontaneously organize additional research activities according to their ideas and needs.
Finally, the plan is also to have some practitioners involved in the activities.
Hansjörg Albrecher, University of Linz & RICAM, Austria
Karl Kunisch, University of Graz & RICAM, Austria
Hanna Pikkarainen, RICAM, Austria
Wolfgang Runggaldier, University of Padova, Italy (Chair)
Walter Schachermayer, TU Vienna & RICAM, Austria
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