Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility, and Applications of Shot Noise Processes

May 22-23, 2001

Vienna University of Technology

For detailed maps click on the locations, once you found the building Paul Lévy will lead you to the lecture rooms.

Tuesday, May 22, 2001: Morning Session
Location: HS 13 Ernst Melan (Hauptgebäude, Karlsplatz 13, 3rd floor)

10.45-11.30	Ole E. Barndorff-Nielsen, Aarhus University:	Lévy based chronometers
11.30-12.15	Elisa Nicolato, Vienna University of Technology:	On multivarate extensions of Ornstein-Uhlenbeck type stochastic volatility models
12.15-14.30	Lunch break

Tuesday, May 22, 2001: Afternoon Session
Location: FH HS 6 (Freihausgebäude, Wiedner Hauptstr. 8, yellow area, 2nd floor)

14.30-15.15	Sergei Levendorskii, Rostov State University:	Regular Lévy processes of exponential type and Feller processes of normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen)
15.15-15.45	Coffee/tea
15.45-16.30	Robert Tompkins, Vienna University of Technology:	The sampling properties of a moment matching method
16.30-	Discussion

Wednesday, May 23, 2001: Morning Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)

09.30-10.15	Franz Konecny, BOKU (University of Agricultural Sciences), Vienna	Jump Diffusion Models for Streamflow Series
10.15-10.45	Coffee/tea
10.45-11.30	Sylvia Frühwirth-Schnatter, Leopold Sögner, Vienna University of Economics and Business Administration:	MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility model
11.30-12.15	Omiros Papaspiliopoulos, Lancaster University:	Bayesian inference for Non-Gaussian OU SV processes
12.15-14.30	Lunch break

Wednesday, May 23, 2001: Afternoon Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)

14.30-15.15	Neil Shephard, Nuffield College, Oxford:	Realised volatility and SV models: some more results
15.15-15.45	Coffee/tea
15.45-16.30	Claudia Klueppelberg, University of Technology, Munich:	Optimal portfolios when stock prices follow a Lévy process
16.30-	Discussion

The workshop is supported by the Austrian Science Foundation (FWF) under grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and Management Science').

URL: http://www.fam.tuwien.ac.at/g2g/
Last Modification: May 17, 2001
(fhubalek)