Monday, May 9

09:15 - 09:30

Folke Snickars

Opening

09:30 - 10:00

Mark Davis

Arbitrage bounds for prices of options on realized variance

10:00 - 10:30

Paul Embrechts

Risk aggregation

10:30 - 11:00

Coffe break

11:00 - 11:30

Bernt Øksendal

Optimal pricing strategies and Stackelberg equilibria in
time- delayed stochastic differential games.

11:30 - 12:00

Francesca Biagini

Evaluating hybrid products: the interplay between
financial and insurance markets

12:00 - 13:30

Lunch

13:30 - 14:00

Ragnar Norberg

An actuarial perspective on hedging

14:00 - 14:30

Jan Grandell

Ruin probabilities in a random environment

14:30 - 15:00

Coffee break

15:00 - 15:30

Damir Filipovic

Variance Swap Rate Factor Models

15:30 - 16:00

Johan Tysk

Can time-homogeneous diffusions produce any distribution?