2nd Northern Triangular Seminar

15 - 17 March 2010, Royal Institute of Technology (KTH)

Front page

Program

Participants

Registration

Travelling and accommodation

Photos

Previous seminar


Royal Institute of Technology

Department of Mathematics

Program

All talks take place in hall E2, in the KTH Main building. A map of the campus can be found here. In this map, the building is indicated with the letter E.

Poster sessions

Oleg Butkovskiy: Estimation of mixing coefficients for Markov processes.
Evgeniy Ivashko: Full-information best-choice problem with disorder.
Oleg Lukashenko: Applications of Gaussian models in Network traffic analysis.

Monday, March 15

08:30 - 09:15 Reception and registration
09:15 - 10:00 Kurt Johansson: Recent developments in eigenvalue statistics for random matrices, part I.
10:00 - 10:30 Coffee
10:30 - 11:00 Helena Aro: Pricing and hedging mortality-linked securities (slides).
11:00 - 11:30 Mårten Marcus: Pricing Bermudan options, a non-parametric approach (slides).
11:30 - 13:00 Lunch
13:00 - 13:45 Filip Lindskog: Extremes and large deviations in the presence of heavy tails, part I (slides).
13:45 - 14:15 Ari-Pekka Perkkiö: Duality in stochastic optimization (slides).
14:15 - 14:45 Haidar Al-Talibi: Nelson-type limit for a particular class of Lévy processes (slides).
14.45 - 15.15 Coffee
15:15 - 15:45 Ksenia Volkova: Bahadur efficiency of a goodness-of-fit tests based on distribution characterizations (slides).
15:45 - 16:15 Oliver Pfaffel: Option pricing in multivariate stochastic volatility models of OU type (slides).
16:15 - 16:45 Heikki Tikanmäki: Fractional Lévy processes (slides).

Tuesday, March 16

09:15 - 10:00 Kurt Johansson: Recent developments in eigenvalue statistics for random matrices, part II.
10:00 - 10:30 Coffee
10:30 - 11:00 Pavel Yaskov: New general conditions for the existence of stochastic integrals (slides).
11:00 - 11:30 Konrad Abramowicz: Approximation of random processes with singularity (slides).
11:30 - 13:00 Lunch
13:00 - 13:45 Filip Lindskog: Extremes and large deviations in the presence of heavy tails, part II.
13:45 - 14:15 Jonas Kiessling: Diffusion approximation of Lévy processes (slides).
14:15 - 14:45 Mikhail Terterov: On asymptotic behavior of the increments of sums of i.i.d. Random variables from domains of attraction of asymmetric stable laws (slides).
14.45 - 15.15 Coffee
15:15 - 15:45 David Källberg: Statistical Inference for entropy (slides).
15:45 - 16:15 Anna Ivashko: Full-information best-choice game with two stops (slides).
19:00 Conference dinner at the Department of Mathematics, KTH

Wednesday, March 17

09:30 - 10:00 Dmitry Sidorov: Central limit theorem for analytic functions of two-sided moving averages (slides).
10:00 - 10:30 Coffee
10:30 - 11:00 Eckhard Schlemm: Quasi-maximum likelihood estimation of multivariate CARMA processes (slides).
11:00 - 11:30 Alan Sola: Anisotropic Hastings-Levitov clusters and harmonic measure (slides).
11:30 - 13:00 Lunch


Last modified: 2010-03-22