Preliminary Program

Thuesday 16.09.2008

10:00-10:05 Welcome address; Dean of The Mathematics, Physics and Informatics Department ,UG ; Wladyslaw A. Majewski

10:05-10:50 Minimax asymptotic optimality of the first order for quickest detection problem of intensity change of Poisson process; Evgeniy V. Burnaev

Coffee 10:50-11:30

11:30-12:15 Basic ruin models; Wojciech Bartoszek

12:25-13:10 Properties of optimal exercise domain for futures exchange contract; Georgiy Shevczenko

Lunch Dinner 13:30

Wednesday 17.09.2008

10:00-10:45 Pricing options in illiquid markets: symmetry reductions and exact solutions; Ljudmila Bordag

Coffee 10:45-11:30

11:30-12:15 Risk minimizing strategies for a portfolio of interest-rate securities; Andrzej Palczewski

12:25-13:10 Quantile hedging with re-discounting on the complete finacial market; Yuliya Mishura

13:20-14:00 Recurrence formulas for price bounds of contingent claims in finite discrete time; Dmitry Rokhlin

Lunch Dinner 14:10

Thursday 18.09.2008

9:00-10:00 Toward to the optimality of the rule "Buy-and-Hold" in the Financial Industry; Albert Shiryaev

Coffee 10:00-11:00

11:00-11:45 Growth and risk sensitive optimal portfolios under proportional transaction costs with obligatory diversification; Lukasz Stettner

11:55-12:40 Haar interpolation of financial markets; Igor I. Pavlov

12:50-13:35 The log processes with independent increments; Joachim Domsta

Lunch Dinner 14:00

Friday 19.09.2008

Excursion to The Malbork Castle Museum 8:30

Lunch Dinner 14:00

Students' session 15:00

Financial markets on deformed stochastic basis; Olga Nazarko

Numerical simulation: Basic ruin models; Michal Janiak

Wavelets, signed measure and financial crisis; Karol Dziedziul

Analisis of Market Balance in Certain Model with Price Regulation; E. Adamczuk, A.Borisovich

Coffee ???