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Department of Mathematics and Systems Analysis, Helsinki University of Technology

Dates:
May 26-28, 2009
Description:
Non-Semimartingale Techniques in Mathematical Finance
Location:
Helsinki, Helsinki University of Technology, Finland
Subject:
The purpose of the workshop is to survey some recent developments in non-semimartingales like fractional Brownian motion in stochastic finance. The use of non-semimartingales is partially motivated by pricing models with transaction costs, or pricing non-tradeable assets, like electricity. The topics of the workshop include stochastic integration theory for non-semimartingales, power variation techniques and financial applications. [gem?_?? den Informationen des Anbieters - according to site editor's information]
Notes:
JEL Code:
C
Sponsor:
URL:
http://math.aalto.fi/reports/c021.pdf

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