Special Section: Advanced Mathematical Methods for Finances

Tuesday, July 3-rd 2007

Chairman: Constantin Varsan

09:00--09:45 Lucia Caramellino Large deviations estimates of the crossing probability for small time and applications to Monte Carlo Methods in finance
10:00--10:45 Vlad Bally Mallianvin calculus for locally smooth law and applications to jump type diffusions
10:45--11:15 Coffee break
11:15--12:00 Florin Radulescu Notes on free probability
12:15--13:00 Mircea Nica Option evaluation formulas for some classes of Levy processes
13:15--14:00 Cristian Sima t.b.a
13:00--15:30 Lunch
15:30--16:00 Marinela Marinescu A global variational principle associated with gradient stochatic control systems
16:00--16:30 Pavel Farcas Istochastic models in risk evaluation for financial portofolio options
16:30--17:00 Coffee break
17:00--17:30 Oana Mocioalca Regularity of solutions of the heat equation driven by irregular Gaussian processes
17:40--18:00 Nadia Bonchis Dependence of the optimal capital stock and consumption evolution on the consumers growth rate in the framework of Ramsey model on finite horizon
18:00--18:20 Cristinca Fulga Multistage portofolio optimization