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 |