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Programme



Schedule

Speakers

Christophette Blanchet-Scalliet
"Last minute panic in zero sum games"

Mario Brandtner
"Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity"

Diana Dorobantu
"Modeling the impairment of a portfolio under IFRS rules"

Alexander Fromm
"Equity-Based Debt Obligations"

Laura Gay
"Parameter estimation for an Ornstein-Uhlenbeck process"

Lena-Susanne Hartmann
"Advection-Diffusion Equation on a Half-Line with Boundary Lévy Noise"

Robert Hesse
"Dynamics of SDEs driven by a Fractional Brownian Motion with Hurst parameter H > ½"

Ying Jiao
"Alpha-CIR model with branching processes in sovereign interest rate modeling"

Nabil Kazi-Tani
"A Quantile Mixing Approach to the Combination of Experts Forecasts"

Maike Klein
"Three Points Suffice"

Wolfgang Kürsten
"Dynamic Risk-Shifting, APR-Violations and Chapter 11: The Role of "Soft" versus "Tough" Bankruptcy Code Design"

Michael Neumann
"Absolute regularity of semi-contractive GARCH-type processes"

Ilya Pavlyukevich
"Small noise vibrations of a one-dimensional system with non-linear friction"

Christian Pigorsch
"Portfolio optimization with estimated covariance matrices"

Christian Robert
"Non parametric individual claim reserving"

Didier Rullière
"Nested Kriging predictions for datasets with a large number of obersations"

Björn Schmalfuß
"Dynamics of SPDE driven by Young integrals"

Antoine Usseglio
"Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors"

Maximilian Wechsung
"Nonparametric estimation in Poisson autoregression"