Zdzislaw Burda |
Jagiellonian University, Cracow,
Poland |
Fat tails in scale-free graphs |
|
Krzysztof Burnecki |
Hugo Steinhaus Center, Poland |
Calibrating the CAT bonds pricing model |
|
Youssef El-khatib |
Universite de La Rochelle, France |
Computations of price sensitivities via the
Malliavin calculus on Poisson space |
| Wolfgang
Haerdle |
Humboldt-Universitaet
zu Berlin, Germany |
Voles, volas and values |
|
Juri Hinz |
Universitaet Tubingen, Germany |
An equilibrium model for spot market on
electricity |
|
Aleksander Janicki |
Wroclaw University of Technology, Poland |
Computer construction of optimal exercise times
for American options and relevant free boundary problems |
| Monique Jeanblanc |
University d'Evry, France |
Optimization problem with random horizon |
| Jerzy
Jurkiewicz |
Jagiellonian
University, Cracow, Poland |
Wealth distribution in Pareto macroeconomy |
|
Agnieszka Jurlewicz |
Wroclaw University of Technology, Poland |
Stochastic foundations of the universal
dielectric response |
 Andrzej
Makagon |
Hampton University, USA |
Prediction in PARMA models |
|
Zbigniew Michna |
School of Economics, Wroclaw, Poland |
Alpha-stable limits for multiple channel queues
in heavy traffic |
| Pat
Muldowney |
Magee College, University of Ulster, N. Ireland |
A generalized Black-Scholes equation without Ito
calculus |
|
Maciej Nowak |
Jagiellonian University, Cracow,
Poland |
Levy random matrices |
|
Joanna Nowicka-Zagrajek |
Hugo Steinhaus Center, Poland |
Modelling electricity loads in California: ARMA
models with hyberbolic noise [paper
in ps/pdf format] |
|
Raoul Pietersz |
Erasmus University and ABM AMRO Bank, The Netherlands |
A unified pricing framework for drift
approximations in the BGM model |
| Marek
Rutkowski |
Warsaw
University of Technology, Warsaw, Poland |
Stochastic approach to credit risk |
|
Vlad Stephanovich |
University of Opole, Poland |
On the solution of Heath-Jarrow-Morton problem |
| Shigeo Takenaka |
Okayama
University, Japan |
Additive random fields on
time-like curves |
| Rastislav Telgarsky |
Boeing-SVS,
Albuquerque, USA |
Tracking algorithms [zipped ppt
presentation] |
| Stefan
Trueck |
University of Karlsruhe,
Germany |
A structural approach to
credit risk using the alpha-stable distribution |
|
Rafal Weron |
Hugo Steinhaus Center, Poland |
Pricing options in the Nord Pool electricity
market |
| Wojbor A.
Woyczynski |
Case
Western Reserve Universtity, Cleveland, USA |
Numerical methods for Levy conservation laws |