Non-Semimartingale Techniques in Mathematical Finance
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.
|Event dates:||2009-05-26 – 2009-05-28|
|Organizer:||Department of Mathematics and Systems Analysis, Helsinki University of Technology|
|Conference venue:||Helsinki, Helsinki University of Technology|
|Classification:||C6 - Mathematical Methods and Programming ; C7 - Game Theory and Bargaining Theory ; G1 - General Financial Markets|
|Event type:||Seminare, Summer Schools, Symposien, Workshops; Seminars, Summer Schools, Symposiums, Workshops|