Session: MO-P-SW
Stochastic Processes

Chair

Uwe Schmock

Time

14:30 - 16:30 on Monday, 16th of July 2018

Venue

Swift

14:30

Normal Variance Mixture Distributions as Approximations of Poisson Mixture Sums

Uwe Schmock (Technische Universität Wien), Peter Eichelsbacher (Ruhr-Universitat Bochum), Piet Porkert (Technische Universität Wien)
15:00

Predictive Distribution of Anticipative alpha-Stable Markov Processes

Sébastien Fries (ENSAE-ParisTech & CREST)
15:30

On the Determination of the Lévy Exponent in Asset Pricing Models

Georgios Bouzianis (Department of Mathematics, King's College London), Lane Hughston (Goldsmiths College)
16:00

A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus

Takuji Arai (Keio University), Yuto Imai (Waseda University)