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The Third Workshop on
WEDNESDAY, MAY 17
14.00-15.00 Ljudmila A. Bordag, Halmstad University, Sweden
Analytical Properties of Some Type of Solutions to Nonlinear Models in
Financial Mathematics
15.00-15.20 Coffee break
15.20-16.20 Nail Ibragimov, BTH, ALGA, Karlskrona, Sweden
Integrating Factors, Adjoint Equations and Lagrangians
16.20-16.50 Michael Fröhner, BTU Cottbus, Germany
Numerical Aspects of Heston's Stochastic Volatility Model
16.50-17.10 Coffee break
17.10-17.40 Ulrike Polte, University of Leipzig, Germany
Model with Liquidity Risk: A Connection of BSDE and PDE
18.00-19.00 Library excursion
19.00 Dinner in Brasserie
THURSDAY, MAY 18
9.00-10.00 Rüdiger Frey, University of Leipzig, Germany
Option hedging and implied volatility skews with stochastic
liquidity coefficient
10.00-10.30 Coffee break
10.30-11.15 Elena Boguslavskaya, City University, London, Great
Britain
Trading Mean-reverting Process or Arbitrage under Power
11.15-11.45 Karl-Johan Bäckström, Halmstad University, Sweden
Weyl Groups One Step from Infinity
12.00-14.00 Lunch (campus excursion)
14.00-15.00 Tomas Björk, Stockholm School of Economics, Sweden
On the Timing Option in a Futures Contract
15.00-16.00 Thorsten Schmidt, University of Leipzig, Germany
Pricing corporate securities with noisy asset information
16.00-16.30 Coffee break
16.30-17.00 Ling Xu, University of Leipzig, Germany
A Short Noise Model for Financial Assets
18.00 Conference dinner in cafe ``Oblomov''
FRIDAY, MAY 19
9.00-9.45 Heinz Martin Sorge, PepperMinds GmbH, Berlin,
Germany
Correlation Products - Risk Management Issues for Theorists and
Practitioners
9.45-10.15 Alina Chmakova, BTU Cottbus, Germany
Credit Derivatives: an Overview of Types and Pricing
10.15-10.30 Coffee break
10.30-11.00 Jan-Olof Johansson, Halmstad University, Sweden
Volatility Modeling I: On the Estimation of Market Liquidity and
Volatility
11.00-11.30 Eric Järpe, Halmstad University, Sweden
Volatility Modeling II: Monitoring Volatility in an Option Exchange
Market
12.00-13.00 Lunch
13.00-13.45 Nail Ibragimov, BTH, ALGA, Karlskrona, Sweden
Invariants and Linearization of Nonlinear Differential Equations
13.45-14.15 Mikael Elhouar, Stockholm School of Economics, Sweden
Heath-Jarrow-Morton Models with Regime-Switching Volatility
14.15-14.45 Coffee break
14.45-15.15 Sabine Pickenhain, BTU Cottbus, Germany
Infinite Horizon Optimal Control Problems and their Applications
15.15-16.00 Valeria Lykina, BTU Cottbus, Germany
Infinite Horizon Optimal Control Problems. Lebesgue and Riemann
improper Integrals
18.00 Sabine's terrace evening
SATURDAY, MAY 20
Bicycle to Burg, excursion by boat