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Program
All talks take place in hall E2, in the KTH Main building. A map of the campus can be found here. In this map, the building is indicated with the letter E.
Poster sessions
| Oleg Butkovskiy: Estimation of mixing coefficients for Markov
processes. |
| Evgeniy Ivashko: Full-information best-choice problem with disorder. |
| Oleg Lukashenko: Applications of Gaussian models in Network traffic analysis. |
Monday, March 15
| 08:30 - 09:15 |
Reception and registration |
| 09:15 - 10:00 |
Kurt Johansson: Recent developments in eigenvalue statistics for random matrices, part I. |
| 10:00 - 10:30 |
Coffee |
| 10:30 - 11:00 |
Helena Aro: Pricing and hedging mortality-linked securities (slides). |
| 11:00 - 11:30 |
Mårten Marcus: Pricing Bermudan options, a non-parametric approach (slides). |
| 11:30 - 13:00 |
Lunch |
| 13:00 - 13:45 |
Filip Lindskog: Extremes and large deviations in the presence of heavy tails, part I (slides). |
| 13:45 - 14:15 |
Ari-Pekka Perkkiö: Duality in stochastic optimization (slides). |
| 14:15 - 14:45 |
Haidar Al-Talibi: Nelson-type limit for a particular class of Lévy processes (slides). |
| 14.45 - 15.15 |
Coffee |
| 15:15 - 15:45 |
Ksenia Volkova: Bahadur efficiency of a goodness-of-fit tests based on distribution characterizations (slides). |
| 15:45 - 16:15 |
Oliver Pfaffel: Option pricing in multivariate stochastic volatility models of OU type (slides). |
| 16:15 - 16:45 |
Heikki Tikanmäki: Fractional Lévy processes (slides). |
Tuesday, March 16
| 09:15 - 10:00 |
Kurt Johansson: Recent developments in eigenvalue statistics for random matrices, part II. |
| 10:00 - 10:30 |
Coffee |
| 10:30 - 11:00 |
Pavel Yaskov: New general conditions for the existence of stochastic integrals (slides). |
| 11:00 - 11:30 |
Konrad Abramowicz: Approximation of random processes with singularity (slides). |
| 11:30 - 13:00 |
Lunch |
| 13:00 - 13:45 |
Filip Lindskog: Extremes and large deviations in the presence of heavy tails, part II. |
| 13:45 - 14:15 |
Jonas Kiessling: Diffusion approximation of Lévy processes (slides). |
| 14:15 - 14:45 |
Mikhail Terterov: On asymptotic behavior of the increments of sums of i.i.d. Random variables from domains of attraction of asymmetric stable laws (slides). |
| 14.45 - 15.15 |
Coffee |
| 15:15 - 15:45 |
David Källberg: Statistical Inference for entropy (slides). |
| 15:45 - 16:15 |
Anna Ivashko: Full-information best-choice game with two stops (slides). |
| 19:00 |
Conference dinner at the Department of Mathematics, KTH
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Wednesday, March 17
| 09:30 - 10:00 |
Dmitry Sidorov: Central limit theorem for analytic functions of two-sided moving averages (slides). |
| 10:00 - 10:30 |
Coffee |
| 10:30 - 11:00 |
Eckhard Schlemm: Quasi-maximum likelihood estimation of multivariate CARMA processes (slides). |
| 11:00 - 11:30 |
Alan Sola: Anisotropic Hastings-Levitov clusters and harmonic measure (slides). |
| 11:30 - 13:00 |
Lunch |
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