Thursday 25.9.
10.00 - 10.30 Registration
Session I (Chair: Esko Valkeila)
10.30 - 11.10 Christian Bender: On the Fractional Clark-Ocone Theorem (H
> 1/2)
11.10 - 11.40 Mikhail Lifshits: Small deviations for fractional stable
processes
11.40 - 13.00 Lunch
Session II (Chair: Christian Bender)
13.00 - 13.40 Stefan Geiss: Do random time nets decrease the hedging
error for European contigent claims?
13.40 - 14.00 Break
14.00 - 14.40 Pavel Gapeev: About Fractional Bond Markets
14.40 - 15.20 Erhan Bayraktar: Fractional Brownian motion and
finance
15.20 - 16.00 Break
Session III (Chair: Celine Jost)
16.00 - 16.30 Terhi Kaarakka: On Fractional Ornstein-Uhlenbeck
Processes
16.30 - 17.10 Harry van Zanten: On the RKHS structure of the frequency
domain of the fBm
17.10 - 17.20 Break
17.20 - 18.00 Dario Gasbarra: On fractional Brownian bridges
19.30 - 22.00 Dinner at restaurant
Sea Horse, Kapteeninkatu 11.
Friday 26.9.
Session IV (Chair: Harry van Zanten)
09.00 - 09.40 Yuriy Kozachenko: On estimation of the multiparameter
fractional Brownian motion
09.40 - 10.20 Ciprian Tudor: Ito formula and local times for the
fractional Brownian sheet
10.20 - 10.40 Break
10.40 - 11.20 Mine Caglar: FBM as a limit of integrals with respect to a
Poisson random measure
11.20 - 12.00 Olga Vasylyk: Simulation of weakly self-similar
Sub_\phi(\Omega) processes: A series expansion approach
12.00 - 13.00 Lunch
Session V (Chair: Tommi Sottinen)
13.00 - 13.30 Ingemar Kaj: Fractional Brownian and non-Brownian motions
approximating scaled long-memory processes
13.30 - 13.40 Break
13.40 - 14.20 Oleg Rusakov: A Weak Convergence of Random Broken Lines
Approach to the Geometric Fractal Brownian Motion and to the Fractional
Ornstein-Uhlenbeck Process
14.20 - 14.50 Esko Valkeila: Semimartingales, initial
enlargement and Girsanov theorems
14.50 - 15.00 Closing
http://www.math.helsinki.fi/~tsottine/fBdays/program.html
Tommi.Sottinen@Helsinki.Fi
Last modified: 22.9.2003