Wolfgang Pauli Institute (WPI) Vienna

Workshop on "American and Bermudan Options"

Location: WPI Fri, 17. Oct - Sat, 18. Oct 08
Organisation(s)
WPI 		Organiser(s)
Mark Broadie (U. Columbia)
Friedrich Hubalek (TU Wien)
Damien Lamberton (Marne la Vallée)
Peter Laurence (WPI and U. Roma)
Remark: Click HERE for the programme.

Talks in the framework of this event


Schoenmarkers, John UZA II, HS 3 Fri, 17. Oct 08, 9:30
"Regression methods for high-dimensional Bermudan derivatives and stochastic control problems"
  • Event: Workshop on "American and Bermudan Options" (2008)

Touzi, Nizar UZA II, HS 3 Fri, 17. Oct 08, 10:45
"Nonlinear Monte Carlo approximation: from American options to fully nonlinear PDEs"
  • Event: Workshop on "American and Bermudan Options" (2008)

Stentoft, Lars UZA II, HS 3 Fri, 17. Oct 08, 11:50
"Value Function Approximation or Stopping Time Approximation for American Option Pricing"
  • Event: Workshop on "American and Bermudan Options" (2008)

Rogers, Chris UZA II, HS 3 Fri, 17. Oct 08, 14:30
"The dual approach: what does, does not, and might work"
  • Event: Workshop on "American and Bermudan Options" (2008)

Bender, Christian UZA II, HS 3 Fri, 17. Oct 08, 15:45
"Dual pricing of multi-exercise options under volume constraints"
  • Event: Workshop on "American and Bermudan Options" (2008)

Pages, Gilles UZA II, HS 3 Fri, 17. Oct 08, 16:50
"Examples of applications of Optimal Quantization"
Note:   You may download the slides of the talk
  • Event: Workshop on "American and Bermudan Options" (2008)

Ibanez, Alfredo UZA II, HS 3 Sat, 18. Oct 08, 10:00
"The Sensitivity of American Options to Suboptimal Exercise Strategies "
  • Event: Workshop on "American and Bermudan Options" (2008)

Baviera, Roberto UZA II, HS 3 Sat, 18. Oct 08, 11:30
"A perturbative approach to Bermudan Options pricing with applications "
  • Event: Workshop on "American and Bermudan Options" (2008)

Jamshidian, Farshid UZA II, HS 3 Sat, 18. Oct 08, 14:30
"On the Doob-Meyer Decomposition of the Snell Envelope"
  • Event: Workshop on "American and Bermudan Options" (2008)

Gerhold, Stefan UZA II, HS 3 Sat, 18. Oct 08, 15:45
"Levy-Scheffer systems and the Longstaff and Schwartz algorithm for American Option Pricing "
  • Event: Workshop on "American and Bermudan Options" (2008)

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