Stochastic Finance

Part I.Plenary and Invited Lectures

1. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Yacine Aït-Sahalia, Per A. Mykland, Lan Zhang

2. Multipower Variation and Stochastic Volatility
Ole E. Barndorff-Nielsen, Neil Shephard

3. Completeness of a General Semimartingale Market under Constrained Trading
Tomasz R. Bielecki, Monique Jeanblanc°, Marek Rutkowski

4. Extremal behavior of stochastic volatility models
Vicky Fasen, Claudia Klüppelberg, Alexander Lindner

5. Capital Asset Pricing for Markets with Intensity Based Jumps
Eckhard Platen

6. Mortgage Valuation and Optimal Refinancing
Stanley R. Pliska

7. Computing efficient hedging strategies in discontinuous market models
Wolfgang J. Runggaldier, Sara Emidio

8. A Downside Risk Analysis based on Financial Index Tracking Models
Lian Yu, Shuzhong Zhang, Xun Yu Zhou

Part II.Contributed Talks

9. Modelling electricity prices by the potential jump-diffusion
Svetlana Borovkova, Ferry Jaya Permana

10. Finite dimensional Markovian realizations for forward price term structure models
Raquel M. Gaspar

11. Good Portfolio Strategies under Transaction Costs: A Renewal Theoretic Approach
Albrecht Irle, Jörn Sass

12. Power and Multipower Variation: inference for high frequency data
Jeannette H. C. Woerner

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Nyckelord: MATHEMATICS / General MAT000000