Second Brazilian Conference on Statistical Modelling in Insurance and
    Finance
         

Maresias, August 28 - September 3, 2005



CONFERENCE PROGRAMME (WEDNESDAY, AUGUST 31)


8:30-10:50 Principal Hall
8:30-10:50 Dorota Kurowicka: Techniques in Representing High Dimensional Distributions (Short Course, Part 1)
10:50-11:20 Coffee Break
11:20-12:05 Principal Hall
11:20-12:05 Optimization Session 1: Chairman 4
11:20-11:40 Gabih, A., Sass, J. and Wunderlich, R.: Utility Maximization with Bounded Shortfall Risk in an HMM for the Stock Returns
11:45-12:05 Pérez-Hernández, L.: On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time
11:20-12:05 "Game" Hall
11:20-12:05 Differential Equations Session: Chairman 5
11:20-11:40 Souza, M. and Zubelli, J.: Asymptotic Behavior of Stochastic Volatility Models
11:45-12:05 Thomaz, J. and Loula, A.: Generalized Differential Equation of Option Pricing
12:30-18:30 Excursion in Ecological Park "TUIM"
18:30-21:30 Barbecue