Objectives :
The main objective of the School
is to provide lectures for students and young researchers in order to
familiarize them with the concepts of stochastic calculus in finance. The
professors will explore some classical topics in mathematical finance (option
pricing, risk measure, default risk, calibration, …)
Organizing institutions:
1) Académie Hassan II des Sciences et Techniques
2) Centre International de Mathématiques Pures et Appliquées,
3) Université Cadi Ayyad, Facultés des Sciences Semlalia Marrakech,
Working languages: French, English
Scientific program and invited speakers:
·
“Risk measures
and BSDEs” N. El Karoui (
·
”Models
for trading climate risk, Symmetric information in financial markets” P.
Imkeller (
·
“Stochastic processes with jumps and
applications in finance” M. Jeanblanc (
·
“Equilibrium
models with beliefs heterogeneity” E. Jouini (
·
“Valuation
and hedging of credit risk” M.
Rutkowski (
·
“On the
model risk in finance” D. Talay (
· “Portfolio allocation models” Ali Lazrak, Slides, Empirical facts
Prerequisites :
Standard Stochastic Calculus
especially in continuous time: Filtration, Brownian Motion, Martingale, Itô
Formula, Stochastic Differential Equations, Martingale Representation Property,
Poisson Process, Girsanov Theorem, …
Deadline for registration :