Applicationes Mathematicae

Wroclaw University of Technology
Institute of Mathematics
Hugo Steinhaus Centre

 

PROGRAM
(Venue: Institute of Mathematics, ul. Janiszewskiego 14a, room P 01)

Friday, October 22th

• 16:00-16:30 Registration
  

• 16:30-17:00 Course "Advanced Methods in Finance", part I:
  "XploRe Introductory Course", prof. Wolfgang Haerdle, Michal Benko (Berlin)

• 17:00-17:15 Coffee break
  

• 17:15-19:00 Course "Advanced Methods in Finance", part II:
  "Nonparametric Models: Nonparametric Density Estimation, Histogram, Kernel Density Estimation, (Univariate, Multivariate)",
  prof. Wolfgang Haerdle, Michal Benko (Berlin)
  

Saturday, October 23th

• 9:00-9:30 Registration

• 9:30-11:00 Course "Advanced Methods in Finance", part III:
  "Nonparametric Regression: Kernel Regression, Local Polynomial, K-nn, Median Smoother",
  prof. Wolfgang Haerdle, Michal Benko (Berlin)

• 11:00-11:30 Coffee break
  

• 11:30-13:00 Course "Advanced Methods in Finance", part IV:
  "Nonparametric Risk Management with Generalized Hyperbolic Distribution", prof. Wolfgang Haerdle, Michal Benko (Berlin)
  

• 13:00-13:30 Coffee break
  

• 13:30-14:00 Registration

• 14:00-15:00 The graduates' meeting
  Chair: prof. Aleksander Weron, doc. Janusz Górniak
  

• 15:00-15:30 Coffee break
  

• 15:30-16:30 Applicationes Mathematicae seminar, part I, Chairman: prof. Aleksander Weron
  


• 15:30-16:00 "Steinhaus and Hausdorff - two hidden fathers of probability theory",
  prof. H. J. Girlich (Leipzig)
  
  
• 16:00-16:30 "Stefan Drobot's Dimensional Analysis",
  prof. W. Kasprzak, prof. M. Rybaczuk (Wroclaw)
  
  

• 16:30-17:00 Snack bar
  
  

• 17:00-18:00 Applicationes Mathematicae seminar, part II, Chair: prof. Wolfgang Haerdle
  


• 17:00-17:30 "Valuation of a credit risk portfolio",
  prof. L. Gajek (Lodz)
  
  
• 17:30-18:00 "Problems with volatility modeling",
  prof. M. Musiela (London)
  
  

• 18-... The graduates' meeting on Rynek
  

Sunday, October 24th

• 9:30-11:00 Course "Advanced Methods in Finance", part V:
  "Spline Smoothing, Orthogonal Series Smoothing Common Functional IV Surface Analysis",
  prof. Wolfgang Haerdle, Michal Benko (Berlin)
  

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