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Humboldt-Princeton Conference 2007

Humboldt - Princeton Conference

Semiparametrics Meets Mathematical Finance

27.10.2007 - 28.10.2007

Lecturer Institution Talk
Ronnie Sircar Princeton Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives
Patrick Cheridito Princeton Equilibrium Pricing in Incomplete Markets
Jianqing Fan Princeton Estimating Large Covariance Matrix with Applications to Portfolio Allocation and Risk Management
Chenghu Ma Xiamen MPS-Risk-Aversion and Continuous-Time Mean-Variance Analysis in Presence of Lévy Jumps
Birgit Rudloff Princeton Convex Hedging in Incomplete Markets
Wolfgang Härdle Humboldt DSFM for Dynamic Volatility Hedges
Nikolaus Hautsch Humboldt The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Volodia Spokoiny WIAS Adaptive Methods in Quantitative Finance
Denis Belomestny WIAS Methods of MC Pricing of Callable Derivatives
Ulrich Horst Humboldt Adverse Selection and Risk Transfer in Principal Agent Games
Peter Bank TU Berlin A Large Investor Trading at Market Indifferent Prices


 Time Saturday, 27 Oct. 2007 Sunday, 28 Oct. 2007
09:00-09:45 Ronnie Sircar (PU) Nikolaus Hautsch (HU)
10:00-10:45 Wolfgang Härdle (HU) Patrick Cheridito (PU)
11:00-11:45 Volodia Spokoiny (WIAS) Ulrich Horst (HU)
11:45-14:00 Lunch Lunch
14:00-14:45 Jianqing Fan (PU) Birgit Rudloff (PU)
15:00-15:45 Chenghu Ma (Xiamen) Denis Belomestny (WIAS)
16:00-16:45 Student Presentations (HU):
Rouslan Moro, Enzo Giacomini
Peter Bank (TU Berlin)
17:00-17:45   Student Presentations (HU):
Roman Timofeev, Szymon Borak
18:30-22:00+ Boat Gala Dinner  

On Saturday, October 27th a gala dinner will be organised on a ship cruising on the Spree. The event participation fee is 80 euros, it is payable upon arrival at the conference. More information about the conference venue including the boat tour plan is available here. Please note that the schedule has changed.

To register for the conference please fill in the registration form and send it back by fax or mail. The conference will take place at Humboldt-Universität zu Berlin, School of Business and Economics, Spandauer Str. 1, 10178 Berlin in Auditorium 125. The conference venue is located three minutes away from the S-Bahn station Hackescher Markt (map). If you have questions concerning the conference, please contact us at

The participation in the conference is free thanks to our sponsors:

Quantitative Products Laboratory, a joint research institute of Deutsche Bank AG, Humboldt-Universität and Technical University, Berlin
Collaborative Research Center 649: Economic Risk of Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Gesellschaft, Humboldt-Universität zu Berlin

Please download the conference poster to announce the conference at your department.

Download slides

 List of Participants

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CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin
Phone: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649