The Society for Support of Hellenic Heritage HOMEROS, presiding in Switzerland, and the National Bank of Greece, within the framework of the program SCIENCE AND CIVILIZATION, organize a

Summer School on

STOCHASTIC ANALYSIS AND OPTIMIZATION IN FINANCE

9 - 21 July 2001, Dimitsana, Arcadia, Greece

ΔΕΛΤΙΟΝ ΤΥΠΟΥ - PRESS RELEASE


POSTER

PARTICIPANTS

PHOTOGRAPHY

PROGRAM - GENERAL INFORMATION (pdf)


Sponsored by the

NATIONAL BANK OF GREECE




Under the auspices of the
UNIVERSITY OF PATRAS, GREECE




Steering Committee:
Takis Konstantopoulos (University of Texas at Austin, USA)
Nikolaos Papadopoulos (University of Mainz, Germany)
Vassilios Papakonstantinou (University of Patras, Greece)




Lecturers:
Patrick Cheridito (ETH, Zurich, Switzerland)
Freddy Delbaen (ETH, Zurich, Switzerland)
Takis Konstantopoulos (University of Texas at Austin, USA)
Marc Yor (Universitι Paris 6, France)





Achilles and Aeas, during a break from a battle at Troy, are playing a game of dice. Achilles has thrown a "TESARA" (four) and Aeas a "TRIA" (three). Both men hold dice on one hand and spears on the other, thus revealing the tension of the scene. They will both later die, Achilles in a battle, and Aeas will committ suicide. The interplay between chance and determinacy can thus be felt in this scene.

The brilliant example of black figure vase painting is a masterpiece by Exekias, created ca. 520 BC, as can be witnessed by the phrase "EXEKIASEPOIESEN" (Exekias created), behind Achilles. This large attic vase (61 cm height) was found in Voulkoi of Etruria, and is now kept in the Vatican Museum (c.f. Erika Simon: "Die Griechischen Vasen", Hirmer Verlag Muenchen, 1976).





LIST OF TOPICS TO BE COVERED

Introduction to mathematical finance:
Basic structure: probability spaces and filtrations
Pricing financial instruments
The principle of no-arbitrage
The fundamental theorem of mathematical finance and the pricing of contingent claims
The interpretation of the fundamental theorem in discrete time
The need for continuous time models and stochastic integrals
The Snell envelope and American options

Stochastic calculus:
Introduction to martingales
Brownian motion
Stochastic integrals
The Ito formula
Stochastic differential equations
The Black-Scholes formula and optimization/control problems

Continuous time finance:
The Samuelson model
Option pricing (e.g., Asian options, quantile options, European options)
The role of stochastic calculus in continuous finance
Completeness and incompleteness of markets
Hedging procedures and newer theories

Levy processes:
Poisson processes
Processes with independent increments and the Levy-Khinchine representation
Important classes of Levy processes (compound Poisson; stable; subordinators)
Some fluctuation theory
Stochastic calculus with Levy processes

Fractional Brownian motion:
Self-similarity and Gaussian processes
Representations of fractional Brownian motion
Non-traditional stochastic calculus for FBM
The possibility of arbitrage
Advanced topics on FBM



BIBLIOGRAPHY





LECTURE NOTES

A collection of summaries of the lectures can be found here:
[pdf file]

These are currently (25 Aug. 2001) in preliminary form. They will be corrected and updated soon.






Inscription on coin of the city of Teuthis, ca. 194 BC.



A panoramic view of the traditional town of Dimitsana, the evolution of the ancient Greek city of Teuthis. Homer mentions that the King of the city (whose name was also Teuthis or Ornytos) quarreled with Agamenon about the expedition to Troy, and, as a result, he returned home, to the city of Teuthis. He also wounded the goddess Athena. Pausanias (8.28.4-8.28.6: Aulis and the legend of Teuthis) mentions the story, and also recalls having seen a statue of the wounded Athena. Remains of the ancient city can be seen today. During the Byzantine era (ca. 900 AD) the monastery of Philosophos was established; it served as an education center during Byzantium and also during the Ottoman occupation.




Main lodging for Dimitsana: Traditional Hotel "Kazakos"