2007 MOROCCO

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CIMPA-UNESCO-MOROCCO School

Stochastic Models in Mathematical Finance

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 put the accent on the non-explored topics in mathematical finance (option assessments, risk measure, default risk, calibration, …)

Organizing institutions:
1) Académie Hassan II des Sciences et Techniques Rabat, Morocco
2) Centre International de Mathématiques Pures et Appliquées, Nice, France
3) Université Cadi Ayyad, Facultés des Sciences Semlalia Marrakech, Morocco

Organizing committee :
1. Y. Ouknine (Université Cadi Ayyad, Marrakech - Morocco) and member of the Académie Hassan II des Sciences et Techniques,
2. M. Eddahbi (FSTG, Université Cadi Ayyad, Marrakech - Morocco),
3. S. Hamadène (Université du Maine, Le Mans - France),
4. A. Lazrak (University of British Columbia, Vancouver - Canada)

Scientific committee:
1. T. Bjork (Stockholm School of Economics, Sweden)
2. R. Buckdahn (Université de Brest, France)
3. N. El-Karoui (Ecole polytechnique et Université Pierre et Marie Curie P6, France)
4. S. Hamadène (Université du Maine, Le Mans, France)
5. P. Imkeller (Humboldt University, Berlin, Germany)
6. M. Jeanblanc (Université d'Evry, France)
7. E. Jouini (Université Paris 9 Dauphine et CEREMADE, France)
8. P. Malliavin (Académie des Sciences et Université Pierre et Marie Curie P6, France)
9. Y. Ouknine (Université de Marrakech, Morocco)
10. M. Rutkowski (University of New South Wales, Australia)
11. M. Sanz-Sole (Universitat de Barcelona, Spain)
12. D. Talay (INRIA, Sophia-Antipolis, France)
13. D. Nualart (University of Kansas, USA).

Working languages:
French, English

Date and location :
April 9-20, 2007, Marrakech (Morocco)

Scientific program and invited speakers:

  • ”Introduction to Interest Rate Theory” T. Björk (Stockholm, Sweden)

  • “Mesures de risque et EDSR” N. El Karoui (Paris, France) lecture1 lecture2 lecture3 lecture4

  • ”Models for trading climate risk, asymmetric information in financial markets” P. Imkeller (Berlin, Germany)

  • “Processus à sauts et applications à la finance” M. Jeanblanc (Evry, France) lecture1 lecture2 lecture3

  • “Equilibrium models with beliefs heterogeneity” E. Jouini (Dauphine, France) lecture

  • “Pricing and hedging of credit derivatives” M. Rutkowski (University of New South Wales, Australia) lecture

  • "Asset Allocation Models" A. Lazrak (University of British Columbia, Vancouver - Canada) lecture1 lecture2

  • “Autour du risque de modèle en finance” D. Talay (Nice, France) lecture

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 : January 31, 2007

Application procedure and Online registration (only for non Morrocan)

Application form for Morrocan

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