Preliminary program

Thursday, november 18 : chaos decomposition

  • 9:00 - 9:30 : coffee break.
  • 9:30 - 11:00 : B. Øksendal, The Malliavin derivative based on chaos expansion: Definition, motivation and properties.
  • 11:00 - 11:30 : coffee break.
  • 11:30 - 12:15 : D. Applebaum, Malliavin calculus without probability and applica- tion to L ́evy processes.
  • 12:30 - 14:00 : lunch.
  • 14:00 - 14:45 : G. Peccati, Stein’s method and Malliavin calculus on the Poisson space.
  • 14:45 - 15:30 : J. Hosking, On Sobolev spaces of pure jump Lévy Functionals.
  • 15:30 - 16:00 : coffee break.
  • 16:00 - 16:45 : J. Vives, Malliavin’s type derivative for Lévy processes: the chaos expansion point of view.
  • 16:45 - 17:30 : C. Tudor, Wavelet variations of non-linear subordinated processes with memory.

Friday, november 19 : regularity of the law

  • 9:00 - 9:30 : coffee break.
  • 9:30 - 11:00 : A. Takeuchi, Regularities and logarithmic derivatives of densities for SDEs with jumps.
  • 11:00 - 11:30 : coffee break.
  • 11:30 - 12:15 : N. Bouleau, Dirichlet forms applied to Poisson measures : simplified construction and the double Fock space.
  • 12:15 - 13:00 : L. Denis, Some applications of the Lent Particle Method.
  • 13:00 - 14:30 : lunch.
  • 14:30 - 15:05 : V. Bally, Integration by parts formula for SDE's with jumps.
  • 15:05 - 15:40 : N. Fournier, Regularization for the 2D Boltzmann equation.
  • 15:40 - 16:10 : coffee break.
  • 16:10 - 16:45 : J.L. Solé, Local Malliavin Calculus for Lévy Processes and Applications..
  • 16:45 - 17:20 : T. Simon, On an absolute continuity criterion for Ornstein-Uhlenbeck processes.
  • 17:20 - 17:55 : A.M. Kulik, Convergence in variation for the laws of Poisson functionals under weak regularity assumptions.

Saturday, november 20 : applications to finance

  • 9:15 - 9:30 : coffee break.
  • 9:30 - 10:15 : N. Oudjane, On pricing and hedging models for energy prices.
  • 10:15 - 10h50 : G. Di Nunno, Minimal variance hedging in incomplete markets: stochastic differentiation and the Clark-Ocone formula.
  • 10:50 - 11:15 : coffee break.
  • 11:15 - 11:50 : C. Geiss, Malliavin Fractional Smothness for Lévy Processes and Discrete Time Hedging (joint work with S. Geiss and E. Laukkarinen).
  • 11:50 - 12:25 : L. Caramellino, Malliavin Greeks for complex Asian options in a jump diffusion setting.
  • 12:25 - 13:00 : J.M. Corcuera, Applications of Malliavin Calculus in Statistical Inference.