Credit risk under Lévy models

Edinburgh, 19-21 September 2006

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Organised by
A. E. Kyprianou (Bath)
W. Schoutens (K. U. Leuven)

Workshop Summary
The Workshop starts with Registration (between 09.00 and 10.00) on Tuesday 19 September and finishes in the afternoon of Thursday 21 September. It will be held at ICMS Headquarters at 14 India Street. Participation is by invitation only.

The objective of this workshop is to examine the application of Lévy processes to models of credit risk.

Specific topics will include:
  • Fundamental credit risk models taking into account jumps and their mathematical consequences.
  • Passage problems and optimal default.
  • Distributional aspects of integrated exponential Lévy processes and applications.
  • The use of integro-differential equations, boundary value problems, theoretical and numerical solutions thereof.
  • Multivariate asset modeling using Lévy processes in credit models.
The workshop will be followed by a one-day conference oriented towards practitioners in industry. Details can be found on http://www.creditrisk.be/

Administrative contacts
ICMS, 14 India St, Edinburgh EH3 6EZ
tel 0131 220 1777; Fax 0131 220 1053

Created 17 March 2006

This workshop is made possible by grants awarded to ICMS from EPSRC Mathematical Sciences Programme, the Scottish Higher Education Funding Council and the London Mathematical Society.

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