The Third T.N. Thiele Symposium

on Stochastic Volatility

An international meeting financed by the Danish Social Science
Research Council via the Mathematical Finance Network,
(Grant No. 9800335) and a grant to Anders Rahbek, and by
[DB logo]

Monday 19 - Tuesday 20 December 2005

Department of Applied Mathematics and Statistics, University of Copenhagen

Venue: Auditorium 4, The H.C. Ørsted Institute, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen Ø, Denmark

Organizers: Thomas Mikosch, Rolf Poulsen, Anders Rahbek, Mogens Steffensen and Michael Sørensen

The subject of the third T.N. Thiele Symposium was stochastic volatility models including actuarial, econometric and mathematical finance aspects.

The series of symposia is named after the great Danish astronomer, insurance mathematician and statistician Thorvald Nicolai Thiele (1838 - 1910). The First Thiele Symposium was held in 2000 to mark the 125th anniversary of the advent of Thiele's differential equation for the reserve on a life insurance policy. The Second Thiele Symposium was concerned with financial econometrics.


Torben G. Andersen, Northwestern University, USA.

Ole E. Barndorff-Nielsen, University of Aarhus, Denmark.

Tim Bollerslev, Duke University, USA.

Marc Hoffmann, Marne la Vallée, France.

Jean Jacod, Université Paris 6, France.

Roger Lee, University of Chicago, USA.

Asger Lunde, Aarhus School of Business, Denmark.

Ragnar Norberg, London School of Economics, UK.

Andrew J. Patton, London School of Economics, UK.

Rolf Poulsen, University of Copenhagen, Denmark.

Martin Richter, Danske Bank, Copenhagen, Denmark.

Albert N. Shiryaev, Steklov Institute of Mathematics, Russia.



This document was last modified on January 31, 2006.