The Third T.N. Thiele Symposium
on Stochastic Volatility
An international meeting financed by the Danish Social Science
Research Council via the Mathematical
(Grant No. 9800335) and a grant to Anders Rahbek,
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
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
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.