Institut d'études avancées (IEA)

Conférence du 2 au 5 juillet 2012

ENGREF 19 avenue du Maine 75014 Paris

Thèmes abordés : Multifractal, Non stationnarité, Risques

Programme de la conférence (français/anglais)

Liste des orateurs :

 

Orateurs

Titres

Slides

Pr. Ayache, Lille

Linear fractional stable motion: a wavelet estimator of the alpha-parameter

 

Pr. Bertail, Nanterre

Renewal approach and Bootstrap for U-statistics of Markovian Data

 

Pr Dider Dacunha-Castelle,Orsay

From nonstationarity to stationarity: oriented preprocessing and tests

 

Pr. Fasen, ULM

High-frequency sampled stable CARMA processes

 

Pr. Fokianos, Nicosia

Saddlepoint approximation for INAR(p) processes

 

Pr. Ion Grama, UBS VANNES

 

 

Pr. Abdou Kelani, Lyon

Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment /

Évaluation des contrats en Unités de compte avec Option de Rachat en présence de Taux Stochastiques

 

Pr. Klesov, National Technical University of Ukraine (KPI) Kiev

Records for $F^\alpha$-scheme

 

Pr. Jens-Peter Kreiss, Braunschweig

Bootstrapping Stationary and Locally Stationary Processes

 

Pr. Lang, Agroparistech Paris

 

 

Pr. Leonenko,Cardiff

Fractional pearson diffusion

 

Pr. Leucht, Hamburg

Asymptotics and bootstrap for degenerate von Mises-statistics under ergodicity

 

Pr. Lindner, Braunschweig

On strictly stationary solutions of ARMA aquations

 

Pr. Lopes, University of Rio Grande do Sul, Porto Alegre

Quasi-likelihood Estimation on SFIEGARCH Process

 

Pr. Ludeña, Universidad Central de Venezuela

Estimating the scaling function of multifractal measures and multifractal random walks using ratios

 

Pr. Quansheng Liu, UBS vannes

Hoeffding's inequality for supermartingales

 

Pr. Roncalli, Univ d'Evry

Managing Risk Exposures using the Risk Budgeting Approach

Engref_Risk_Parity

 

Pr. Roueff, Telecom Paris

 

 

Inscription obligatoire :

Contact : thomas.ballesteros @ u-cergy.fr