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Summer School 2004

The Department of Mathematics for Economics and Social Science of the University of Bologna organizes a Summer School in “Frontiers in Financial Market Mathematics”. Every year the Summer School will address new frontier topics in mathematical finance. Topic of year 2004 is:

“COPULA METHODS IN FINANCE”

The 2004 edition of the Summer School will take place from September 13th through 15th in the premises of the Faculty of Economics, Aula Magna, located in Piazza Scaravilli, 2 Bologna.

Program 

Monday September 13th
h. 10.00 – 10.15: Registration
h. 10.15 – 10.30: Welcome from the Head of the Department
h. 10.30 – 12.30: “Copula Methods in Finance: A Primer”
U. Cherubini, University of Bologna
h. 14.00 – 17.00: “Credit Risk Models”
Kay Giesecke, Cornell University

Tuesday September 14th
h. 10.30 – 12.30: “Option Pricing with Copulas”
U. Cherubini, University of Bologna
h. 14.00 – 17.00: “Basket Credit Derivatives and CDOs”
Walter Vecchiato, Veneto Banca

Wednesday September 15th
h. 10.30 – 13.00: “The Econometrics of Copula Function”
Mark Salmon, University of Warwick
h. 14.00 – 17.00: “Monte Carlo Simulation with Copula Functions”
Giovanni Della Lunga, University of Insubria-Varese.

Participation is free. Applications will be accepted on a first come first served basis. For logistic reasons a maximum number of 40 participants will be admitted. For applications and for further information please refer to info@matemates.unibo.it .