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Summer School of Mathematics for Economic and Social Sciences

"Stochastic Processes and Stochastic Calculus with application to Economics and Finance"

12 September 2016 - 16 September 2016

Timetable

Date	Time	Speaker	Room
Mon 12 Sep	9:00- 10:30	Pratelli, Maurizio "COURSE: Random Variables and their Laws, Independence"	Sala Mario Luzi, Conservatorio Santa Chiara
	10:30- 11:00	Coffee break
	11:00- 12:30	Pratelli, Maurizio "COURSE: Conditional Probability and Conditional Expectation"	Sala Mario Luzi, Conservatorio Santa Chiara
	13:00- 14:30	Lunch	Sala "Fratelli Taviani", Conservatorio Santa Chiara, San Miniato
	15:00- 17:00	STUDY GROUPS	Sala Mario Luzi, Conservatorio Santa Chiara
	17:00- 17:30	Coffee break
	17:30- 18:30	Musta, Eni "SEMINAR: Value at Risk"
	20:00- 21:30	Dinner
Tue 13 Sep	9:00- 10:30	Trevisan, Dario "COURSE: Markov Chains"	Sala Mario Luzi, Conservatorio Santa Chiara
	10:30- 11:00	Coffee break
	11:00- 12:30	Pratelli, Maurizio "COURSE: Discrete-time Martingales"	Sala Mario Luzi, Conservatorio Santa Chiara
	13:00- 14:30	Lunch	Sala "Fratelli Taviani", Conservatorio Santa Chiara, San Miniato
	15:00- 17:00	STUDY GROUPS	Sala Mario Luzi, Conservatorio Santa Chiara
	17:00- 17:30	Coffee break
	17:30- 18:30	Trevisan, Dario "SEMINAR: Arbitrage and Pricing Theory"
	20:00- 21:30	Dinner
Wed 14 Sep	9:00- 10:30	Pratelli, Maurizio "COURSE: Construction and properties of the Brownian Motion"	Sala Mario Luzi, Conservatorio Santa Chiara
	10:30- 11:00	Coffee break
	11:00- 12:30	Pratelli, Maurizio "COURSE: Stochastic Integration and Ito Formula"	Sala Mario Luzi, Conservatorio Santa Chiara
	13:00- 14:30	Lunch	Sala "Fratelli Taviani", Conservatorio Santa Chiara, San Miniato
	15:00- 17:00	STUDY GROUPS	Sala Mario Luzi, Conservatorio Santa Chiara
	17:00- 17:30	Coffee break
	17:30- 18:30	Musta, Eni "SEMINAR: Cox, Ross & Rubinstein Option Pricing Model"
	20:00- 21:30	Dinner
Thu 15 Sep	9:00- 10:30	Pratelli, Maurizio "COURSE: Girsanov Theorem, the Martingale Representation Theorem and conseguences on Option Pricing Models (Samuelson-Black-Scholes)"	Sala Mario Luzi, Conservatorio Santa Chiara
	10:30- 11:00	Coffee break
	11:00- 12:30	Pratelli, Maurizio "COURSE: Links with Partial Differential Equations"	Sala Mario Luzi, Conservatorio Santa Chiara
	13:00- 14:30	Lunch	Sala "Fratelli Taviani", Conservatorio Santa Chiara, San Miniato
	15:00- 17:00	STUDY GROUPS	Sala Mario Luzi, Conservatorio Santa Chiara
	17:00- 17:30	Coffee break
	17:30- 18:30	Trevisan, Dario "SEMINAR: Option Pricing and Numéraires"
	20:00- 21:30	Dinner
Fri 16 Sep	9:00- 10:30	Musta, Eni "COURSE: Self-financing Portfolio, Complete and Incomplete Models"	Sala Mario Luzi, Conservatorio Santa Chiara
	10:30- 11:00	Coffee break
	11:00- 12:30	Pratelli, Maurizio "COURSE: Introduction to Interest rate models"	Sala Mario Luzi, Conservatorio Santa Chiara
	13:30- 15:00	Lunch and closing remarks	Sala "Fratelli Taviani", Conservatorio Santa Chiara, San Miniato