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

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Contact : thomas.ballesteros @ u-cergy.fr (thomas.ballesteros @ u-cergy.fr)