Stochastic Analysis in Finance and Insurance

This meeting was organised jointly by Darrell Duffie (Stanford), Paul Embrechts (Zürich) and Hans Föllmer (Berlin). In 28 talks and many informal discussions, it covered a wide range of problems in finance and insurance which involve advanced methods of stochastic analysis. Key topics included: – incomplete financial markets, in particular stochastic volatility, equilibrium analysis, stochastic optimisation problems, and applications in insurance, – hedging strategies in the presence of transaction costs and constraints, – financial versus actuarial pricing principles, asset liability modelling, default risk, and insurance derivatives, – new approaches to the modelling of asset price dynamics, – stochastic dynamics of the term structure of interest rates, in particular geometric aspects, interest rate derivatives, and extremes, – theoretical problems in stochastic analysis motivated by applications in finance, in particular martingale inequalities, backward stochastic differential equations and the structure of Brownian filtrations. The meeting had 49 participants.