[MaPhySto logo]
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-misc 1999-14
July 1999

Miniproceedings: Workshop on Finance and Turbulence


Ole E. Barndorff-Nielsen, Bent Jesper Christensen, Henning Bunzel, Michael Sørensen (eds.)


The Workshop on `Finance and Turbulence' was held 5-7 May 1999 at University of Aarhus and was organised jointly by CAF (Centre for Analytical Finance) and MaPhySto (Centre for Mathematical Physics and Stochastics), the organizing committee consisting of Ole E. Barndorff-Nielsen, Bent Jesper Christensen, Henning Bunzel (Aarhus) and Michael SÖrensen (Copenhagen). The aim of the Workshop was to discuss the striking similarities, as well as the differences, between key empirical features observed in the financial markets on the one hand and in studies of the turbulence of fluids on the other. Particular emphasis was given to questions relating to realistic stochastic modelling of the phenomena concerned. The present booklet contains extended abstracts of (most of) the talks given at the workshop. The programme and the list of participants are also included.

Availability: [ gzipped ps-file ] [ pdf-file ]

[ Help on down-loading/viewing/printing ]