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Symposium in Honour of Jørgen Aase Nielsen

Friday 18 October 2024 09:30–17:00 Aud. D1 (1531-113)
Symposium

Jørgen Aase Nielsen originally trained in chemistry but soon shifted to operations research and finance. He joined Aarhus University in 1973 as a faculty member in Operations Research, later becoming a professor in Mathematical Finance at the Department of Mathematics until his retirement in 2009. He was a key figure in developing the mathematical finance teaching and research environment in Denmark, attracting many international visitors. He played an instrumental role in founding the Bachelier Finance Society in Aarhus in 1996.

Programme

  • 09:30–10:00 Registration and coffee
  • 10:00–10:10 Welcome
  • 10:10–10:30 Bjarne Graabech Sørensen – Jørgen's achievements
  • 10:30–11:00 Klaus Sandmann – Asian options and stochastic interest rates
  • 11:00–11:30 Peter Løchte Jørgensen – Options everywhere
  • 11:30–12:00 Kristian Miltersen – Russian Options Applied to Corperate Dept
  • 12:00–13:00 Lunch (MatKant)
  • 13:00–13:30 Thomas Kirkegaard Kloster – Orthogonal Expansions in Volterra-Heston Models
  • 13:30–14:00 Thomas Kokholm – A Model for the Hedging impact of Option Market Makers
  • 14:00–14:15 Coffee Break
  • 14:15–14:45 Bjarne Astrup Jensen – Tax-neutrality in no-arbitrage models
  • 14:45–15:15 Jesper Andreasen – Decoding the Autoencoder
  • 15:15–15:30 Bent Jesper Christensen and Rolf Poulsen – Concluding remarks
  • 15:30–17:00 Reception (Vandrehallen)

Further info

Revised: 07.10.2024