Plenarvorträge - DPG-Tagungen

Symposium Fat-Tail Distributions - Applications from Physics to Finance Tagesübersichten
FAT-TAIL DISTRIBUTIONS - APPLICATIONS FROM PHYSICS TO FINANCE (SYFT)
Prof. Dr. Wolfgang Paul
Institut für Physik
Johannes Gutenberg Universität
55099 Mainz
PD Dr. Bernd Rosenow
Institut für Theoretische Physik
Universität zu Köln
Zülpicher Str. 77
50937 Köln
E-Mail: wolfgang.paul@uni-mainz.de rosenow@thp.uni-koeln.de
Since the pioneering work of Bachelier and Einstein at the beginning of the 20th century Gaussian fluctuations and Brownian
motion have been pervasive in physics as well as in financial theory. Itô not only mathematically formalized the concept of
Brownian motion but in 1944 also introduced geometric Brownian motion which still is the accepted model for stock-price
dynamics in applied finance. Mandelbrot in 1963 realized that actual data on price dynamics might be better described by
fat-tailed Lévy distributions than by the log-normal distribution of geometric Brownian motion, although today we would
rather use a truncated Lévy distribution or a power law with exponent outside the Lévy regime for the tail of the distribution.
In the last 15 years many physicists have found applications of Lévy stable distributions in ”classical”physics areas as well as
in socio-economic areas and it is therefore timely to bring together researchers from statistical physics as well as the physics
of socio-economic phenomena for a symposium on the applications of non-Gaussian fluctuations.
Hauptvorträge
SYFT 1.1 Do 09:30 (H1) Fat Tail Statistics and Beyond, Joachim Peinke
SYFT 1.2 Do 10:00 (H1) Use and Abuse of Ito vs. non-Ito Stochastic Calculus, Peter Hänggi
SYFT 1.3 Do 10:30 (H1) Non-Gaussian option pricing, Hagen Kleinert
SYFT 2.1 Do 11:30 (H1) Credit Risk in Banking - Methods, Problems, Implications,
Axel Müller-Groeling, Jan-Hendrik Schmidt
SYFT 2.2 Do 12:00 (H1) Understanding large fluctuations in stock market activity using methods
of statistical physics, H. Eugene Stanley
Fachsitzungen
SYFT 1 Fat-Tail Distributions - Applications from Physics to
Finance
SYFT 2 Fat-Tail Distributions - Applications from Physics to
Finance
SYFT 3 Fat-Tail Distributions - Applications from Physics to
Finance
Do 09:30–11:00 H1 SYFT 1.1–1.3
Do 11:30–13:00 H1 SYFT 2.1–2.4
Mo 16:00–18:00 Poster D SYFT 3.1–3.3