FAM-news May 2000

fam-news@fam.tuwien.ac.at

3 participants
10 discussions

FAM Seminar Timetable: next weeks
by Andreas Schamanek 31 May '00

31 May '00

Financial and Actuarial Mathematics: Time Table ----------------------------------------------- http://www.fam.tuwien.ac.at/schedule/ PV Schachermayer (Time: Tuesday 16:30-18:00, Location: TU FH, Turm B, 2. Stock, HS 8) +------------+---------------+-------------------------------------------+ | 06.06.2000 | Lisa Korf | Some Fundamental Theorems in | | | | Mathematical Finance: A Stochastic | | | | Programming Duality Approach [2] | +------------+---------------+-------------------------------------------+ | 13.06.2000 | Irene Klein | Hedging under transaction costs in | | | | currency markets: a continuous-time | | | | model (Kabanov, Last) | +------------+---------------+-------------------------------------------+ | 20.06.2000 | Ching-Tang Wu | Muentz linear transform of Brownian | | | | motions | +------------+---------------+-------------------------------------------+ SE Schachermayer (Time: Thursday 16:30-18:00, Location: TU FH, Turm A, 6.Stock, Seminarraum 107) +------------+-------------+---------------------------------------------+ | 15.06.2000 | Larbi Alili | Further results on some singular linear SDE | +------------+-------------+---------------------------------------------+ -------------------------------------------------------------------------- Last Modification: Wednesday, 31-May-2000 11:37:01 MEST by (jg) [3] ---------- Site notes: [1] http://www.fam.tuwien.ac.at/ [2] http://www.fam.tuwien.ac.at/pipermail/fam-news/2000-May/000012.html [3] mailto:gaier@fam.tuwien.ac.at

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FAM-Seminar: Tuesday, 6.6.2000
by Johanna Gaier 31 May '00

31 May '00

_________________________________________________________________________ SOME FUNDAMENTAL THEOREMS IN MATHEMATICAL FINANCE: A STOCHASTIC PROGRAMMING DUALITY PERSPECTIVE _________________________________________________________________________ Lisa A. Korf Department of Mathematics University of Washington, Seattle Date. Tuesday, 6th of June 2000 ------------------------- Time. 16.30 ----- Location. Seminarraum 107, 6th floor, green area, TU WIEN - Freihaus -------------------------- ------- Abstract. Stochastic programming concerns the theory of making optimal decisions under uncertainty, in which a probability distribution has been assigned to the uncertain parameters of a problem. These are generally optimization problems in infinite-dimensional spaces. Much of the theory revolves around how to approximate such problems in finite dimensions so that they might be solved in a practical mathematical programming setting. In addition, a nice duality theory has been developed in the infinite- dimensional setting. It was only natural that financial applications took their place as one of the primary application areas in this field. Mathematical programming provides a flexible framework in which to model all kinds of stochastic price processes, as well as the unavoidable complications of constraints, costs, etc. which arise in practice. While much attention has been focused on the practical aspects of solving these problems, little attention has been paid to deriving some of the rich (finite and infinite-dimensional) theory of mathematical finance in a stochastic programming duality setting, where extensions to problems with transaction costs, etc. would be considered very natural. This lecture introduces stochastic programming duality, and delves into some of the fascinating issues involved in trying to derive the ``fundamental theorems of asset pricing'' (equating no arbitrage conditions with the existence of an equivalent martingale measure for the underlying asset price process) in a stochastic programming framework. __________________________________________________________________________ Further information about the schedule of seminars at the Department of Financial and Actuarial Mathematics is available at http://www.fam.tuwien.ac.at/schedule ! ------------------------------------

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FAM Seminar Timetable: next weeks
by Victor Olevskii 26 May '00

26 May '00

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Corrigendum - Thursday, 25.5.2000
by Johanna Gaier 21 May '00

21 May '00

IMPORTANT! ========== Dimitri Kramkov will NOT be able to give the previously announced talk on Thursday, the 25th of May. Instead, Ching-Tang Wu will speak about CORPORATIONS ------------ (M. Magill & M. Quinzii, 'Theory of Incomplete Markets') at 16.30 in the Seminarraum 107, 6th floor, green area (TU Wien, Freihaus). Further informations can be found at http://www.wiener.fam.tuwien.ac.at/~gaier/seminar !

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Announcement - Thursday, 25.5.2000
by Johanna Gaier 16 May '00

16 May '00

On Thursday, the 25th of May, at 16.30 Dimitri Kramkov (Tokyo Mitsubishi International, London) will speak about HEDGING UNDER TRANSACTION COSTS ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

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Reminder - Thursday, 18.5.2000
by Johanna Gaier 16 May '00

16 May '00

This Thursday, the 18th of May, at 16.30 Johanna Gaier will speak about PARTNERSHIPS (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

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Piotr Biler: Conservation laws with Levy diffusion (ESI seminar)
by Andreas Schamanek 15 May '00

15 May '00

------------ Forwarded message ------------- Date: Thu, 11 May 2000 15:50:42 +0200 From: Sekretariat <secr(a)esi.ac.at> To: seminars(a)doppler.thp.univie.ac.at (...) [as part of the ESI seminar: (as)] Title: Conservation laws with L\'evy diffusion Speaker: Piotr Biler Politechnika Wroclawska, Poland Date: 2000-05-18 Time: 15:00 Location: ESI lecture hall

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Ulrich Orbanz, Tuesday, May 16, 16:30
by Andreas Schamanek 09 May '00

09 May '00

Aktuarvereinigung Oesterreichs * Oesterreichische Gesellschaft fuer Versicherungsfachwissen * Abteilung fuer Finanz- und Versicherungs- mathematik der Technischen Universitaet Wien E i n l a d u n g zur Vortragsreihe aus Finanz- und Versicherungsmathematik Privat-Dozent Ulrich Orbanz Die Deutsche Aktuar-Akademie ---------------------------- Eine Antwort auf die internationale Entwicklung der Aktuarausbildung Tuesday, May 16, 2000, 16:30 'Hoersaal HS 6', Freihaus, 2. OG (2nd floor), Turm C - gruener Bereich (green area) For further information: See Sandras list VORTRAGSREIHE aus Finanz- und Versicherungsmathematik http://www.fam.tuwien.ac.at/~sandra/vr/ Yours fam-newsingly, -- Andreas

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Reminder - Thursday, 11.5.2000
by Johanna Gaier 08 May '00

08 May '00

This Thursday, the 11th of May, at 16.30 Friedrich Hubalek will speak about PRODUCTION IN A FINANCE ECONOMY =============================== MOTIVATION AND SUMMARY, CHARACTERISTICS OF PRODUCTION ECONOMY, SOLE PROPRIETORSHIPS (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

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Reminder - Thursday, 4.5.2000
by Johanna Gaier 02 May '00

02 May '00

This Thursday, the 4th of May, at 16.30 Christopher Summer will speak about INFORMATIONAL EFFICIENCY OF SECURITY PRICES =========================================== CONDITIONAL EXPECTATION AND MARTINGALE, EFFICIENT MARKETS UNDER RISK NEUTRALITY, EFFICIENT MARKETS WITH RISK AVERSION (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

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FAM-news May 2000