_________________________________________________________________________
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
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Time. 16.30
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Location. Seminarraum 107, 6th floor, green area, TU WIEN - Freihaus
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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 !
------------------------------------
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 !
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 !
------------------------------------------
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 !
------------------------------------------
------------ 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
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
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 !
------------------------------------------
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 !
------------------------------------------