Financial and Actuarial Mathematics: Time Table
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PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
TOMORROW:
30.01.2001 - Mark Owen: White noise calculus I
(In the framework of the seminar on Introduction to Malliavin Calculus)
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SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
01.02.2001 - No seminar, because of
Austrian Workshop on Credit Risk Management
(see http://www.fam.tuwien.ac.at/crm/)
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Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
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PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
30.01.2001 - Mark Owen: White noise calculus I
(In the framework of the seminar on Introduction to Malliavin Calculus)
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SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
01.02.2001 - No seminar, because of
Austrian Workshop on Credit Risk Management
(see http://www.fam.tuwien.ac.at/crm/)
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
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TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
23.01.2001 - Eva Strasser:
Change of Numeraire and the Numeraire Portfolioin Financial Models
Abstract:
In my master thesis, I consider market models consisting of finitely many
assets, which are modeled by continuous semimartingales. A numeraire is
a strictly positive security, e.g. a fixed-interest security or, more
generally, any security modeled by a strictly positive semimartingale.
A tradable numeraire is any strictly positive, continuous semimartingale
attainable in the market.
One of the aims in my master thesis is to analyse the effects of a change
of numeraire on the most important properties of a market model. Another
important topic is the so-called numeraire portfolio, which is a special
case of an inverse local martingale density. A main result of my master
thesis is an existence criterion for the numeraire portfolio. It turns out
that a certain structure condition of the market is necessary and
sufficient for the existence of the numeraire portfolio. This result is
based on the basic existence criterion for local martingale densities by
Schweizer (1994). Moreover, I discuss some properties of the numeraire
portfolio along the line of Becherer (1999).
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SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
25.01.2001 - A.V. Nagaev (Nicolaus Copernicus University of Torun):
On an optimal choice a European option
Abstract:
A discrete time model of financial market is considered. It is assumed
that only two types of securities, risky and non-risky, are circulated.
In the focus of attention is the question how to choose "better" option.
The stated fair play principle aims to protect to some extent the client
interests. The principle allows one to characterize the quality of
option by a functional and, therefore, to state correctly a problem of
optimization. The developed theory is of interest. It is illustrated by
an experiment implemented on the basis of real data.
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Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
23.01.2001 - Eva Strasser:
Change of Numeraire and the Numeraire Portfolioin Financial Models
Abstract:
In my master thesis, I consider market models consisting of finitely many
assets, which are modeled by continuous semimartingales. A numeraire is
a strictly positive security, e.g. a fixed-interest security or, more
generally, any security modeled by a strictly positive semimartingale.
A tradable numeraire is any strictly positive, continuous semimartingale
attainable in the market.
One of the aims in my master thesis is to analyse the effects of a change
of numeraire on the most important properties of a market model. Another
important topic is the so-called numeraire portfolio, which is a special
case of an inverse local martingale density. A main result of my master
thesis is an existence criterion for the numeraire portfolio. It turns out
that a certain structure condition of the market is necessary and
sufficient for the existence of the numeraire portfolio. This result is
based on the basic existence criterion for local martingale densities by
Schweizer (1994). Moreover, I discuss some properties of the numeraire
portfolio along the line of Becherer (1999).
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SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
25.01.2001 - Alexander Nagaev: Title to be announced
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
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Tomorrow, 16.01.2001 - No seminar
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SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
18.01.2001 - Josef Teichmann: The Clark-Hausmann-Ocone formula
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
On Tuesday, 16.1.2001 there will be NO lecture.
The talk by Eva Strasser will be given on Tuesday, 23.1.2001:
Eva Strasser:
"Change of Numeraire and the Numeraire Portfolio in Financial Models".
Abstract:
In my master thesis, I consider market models consisting of finitely many
assets, which are modeled by continuous semimartingales. A numeraire is a
strictly positive security, e.g. a fixed-interest security or, more
generally, any security modeled by a strictly positive semimartingale. A
tradable numeraire is any strictly positive, continuous semimartingale
attainable in the market.
One of the aims in my master thesis is to analyse the effects of a change
of numeraire on the most important properties of a market model. Another
important topic is the so-called numeraire portfolio, which is a special
case of an inverse local martingale density. A main result of my master
thesis is an existence criterion for the numeraire portfolio. It turns out
that a certain structure condition of the market is necessary and
sufficient for the existence of the numeraire portfolio. This result is
based on the basic existence criterion for local martingale densities by
Schweizer (1994). Moreover, I discuss some properties of the numeraire
portfolio along the line of Becherer (1999).
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
16.01.2001 - Eva Strasser: Change of Numeraire in Financial Models
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SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
18.01.2001 - Mark Owen: White noise calculus I
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
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TOMORROW, 09.01.2001, Tuesday, 16:30-18:00:
PV Schachermayer (16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
Josef Teichmann:
HJM-models from the point of view of differential geometry
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THURSDAY, 11.01.2001:
SE Schachermayer (16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
16.30-17.15 - Josef Teichmann: The Clark-Hausmann-Ocone formula
17.15-18.00 - Rainer Hofer: Zu- und Abschläge für Pensionen
bei Variation des Pensionsalters und anderer Parameter
Abstract:
Ziel meiner Diplomarbeit mit gleichlautendem Titel war es, die Zu- und
Abschläge für Pensionen nach versicherungsmathematischen Grundsätzen
(Zugrundelegung des Äquivalenzprinzipes, des Kapitaldeckungsverfahrens und
von konkreten Sterbetafeln) zu quantifizieren und unter Zugrundelegung
verschiedener Modellannahmen (getrennte und gemeinsame Sterblichkeiten für
Männer und Frauen, unterschiedliche Rechnungszinssätze und Variation des
zugrundeliegenden Ablösekapitals) mit den aktuellen gesetzlichen Zu- und
Abschlagssätzen zu vergleichen.
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Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
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SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Introduction to Malliavin Calculus (Organiser - Josef Teichmann)
11.01.2001 - Josef Teichmann: The Clark-Hausmann-Ocone formula
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html