FAM-news November 2001

fam-news@fam.tuwien.ac.at

2 participants
11 discussions

Financial and Insurance Mathematics at ETH Zurich (fwd)
by Christopher Summer 29 Nov '01

29 Nov '01

---------- Forwarded message ---------- Date: Wed, 28 Nov 2001 13:08:41 +0100 From: Uwe Schmock <schmock(a)math.ethz.ch> Talks: ------ (Please see http://www.math.ethz.ch/finance/talks.html for links) (a) Thursday, November 29, 2001, 15.15 h (ETHZ, HG E42) Dr. Thorsten Rheinländer (Department of Mathematics, ETH Zürich) "A martingale duality approach to stochastic volatility models" Abstract: We discuss the valuation of derivatives in a general stochastic volatility context. The fact that the volatility typically is unbounded already rules out several well known approaches to valuation in incomplete markets. It turns out that it is still possible to follow a minimal entropy approach. We determine explicitly the resulting pricing measure for some classical stochastic volatility models and provide general verification results. (Seminar on Financial and Insurance Mathematics) (b) Wednesday, December 5, 2001, 20.00 h (Restaurant Au Premier, Zürich Main Station) Jean-Luc Vuarnoz (Swiss Life) "Underwriting und Antiselektion in der Personenversicherung" Abstract: Anhand zahlreicher Beispiele aus der Praxis wird die Antiselektion illustriert. Die Zusammenhänge zwischen Antiselektion und Produktdesign einerseits und Risikoprüfung andererseits werden verdeutlicht. Kommende Herausforderungen im Gebiet Risikoprüfung, z.B. Internet-Verkauf und Gentests, werden kurz diskutiert. (Colloquium of Actuaries) (c) Thursday, December 6, 2001, 17.15 h (ETHZ, G 26.5) Prof. Christophe Stricker (Université de Franche-Comté, Besançon) "The fundamental theorem of asset pricing under proportional transaction costs" Abstract: We consider a multi-asset discrete-time model of a financial market with proportional transaction costs and efficient friction and prove necessary and sufficient conditions for the absence of arbitrage. Our main result is an extension of the Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial endowments which allow to super-replicate a given contingent claim. (Seminar on Financial and Insurance Mathematics) Two talks in the Seminar for Stochastic Processes: -------------------------------------------------- (see http://www.math.ethz.ch/finance/SSP.html for abstracts & links) (a) Wednesday, Dec. 5, 16:15 - 17:00 (ETHZ, HG D 1.2) Gesine Reinert (Oxford) "Stein's method for the bootstrap" (b) Wednesday, Dec. 5, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43) Michel Emery (Université de Strasbourg) "On normal martingales and their chaotic representation" RiskLab Papers and Reports: --------------------------- (a) Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich) and Pierre Patie (RiskLab) "Risk Management for Derivatives in Illiquid Markets: A Simulation Study" (http://www.risklab.ch/Papers.html#IlliquidMarkets) (b) Dr. Maria Kafetzaki Boulamatsis and Dr. Dirk Tasche (RiskLab) "Combined Market and Credit Risk Stress Testing based on the Merton Model" (http://www.risklab.ch/Papers.html#CMCRST) (c) Enrico De Giorgi (RiskLab) "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios" (http://www.risklab.ch/Papers.html#RMSRMMLP) With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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Stoch. Proc. Appl. Conference in 2002 (fwd)
by Christopher Summer 29 Nov '01

29 Nov '01

---------- Forwarded message ---------- Dear Colleague, Please circulate the following announcement (we are sorry for possible multiple posting!) Also, attached is a conference poster. We would be very grateful if you could display it in your institution! CALL FOR PAPERS: 28th Conference on Stochastic Processes and their Applications 1-5 July 2002 Melbourne, Australia The conference will provide an international forum for the presentation and discussion of new results in the area of the theory and applications of stochastic processes. *PROGRAMME: The themes of the conference include: stochastic analysis, discrete random processes and randomised algorithms, topics in limit theorems, Markov chain Monte Carlo, Markov processes, random processes in random environments, point processes, as well as application areas such as: stochastic processes in finance and insurance, stochastic processes in physics, applications to telecommunications, time series, modelling in biology and medicine. The Scientific Advisory Committee of the conference comprises S. Asmussen, P.J. Brockwell, L.H.Y. Chen, F. Den Hollander, C.C. Heyde, G.R. Grimmett, I.A. Ibragimov and O. Zeitouni. The program consists of fifty-minute lectures delivered by invited speakers and twenty-minute contributed talks by participants on various topics related to stochastic processes and their applications. The list of confirmed invited speakers to date includes: I. S. Borisov (Novosibirsk), P. Del Moral (Toulouse), P. Embrechts (Zurich), O. Haggstrom (Goteborg), K. Johansson (Stockholm), Zhi-Ming Ma (Beijing), M. Neuts (Tuscon), T. Ozaki (Tokyo), P. Protter (Cornell) and D. Siegmund (Stanford). The conference language is English. The registration form, abstract template and accommodation details can be downloaded from the Conference website at http://www.spa28.ms.unimelb.edu.au/ Please complete the form and return with payment or credit card details by mail or fax to the conference address (see below). *ABSTRACTS: Those wishing to present a paper at the conference should submit an abstract using our LaTeX template. This template can be downloaded from the conference website. Please ensure that the printed output of your abstract fits into one page. Please e-mail your LaTeX source file to spa(a)ms.unimelb.edu.au and if ready, also send a printed copy of your abstract with your registration form. The DEADLINE for submission of abstracts is 3 May 2002. *LOCATION: Melbourne is a city of over 3 million people and has been judged to be one of the most liveable cities in the world. The conference will be held at the University of Melbourne (www.unimelb.edu.au) which is in the cosmopolitan Carlton, close to the centre of the city. Some links to sites with Melbourne tourist information can be found in the Local Information section of the conference website. *COSTS: The registration fee is AU$400 for academics (AU$ 450 after 3 May 2002), and AU$200 for students (AU$1=US$0.5 approx. in November 2001). Budget accommodation (details are on the website) is available at AU$55 per night. Hotel accommodation is available in the range from AU$110 to AU$170. Please note that in 2001 it was possible to buy return airtickets from Europe and/or North America to Melbourne for about US$1,000. Further information will be provided on request. * TOURS: Apart from its scientific merits, participating in the conference is an excellent opportunity to visit Australia, one of the most beautiful and interesting countries in the world. Several excursions are being organized for the conference participants. Also feel free to make your own arrangements to visit the Great Barrier Reef and other fantastic places in Australia during your visit. Looking froward to hearing from you, Tim Brown, Chairman, Organizing Committee, Kostya Borovkov, Sci. Secretary Postal address: SPA28: Bronwen Hewitt, Conference Management, Old Physics Building, The University of Melbourne, VIC 3010, Australia Fax: (+61-3) 8344 6122, tph: (+61-3) 8344 6389 E-mail: bhewitt(a)unimelb.edu.au URL: http://www.spa28.ms.unimelb.edu.au

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UPDATE, this week's seminars CHANGED
by Christopher Summer 27 Nov '01

27 Nov '01

This THURSDAY we will NOT have our usual seminar on "Optima and Equilibria". Instead we will have a talk by Sasha Gorbulsky, find the details below. Tu, 27.11.2001 -------------- Josef Teichmann, Filtering Problems from the geometric point of view Th, 29.11.2001 -------------- Sasha Gorbulsky, Some entropy type invariants of decreasig sequences of measurable partitions For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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reminder, this week's seminars
by Christopher Summer 26 Nov '01

26 Nov '01

Tu, 27.11.2001 -------------- Josef Teichmann, Filtering Problems from the geometric point of view Th, 22.11.2001 -------------- Uli Haboeck, Subdifferentials of Convex Functions, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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magdeburger stochastik-tage 2002 (fwd)
by Christopher Summer 21 Nov '01

21 Nov '01

---------- Forwarded message ---------- Date: Wed, 21 Nov 2001 09:42:53 +0100 From: Peter Imkeller <imkeller(a)mathematik.hu-berlin.de> Subject: magdeburger stochastik-tage 2002 Dear colleagues, as you might have heard, the Fachgruppe Stochastik organizes its 5th bi-annual meeting "Stochastik-Tage" from Warch 19 to 22, 2002, in Magdeburg. I am co-organizer of the section on "Stochastic Analysis", for which Wendelin Werner (Paris) will be a main speaker. The last meeting in Hamburg has been quite a success, and I think the organizers in Magdeburg will do their best to follow in Hamburg's footsteps. Usually, the "Stochastik-Tage" give a forum especially to younger probabilists, in particular PhD students and postdocs to present their work and get to know the non-local stochastics community. I would like to ask you to spread this message among your students and co-workers, ask them to come to Magdeburg, and not to hesitate to announce a talk. There is still ample space in the section on stochastic analysis, and I would be happy to welcome as many of you and your students as possible. Of course, there is also another reason to wish that a big number of you be present: elections for the Vorstand der Fachgruppe will be held in Magdeburg. And it would be good to be well represented in this directing committee! For more information on the meeting, please consult the web site http://www.math.uni-magdeburg.de/stoch2002/f_second_en.html where you will also see that the deadline for applications is end of January. Looking forward to seeing you in Magdeburg Peter Imkeller. Prof. Dr. Peter Imkeller Institut fuer Mathematik Humboldt-Universitaet zu Berlin Unter den Linden 6 10099 Berlin Germany email: imkeller(a)mathematik.hu-berlin.de URL: http://wws.mathematik.hu-berlin.de/~imkeller phone: ++49-30-2093 5850 fax: ++49-30-2093 5848

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Open Problems, revisited
by Christopher Summer 20 Nov '01

20 Nov '01

Dear FAM-ily! In an effort to reorganize our open problem list Josef suggested the following: Everybody should send me (Christopher) a short report (LaTeX) describing the area and problems she/he is currently working on. Out of these information we will compile a new, up to date open problem list to show what everyone is currently working on. This list should be useful for each of us (future cooperations, how to describe the work at our institute, ...). Josef & Christopher

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reminder, this week's seminars
by Christopher Summer 19 Nov '01

19 Nov '01

Tu, 20.11.2001 -------------- Johanna Gaier, Asymptotic Ruin Probability and Optimal Investment for an Insurance Company with Small Claims Th, 22.11.2001 -------------- Eva Strasser, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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MathFinance Workshop, April 2002
by Christopher Summer 15 Nov '01

15 Nov '01

---------- Forwarded message ---------- Date: Thu, 15 Nov 2001 09:51:26 +0100 (MET) From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> To: Christopher Summer <csummer(a)fam.tuwien.ac.at> Desweiteren moechte ich auf den Frankfurt MathFinance Workshop, 3.-6. April 2002 hinweisen. Deine Kollegen und Du seid herzlich eingeladen, Eure aktuellen Forschungsergebnisse vorzutragen. Bei Interesse sollten wir Personen, Themen und Termine abstimmen. Viele Gruesse aus Frankfurt, uwe Dr. Uwe Wystup Global FX Options Quantitative Research Commerzbank Treasury and Financial Products Postal Address: ZTD 2.35 60261 Frankfurt am Main Germany Visiting address: Commerzbank Trading Center Mainzer Landstrasse 153 Frankfurt am Main Phone +49 - 69 - 136 - 41067 Fax +49 - 69 - 136 - 40557 Mobile +49 - 177 - 7963182 <mailto:uwe.wystup@commerzbank.com> mailto:uwe.wystup@commerzbank.com Frankfurt MathFinance Institute (Goethe-University) <http://www.institute.mathfinance.org/> http://www.institute.mathfinance.de/ Editor The MathFinance Newlsetter <http://www.mathfinancenews.com/> http://www.mathfinancenews.com/ <http://www.mathfinance.de/> http://www.mathfinance.de/ <mailto:uwe@mathfinance.de> mailto:uwe@mathfinance.de

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reminder, this week's seminars
by Christopher Summer 12 Nov '01

12 Nov '01

Tu, 13.11.2001 -------------- Walter Schachermayer, The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time Th, 15.11.2001 -------------- Eva Strasser, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Wissenswertes 12.11.: Langer (fwd)
by Christopher Summer 06 Nov '01

06 Nov '01

---------- Forwarded message ---------- Date: Tue, 6 Nov 2001 14:37:13 +0100 (CET) From: reinhard.winkler(a)oeaw.ac.at To: Abonnenten von `Wissenswertes': ; Subject: Wissenswertes 12.11.: Langer Wissenswertes aus der Mathematik Am Montag, 12.11.2001 um 16.00 Uhr (s.t.) traegt Heinz Langer (TU Wien) unter dem Titel Spektraleigenschaften von Blockoperatormatrizen vor. Ort: Seminarraum 118 (TU Wien, Freihaus, Turm A, gruener Bereich, 5.Stock, fensterlos) Martin.Goldstern(a)tuwien.ac.at, Reinhard.Winkler(a)oeaw.ac.at http://www.tuwien.ac.at/goldstern/wissen.html P.S.: Ab heute schicken wir diese Ankündigungen mit unsichtbarer Adressenliste im mail-Header. Siehe auch http://www.tuwien.ac.at/goldstern/wissenswertes/adressen.html

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FAM-news November 2001