Financial and Actuarial Mathematics: Time Table
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TODAY:
SE Schachermayer (Thursday 16:30-18:00)
31.05.2001 - Ping Li: Minimal Martingale Measures for Discrete-time
Incomplete Financial Markets
Abstract:
In this paper, we first give a characterization of minimal martingale
measures for a general discrete-time incomplete financial market. Then
we concretely work out the minimal martingale measure for a specified
discrete-time market model. Based on this minimal martingale measure,
the price of any contingent claim can be given.
NEXT WEEKS:
PV Schachermayer (Tuesday 16:30-18:00)
12.06.2001 - A. Helmert & M. Willomitzer: Innovative Produktmodelle und
effiziente Methoden zur Produktentwicklung, Analyse und Umsetzung
19.06.2001 - Martin Barlow: A diffusion model for electricity spot prices
Abstract:
Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'. We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
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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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SE Schachermayer (Thursday 16:30-18:00)
31.05.2001 - Ping Li:
Minimal Martingale Measures for Discrete-time Incomplete Financial Markets
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
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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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Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility,
and Applications of Shot Noise Processes
May 22-23, 2001, Vienna University of Technology
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Tuesday, May 22, 2001: Morning Session
Location: HS 13 Ernst Melan (Hauptgebäude, Karlsplatz 13, 3rd floor)
10.45-11.30 Ole E. Barndorff-Nielsen, Aarhus University:
Lévy based chronometers
11.30-12.15 Elisa Nicolato, Vienna University of Technology:
On multivarate extensions of Ornstein-Uhlenbeck type stochastic
volatility models
12.15-14.30 Lunch break
Tuesday, May 22, 2001: Afternoon Session
Location: FH HS 6 (Freihausgebäude, Wiedner Hauptstr. 8, 2nd floor)
14.30-15.15 Sergei Levendorskii, Rostov State University:
Regular Lévy processes of exponential type and Feller processes of
normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen)
15.15-15.45 Coffee/tea
15.45-16.30 Robert Tompkins, Vienna University of Technology:
The sampling properties of a moment matching method
16.30- Discussion
Wednesday, May 23, 2001: Morning Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)
09.30-10.15 Franz Konecny, BOKU (Univ. of Agricultural Sciences), Vienna:
Jump Diffusion Models for Streamflow Series
10.15-10.45 Coffee/tea
10.45-11.30 Sylvia Frühwirth-Schnatter, Leopold Sögner, Vienna University
of Economics and Business Administration:
MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility
model
11.30-12.15 Omiros Papaspiliopoulos, Lancaster University:
Bayesian inference for Non-Gaussian OU SV processes
12.15-14.30 Lunch break
Wednesday, May 23, 2001: Afternoon Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)
14.30-15.15 Neil Shephard, Nuffield College, Oxford:
Realised volatility and SV models: some more results
15.15-15.45 Coffee/tea
15.45-16.30 Claudia Klueppelberg, University of Technology, Munich:
Optimal portfolios when stock prices follow a Lévy process
16.30- Discussion
The workshop is supported by the Austrian Science Foundation (FWF) under
grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and
Management Science').
URL: http://www.fam.tuwien.ac.at/g2g
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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
(Wednesday, 14.30, at TU FH, Turm A, 7. Stock, Seminarraum 105)
16.05.2001 - Florian Lercher: An introductory overview on optimal
portfolio and singular control problems
Please note the unusual time and place!
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
17.05.2001 - Elisa Nicolato: Applications to Interest Rate Models
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Location: TU FH, Turm A, 6. Stock, SR 107
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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This week:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
10.5.2001 - Johanna Gaier: Generalizations
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Next week:
PV Schachermayer
(Wednesday, 14.30, at TU FH, Turm A, 7. Stock, Seminarraum 105)
16.05.2001 - Florian Lercher: An introductory overview on optimal
portfolio and singular control problems
Please note the unusual time and place!
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
17.05.2001 - Elisa Nicolato: Applications to Interest Rate Models
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Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
We cordially invite you to the
Ökonometrisches Forschungsseminar / Econometric Research Seminar
(M. Deistler, A. Jumah, A. Weber)
on Thursday, May 10, 2001, at 9.15 a.m.
Institute for Advanced Studies, SZ VI,
Stumpergasse 56, A-1060 Vienna
held by
Gabriela DE RAAIJ and Burkhard RAUNIG (Österreichische Nationalbank)
"Evaluating Density Forecasts of Stock Market Returns"
Abstract:
The paper deals with the evaluation of density forecasts, which have become
quite popular in economics and finance. We use two probability integral
transformations to evaluate such forecasts. The first transformation
implies that the realizations transformed with respect to the forecasted
densities of a stochastic process should be identically uniformly
distributed if the density forecasts coincide with the densities underlying
the true data generating process. The second transformation generates data
that are identically normally distributed if the correct densities are
forecasted. The second transformation enables us to apply standard
statistical techniques to test for identically normally distributed data
and hence for the quality of density forecasts.
We use the methodology to evaluate density forecasts for daily returns of
three stock market indices (S&P 500, DAX and ATX). Various models to
forecast conditional densities are investigated. We consider the
conditional normal distribution where the variances are estimated by moving
averages or exponentially weighted moving averages, scaled t distributions
and GARCH(1,1) variants with normally and t-distributed errors,
respectively. In- and out-of-sample results for the density forecasting
models are examined. Using the proposed methodology we find that GARCH
models with t-distributed errors perform best in sample as well as out of
sample. We are also able to demonstrate that certain misspecifications of a
forecasting model are quite naturally reflected in the transformed series
used for density forecast evaluation.
Key words: Density forecasting, Forecast evaluation, Risk management
JEL Classification: G10, C52, C53
With best regards,
Nina Gritzky
****************************************************************************
Mag. Nina Gritzky
IHS - Institut für Höhere Studien / Institute for Advanced Studies
Stumpergasse 56
A-1060 Wien (Vienna), Austria
Tel: +43/1/59 991-145
Fax: +43/1/59 991-163
e-mail: gritzky(a)ihs.ac.at
WWW: http://www.ihs.ac.at
Financial and Actuarial Mathematics: Time Table
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Tomorrow:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
3.5.2001 - Johanna Gaier: Application to American Derivatives
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Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html