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Yours administratively,
-- Andreas
P.S.:
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ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Financial and Actuarial Mathematics: Time Table
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SE Schachermayer (Thursday 16:30-18:00)
12.07.2001 - Kasper Larsen (Odense University, Denmark)
Title: The American Put Option, some numerical aspects.
Abstract:
There does not exist a closed form solution to the problem of pricing
an American Put. However, this pricing problem can be characterized as
an optimal stopping problem and in turn as a solution to a free boundary
problem. This formulation can be used for numerical experiments. We will
discuss some of the difficulties in applying the methods normally used
for such non-linear problems.
Finally we apply such a numerical procedure on some artificial example.
This will show other problems connected to this pricing issue; e.g. the
behaviour of the approximate solution when we change the grid size.
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
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezueglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Einen schönen Sommer wünschen
Helmut Uhlir Stefan Pichler
Financial and Actuarial Mathematics: Time Table
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PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 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
--------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html