FAM-news July 2001

fam-news@fam.tuwien.ac.at

2 participants
5 discussions

FAM-news and the Vienna Finance Newsletter VFN-L
by Andreas Schamanek * FAM-ily administrator 10 Jul '01

10 Jul '01

Dear FAM-news subscriber, There are currently two mailing lists for announcements in the fields of finance and financial mathematics: 1) our Financial and Actuarial Mathematics Newsletter (FAM-news) and The FAM-ily Newsletter provides news and announcements of, from, about, and for the Department of Financial and Actuarial Mathematics of Vienna University of Technology. 2) the Vienna Finance Newsletter (VFN-L) The Vienna Finance Newsletter is a mailing list for announcements of lectures, conferences (and more) about finance and economics. It's likely that one announcement is interesting for both lists. If you are or if you were subscribed to both of them you would receive the same message twice if it were sent to both lists. That's why the owner and the administrator of FAM-news decided that messages sent to the much bigger list VFN-L are not forwarded and are not cross-posted to FAM-news. We suggest that you subscribe at least to VFN-L (see below for details). If you are subscribed to FAM-news (you probably *are* if you are reading this) then you will sure benefit from a subscription to VFN-L. Since the VFN-L is moderated (BTW, by me) it's a low volume/high quality list worth being subscribed to. This decision was originally posted to FAM-news in April 2000. A copy of the original message can be found at http://www.fam.tuwien.ac.at/pipermail/fam-news/2000-April/000036.html Yours administratively, -- Andreas P.S.: How to subscribe to the Vienna Finance Newsletter (VFN-L): ---------------------------------------------------------- You can easily subscribe yourself at the WWW at address http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l An alternative way is to write the word 'subscribe' (e.g. in the subject) to the eMail-address vfn-l-request(a)fam.tuwien.ac.at If you have any questions do not hesitate to contact me at vfn-l-admin(a)fam.tuwien.ac.at To check out the VFN-L archive (of previous postings) go to http://www.fam.tuwien.ac.at/pipermail/vfn-l/ --------------------------------------------------------------------- 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

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FAM Seminar: THURSDAY
by Victor Olevskii 10 Jul '01

10 Jul '01

Financial and Actuarial Mathematics: Time Table -------------------------------------------------------------------------- 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 -------------------------------------------------------------------------- Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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15. Workshop der AWG on Banking and Finance
by Victor Olevskii 10 Jul '01

10 Jul '01

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

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FAM Seminar: Tomorrow
by Victor Olevskii 09 Jul '01

09 Jul '01

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

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FAM Seminar Time Table: Next Week
by Victor Olevskii 05 Jul '01

05 Jul '01

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FAM-news July 2001