---------- Forwarded message ----------
Date: Tue, 26 Feb 2002 16:01:06 +0100 (CET)
From: Bedlewo Workshop <Nato.Workshop(a)impan.gov.pl>
STOCHASTIC CONTROL AND ITS APPLICATIONS (2nd announcement)
Mathematical Research and Conference Center in Bedlewo, June 3-8, 2002
The organizers: L. Stettner and J. Zabczyk
The following invited speakers have already confirmed their participation:
N.V. Ahmed, A. Bagchi, A. Budhiraja, T. Bielecki, V.S. Borkar,
E. Cadenillas, B. Goldys, K. Helmes, O. Hernandez-Lerma, Y. Kabanov,
J.B.Lasserre, B. Maslowski, H. Nagai, B. Pasik-Duncan, St. Pliska,
U. Rieder, W. Runggaldier, M. Schal, A.Swiech, N. Touzi, G. Yin,
J. Yong, X.Y. Zhou, Q. Zhang.
As we have declared in the first announcement the conference will be
devoted to various aspects of stochastic control and stochastic analysis.
In the last two days of the workshop we shall concentrate on applications
in mathematics of finance. The Workshop will start on Monday, June 3rd at
9 a.m. and will close on Saturday June 8th in the afternoon. The
accomodation will be available starting from June 2nd till Sunday June
9th. The conference will take place in the Mathematical Conference Center
in Bedlewo, a small village located approximately 30 km to the south of
Poznan in a nice forest area. You can come to Poznan by train (from
Warsaw or Berlin it takes 3 hours), or by plane (there is an airport in
Poznan). To reach Mathematical Conference Center from Poznan take a local
train to Mosina (Wroclaw direction) and then a taxi to Bedlewo. If you
send us the details about your arrival we shall try to pick you up from
the airport or Poznan railway station. We also plan to locate one of our
students with a poster of the conference on Sunday (June 2nd) in the
afternoon in the Poznan railway station, who may help you to reach
Bedlewo.
We shall need the title and an abstract of your talk by May 10, 2002.
E-mail contact : finance(a)impan.gov.pl.
Sponsors of the workshop:
European Commission Directorate General Research (the project "Institute
of Mathematics - the Stefan Banach Center as a Center of Excellence")
Institute of Mathematics Polish Academy of Sciences
Committee of Mathematics Polish Academy of Sciences
In the name of organizers
Michal Baran.
Im Rahmen des Berufungsverfahren fuer eine
Professur aus Versicherungsmathematik
and der TU Wien finden folgende Vortraege statt:
===================================================================
Freitag, 1. Maerz 2002, 13:15,
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Jeffrey Collamore (ETH-Zuerich)
Extremal Behavior of Multidimensional Risk Processes
In the classical ruin problem of collective risk theory,
an insurance company gains capital from premiums income and loses
capital as a result of claims; one then studies the probability that
the company's total capital ever falls below zero, i.e.,
P{S(t) < -m, for some t}, where S(t) is a positive-drift Levy process
and m is the company's initial capital.
In this talk I will discuss various generalizations of this
problem to higher dimensional settings. The first of these can be
described as follows: Let S(1),S(2),... be a sequence of random
vectors, corresponding e.g. to several capital factors, and consider
the probability that this sequence ever reaches some "forbidden
region" in d-dimensional Euclidean space. It will be shown that,
under quite general assumptions,
(*) (1/m) log P{S(n) ever hits mA} ~ -I(A)
for an appropriate "rate function" I(A). Some refinements,
describing e.g. the asymptotic distribution of the first passage
time, will also be given.
A second generalization which will be discussed is the case where
the increments of S(1),S(2),... are governed by a system of random
recurrence equations. Such recurrence equations are of considerable
applied interest and arise, among other places, in the study of GARCH
financial time series models and insurance models with stochastic
returns on the surplus capital. It will be shown that an asymptotic
estimate very similar to (*) can also be developed in this setting.
===================================================================
Freitag, 1. Maerz 2002, 15:30
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Nicole Baeuerle (Universitaet Ulm)
Stochastische Steuerung in der Versicherungsmathematik
Das Problem der Bestimmung optimaler Dividendenaus-
schüttungs- und Rückversicherungsstrategien, das in Teilen
schon auf de Finetti (1957) zurückgeht, wurde in letzter
Zeit wieder intensiv untersucht. Da die ursprüngliche
Formulierung auf die optimale Steuerung eines stückweise
deterministischen Markov Prozesses führt - was sehr
schwierig ist - standen in letzter Zeit Diffusionsmodelle
im Vordergrund. In dem Vortrag wird auf beide
Formulierungen eingegangen und ein Zusammenhang
zwischen den Optimierungsproblemen hergestellt.
===================================================================
***** Date limite d inscription / Registration deadline ****
***** March 15, 2001 - 15 Mars 2001 *********
FRONTIERES EN FINANCE
http://www.frontiers-in-finance.com/
a le plaisir de vous annoncer le prochain
PETIT DEJEUNER DE LA FINANCE
Mercredi 20 Mars 2002, de 8h a 9h30
avec une presentation de:
Michael STUTZER ( University of Iowa ).
Performance and Risk Aversion of Funds with Benchmarks:
A Large Deviations Approach.
Lieu/ Venue:
Maison des Polytechniciens, 12 rue de Poitiers 75007 Paris.
Abstract:
Mutual fund performance is often measured relative to a
designated benchmark portfolio. I develop a simple method of
ranking portfolios' probabilities of outperforming a benchmark
portfolio. Ranking fund performance in this way is identical
to ranking each fund's portfolio by a generalized power
utility index, using a fund and benchmark-specific degree of
risk aversion parameter implied by the fund's portfolio
choice. Different generalizations of Sharpe's (1994) selection
ratio result when the difference between funds' log returns
and those of the benchmark are from different Gaussian
processes. Feasible nonparametric and parametric estimators of
a fund's performance index value and its manager's implied
degree of risk aversion are proposed. These estimators are
applied to rank mutual funds that (from the results of an
hypothesis test) could outperform the $S\&P$ 500 index in the
long run, and to estimate the implied degrees of risk aversion
of their managers. We show that our procedure produces more
plausible and precise estimates of managerial risk aversion
than other recent estimates.
-------------------------------------------------------------
The Petit Dejeuner de la Finance is a monthly seminar
organized in Paris by Frontiers in Finance, a non profit
association aimed at the diffusion of quantitative methods in
risk management.
* MODALITES DE PARTICIPATION / REGISTRATION:
Les Petits Dejeuners de la Finance, organises par l'association
FRONTIERES EN FINANCE a travers un partenariat entre des
chercheurs et des professionels du milieu bancaire et
financiers constituent une occasion d'echanges entre les
praticiens des marches et les chercheurs universitaires, en
apportant aux premiers les resultats des travaux de
modelisation quantitative et aux seconds la confrontation aux
problematiques concretes des professionels.
La participation au Petit dejeuner est gratuite et ouverte aux
chercheurs, etudiants de 3eme cycle et professionels du monde
financier et bancaire.
La participation au Petit dejeuner est ouverte uniquement SUR
INSCRIPTION PREALABLE et dans la mesure des places
disponibles. Une priorite est accordee aux organismes
partenaires de Frontieres en Finance. Les modalites de
partenariat sont disponibles sur demande aux organisateurs.
Le nombre de places est limite a 40 et une inscription est
obligatoire. Pour vous inscrire, envoyer la fiche d'inscription
http://www.fiquam.polytechnique.fr/finance/inscription.html
par telecopie au
01 41 16 71 71.
ou par e-mail a : petitdej(a)hotmail.com
en indiquant votre nom, prenom et vos coordonnees precises
(adresse,
telephone, fax, e-mail ) ainsi que votre affiliation
professionnelle avant
le 15 Mars 2002 au plus tard.
Sous reserve de disponibilite des places, nous vous
confirmerons votre inscription par courrier electronique 48h
avant le petit déjeuner.
Your participation will be confirmed 48h before the event by
email.
Des renseignements sont disponibles sur notre site Web:
http://www.frontiers-in-finance.com/
------------------------------------------------------
Frontières en Finance
http://www.frontiers-in-finance.com/
E-mail: info(a)frontiers-in-finance.com
"Accédez au courrier électronique de La Poste : www.laposte.net ; 3615 LAPOSTENET (0,13 /mn) ; tél : 08 92 68 13 50 (0,34/mn)"
---------- Forwarded message ----------
Date: Wed, 20 Feb 2002 14:38:02 +0100
From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at>
Dear Sir or Madam,
Dear NOEG Member,
We cordially invite you to the
PUBLIC LECTURE AT IHS
on Thursday, February 28, 2002
at 4.30 p.m.
Institute for Advanced Studies, Hörsaal II
Stumpergasse 56, A-1060 Wien.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Roger GUESNERIE
(DELTA - Ecole normale supérieure)
"Expectational Stability in Finance Models: The Case of Price-revealing
Equilibria."
ABSTRACT We consider a simple competitive model à la Grossman, in which
prices may transmit the information held by the informed agents to the
uninformed ones. We analyse expectational coordination on the price
revealing equilibrium from an 'sductive' or 'cognitive' viewpoint. We
stress factors favouring expectational coordination. In particular,
expectational coordination is destabilized whenever uninformed agents
extract (at equilibrium) too much information.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Best Regards
Beatrix Pawelczak
Tu, 19.02.2002
--------------
Josef Teichmann, TBA
Th, 21.02.2002
--------------
Our seminar on "Optima and Equilibria" continues. This time we will
discuss Abraham Wald's contributions to equilibrium theory.
For further details 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
---------- Forwarded message ----------
Date: Tue, 12 Feb 2002 13:12:25 -0500
From: Vladimir Dobric <vd00(a)lehigh.edu>
Subject: Everett Pitcher postdoctoral position
The Department of Mathematics at Lehigh University is pleased to announce
the establishment of the Everett Pitcher Postdoctoral position in
mathematics. This is a two-year, non-tenure track position and carries a
three course per year teaching load, including at least one course in the
applicant's specialty. The Department is particularly interested in
applicants in financial mathematics, but welcomes applicants in any fields
which complement our existing strengths. To find more about the position
please visit http://www.lehigh.edu/~math/Everett_Pitcher_Postdoc.html or
send an e-mail to Prof. Vladimir Dobric at vd00(a)lehigh.edu.
Vladimir Dobric
---------- Forwarded message ----------
Date: Tue, 12 Feb 2002 10:07:33 +0100
From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at>
Subject: Econometric Research Seminar at IHS
Dear Sir or Madam,
We cordially invite you to the next
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Ökonometrisches Forschungsseminar /
Econometric Research Seminar
(M.Deistler, A. Weber)
on Thursday, February 14, 2002, at 9:15 a.m.
Institute for Advanced Studies, HS II
Stumpergasse 56, A-1060 Vienna
Engelbert J. DOCKNER (University of Vienna)
"Nonlinear Versus Non-Gaussian Volatility Models."
Abstract:
With the introduction of GARCH models empirical research in finance
started to focus on the issue of nonlinear and non-Gaussian models for
conditional variances. In this paper we present a recurrent mixture
density network and estimate conditional variances. Using stock market
returns it turns out that while nonlinear modelling does not seem to be
important, non-Gaussian conditional distributions are necessary to capture
time varying higher moments and fat tails.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Sincerely,
Beatrix Pawelczak
Tu, 12.02.2002
--------------
Uli Haböck, arbitrage-free asset pricing with proportional transaction
costs, a paper of zhang, xu and deng.
Th, 14.02.2002
--------------
Our seminar on "Optima and Equilibria" continues. This time we will
proceed with our discussion on Gerard Debreu's "Theory and Value".
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
2nd CONFERENCE IN ACTUARIAL SCIENCE AND FINANCE IN SAMOS SEPTEMBER 20-22,
2002, GREECE
The Department of Statistics & Actuarial Science of the University of the
Aegean is pleased to host the 2nd Conference in Actuarial Science and
Finance, to be held in Samos, on September 20-22, 2002.
This event is jointly organized with the Katholieke Universiteit Leuven
(Department of Applied Economics and Department of Mathematics) and the
Université catholique de Louvain (Institute of Statistics and Actuarial
research group), Belgium.
The Conference allows the presentation of the latest works in the area of
actuarial science and finance. It is open to all persons interested in
actuarial science and finance, be they from universities, insurance
companies, banks, consulting firms or regulatory authorities. The
conference aims to facilitate the contact and the communication between the
practicians and the researchers; a special session will be devoted to
different aspects of actuarial practice.
The main topics include
· Life, pension and health insurance
· Collective Risk Models, Dynamic Solvency Testing
· Claims Distributions and Statistics
· Nonlife insurance
· Extreme Value Theory and Applications
· Financial Risk Management
A number of sessions will explore the different aspects of these areas.
There will be 3 pre-conference short courses from September 16-19, 2002:
· Extreme values with applications in insurance and finance, by Professor
J. Teugels
· Modelling dependence in actuarial science and finance, by Professor J. Dhaene
· Building projected lifetables and managing the longevity risk, by
Professor M. Denuit
Postgraduate students and young researchers are specially welcome.
For further information, please refer to
http://www.stat.ucl.ac.be/Samos2002/
Oana PURCARU
Institut de Statistique
Université Catholique de Louvain
Voie du Roman Pays, 20
B-1348, Louvain-la-Neuve
BELGIQUE
e-mail : purcaru(a)stat.ucl.ac.be
tel: + 32 10/ 47 30 52
fax : + 32 10/ 47 30 32