FAM-news February 2002

fam-news@fam.tuwien.ac.at

1 participants
12 discussions

STOCHASTIC CONTROL AND ITS APPLICATIONS
by Christopher Summer 27 Feb '02

27 Feb '02

---------- 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.

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berufungsvortraege
by Christopher Summer 25 Feb '02

25 Feb '02

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. ===================================================================

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Petit Dejeuner de la Finance 20/03/2002 (fwd)
by Christopher Summer 25 Feb '02

25 Feb '02

***** 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)"

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reminder, this week's seminars
by Christopher Summer 25 Feb '02

25 Feb '02

Tu, 26.02.2002 -------------- Josef Teichmann, Applications of Malliavin Calculus to Mathematical Finance, part II Th, 28.02.2002 -------------- Alessandro Sbuelz, Asset pricing with time-varying pessimism 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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Public Lecture at IHS (fwd)
by Christopher Summer 20 Feb '02

20 Feb '02

---------- 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

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reminder, this week's seminars
by Christopher Summer 18 Feb '02

18 Feb '02

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

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Everett Pitcher postdoctoral position
by Christopher Summer 13 Feb '02

13 Feb '02

---------- 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

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Econometric Research Seminar at IHS
by Christopher Summer 12 Feb '02

12 Feb '02

---------- 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

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reminder, this week's seminars
by Christopher Summer 11 Feb '02

11 Feb '02

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

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Samos 2002
by Christopher Summer 04 Feb '02

04 Feb '02

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

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FAM-news February 2002