FAM-news October 2006

fam-news@fam.tuwien.ac.at

2 participants
13 discussions

post-doctoral position in mathematical finance/economics (fwd)
by Walter Schachermayer by way of Andreas Schamanek 31 Oct '06

31 Oct '06

---------- Forwarded message ---------- Date: Tue, 31 Oct 2006 08:44:17 -0800 From: Ulrich Haussmann <uhaus(a)math.ubc.ca> Subject: post-doctoral position in mathematical finance/economics The Mathematics Department at the University of British Columbia is looking to fill a post-doctoral position in mathematical finance. The group in mathematical finance consists of I. Ekeland, U. Horst and R. Kuske in the Mathematics Department, and A. Lazrak in the Finance Division. Details about the department can be found at http://www.math.ubc.ca The successful applicant will collaborate with a faculty member and will teach one elementary course (3 hrs/week) for one or two semesters per year. Interested applicants should submit a resume and arrange for three letters of recommendation, to be sent either electronically or by mail to uhaus(a)math.ubc.ca Ulrich Haussmann Department of Mathematics University of British Columbia 121 - 1984 Mathematics Rd. Vancouver, BC, V6T 1Z2 Ulrich Haussmann Tel: 604-822-3045 Department of Mathematics Fax: 604-822-6074 University of British Columbia email: uhaus(a)math.ubc.ca 121 - 1984 Mathematics Rd. URL: Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus

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[Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Stefan Kassberger - Nov. 23, 11:00 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 30 Oct '06

30 Oct '06

---------- Forwarded message ---------- Date: Mon, 30 Oct 2006 11:13:35 +0100 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> Subject: [Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Stefan Kassberger - Nov. 23, 11:00 GROUP: Financial Mathematics Dr. Stefan Kassberger University of Ulm and Wharton School, University of Pennsylvania Thursday, November 23, 11:00, HF136 Title: Efficient calibration of time-changed Lévy models to forward implied volatility surfaces Abstract: Time-changed Lévy models are capable of accurately calibrating implied volatilities of plain vanilla options across strikes and maturities at a fixed point in time. However, the quality of a pricing model is not only determined by its static fitting capabilities, but also by its dynamic properties, in particular if it is to be applied to the pricing of exotic derivatives. In this paper, we investigate the dynamic properties of a popular time-changed Lévy model by first calibrating it to a set of S&P 500 index options and then studying the forward implied volatilities it gives rise to. Annette Weihs Johann Radon Institute for Computational and Applied Mathematics (RICAM) Austrian Academy of Sciences Altenbergerstr. 69 A-4040 Linz Tel.: +43 (0)732 2468-5211 Fax: +43 (0)732 2468-5212 e-mail: annette.weihs(a)oeaw.ac.at http://www.ricam.oeaw.ac.at [attachments removed by admin]

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reminder, this today's seminars
by Sandra Trenovatz 30 Oct '06

30 Oct '06

please note the unusual day/time/room of this week's seminars! Mo, 30.10.2006 Kasper Larsen (Carnegie Mellon University) 15:00, SEM 104 Stability of utility-maximization Mo, 30.10.2006 Stefan Gerhold 16:15, SEM 104 Automatisches Beweisen von Identit?ten Vortragsreihe: Wissenswertes der Mathematik Seminar room 104: Freihaus of TU Wien, green area, 5th floor. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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OeFdV Seminar am 7.11.2006 - "Risiken in der Personenversicherung und deren Beurteilung" (fwd)
by Walter Schachermayer by way of Andreas Schamanek 25 Oct '06

25 Oct '06

---------- Forwarded message ---------- Date: Wed, 25 Oct 2006 08:47:34 +0200 From: Helga <helga.prieler(a)actuariat.at> Subject: OeFdV Seminar am 7.11.2006 - "Risiken in der Personenversicherung und deren Beurteilung" Seminareinladung Dienstag, 07. November 2006 Thema : "Risiken in der Personenversicherung und deren Beurteilung" Beginn 09:30 Uhr bis 17:00 Uhr Ort : Hotel Modul, 1190 Wien, Peter Jordan Straße 78 Referate : Dr. Klaus Wegenkittl - Präsident der AVÖ Begrüßung und Einleitung Dr. Richard Herrmann - Vorstand der Heubeck AG, Köln "Value-at-Risk, Tail-Value-at-Risk und Schadenverteilung in der Personenversicherung" Dr. Winfried Heinen - Chefmathematiker der GenRe, Köln "Mögliche Auswirkungen einer Pandemie auf die Leben-/Krankenversicherung" Norbert Wackerle - Aktuar der PartnerRe Zurich Branch Impaired Life Annuity - die Rente für Schwerkranke Michael Winkler - Winterthur Versicherungen / Schweiz Die Zukunft des Risikotransfers bei Lebensversicherungen Dr. Klaus Wegenkittl - Präsident der AVÖ Zusammenfassung und Abschluß anschließend Diskussion Weitere Informationen und das Anmeldeformular unter http://www.avoe.at/veranstaltungen_avoe.html#Risiken Aktuarvereinigung Österreichs (AVÖ) Sekretariat AVÖ - Helga Prieler Postfach 1 A-7002 Eisenstadt Tel: +43 / 2682 / 72794 FAX: +43 / 2682 / 72794-0 EMail : sekretariat(a)avoe.at Internet : www.avoe.at

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Summer School Banff 07 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 17 Oct '06

17 Oct '06

Who is interested? Let s discuss it over the brown bag. Walter ---------- Forwarded message ---------- Date: Mon, 16 Oct 2006 12:45:36 -0700 (PDT) From: Ulrich Horst <horst(a)math.ubc.ca> To: wschach(a)fam.tuwien.ac.at Subject: Summer School Banff 07 Dear Walter. I am writing this e-mail to draw your attention to our upcoming summer school "The Mathematical Modeling of Climate and Energy Risk". The focus of the summer school will be on a series of five lectures (by R. Carmona, C. Gollier, R. Guesnerie, T. Wang and probably R. Wets) on risk sharing, optimization under uncertainty, and environmental risk. The summer school is accompanied by a research workshop. Both events will take place at the Banff International Research Station from April 29, 2007 to May 07, 2007 (Summer School) and May 09, 2007 to May 13, 2007 (workshop). I would like to invite you to the workshop and encourage you to promote one or two of your students or postdocs for the summer school. Michael Kupper is already on our list. Accommodation and meals will be provided by BIRS. I am looking forward to your response. With best wishes, Ulrich

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reminder, this week's seminars
by Sandra Trenovatz 16 Oct '06

16 Oct '06

Timetable Tuesday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Tu, 17.10.2006 Prof. Laszlo Gyorfi (Budapest University of Technology and Economics) "Empirical portfolio selection For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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ESI Junior Research Fellowships (fwd)
by Walter Schachermayer by way of Andreas Schamanek 12 Oct '06

12 Oct '06

---------- Forwarded message ---------- Date: Wed, 11 Oct 2006 14:27:56 -0400 From: Klaus Schmidt <klaus.schmidt(a)univie.ac.at> Subject: ESI Junior Research Fellowships Dear Colleague, I would be grateful if you could bring this information to the attention of suitable candidates. With my best regards, Klaus Schmidt P.S.: Apologies if you get this twice (there was a computer glitch). [ attachment available at ftp://ftp.esi.ac.at/pub/call/junior.pdf ] -- ------------------------------------------------------------------------- Klaus Schmidt e-mail: klaus.schmidt(a)univie.ac.at President Telephone: +43-1-4277 28285 (office) Erwin Schroedinger Institute +43-650-409 8170 (mobile) Boltzmanngasse 9 Fax: +43-1-4277 28299 (office) A-1090 Vienna, Austria www: http://www.esi.ac.at -------------------------------------------------------------------------

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[Ricam-all] RICAM Group-Seminar - Financial Mathematics: Prof. Christian Hipp - Nov. 9, 10:30 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 11 Oct '06

11 Oct '06

---------- Forwarded message ---------- Date: Wed, 11 Oct 2006 13:07:06 +0200 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> Subject: [Ricam-all] RICAM Group-Seminar - Financial Mathematics: Prof. Christian Hipp - Nov. 9, 10:30 GROUP: Financial Mathematics Prof. Christian Hipp University of Karlsruhe Thursday, November 9, 10:30, HF136 Title: Ruin probabilities: the right risk measure for insurers Abstract: Ruin probabilities are classical risk measures for insurance which, however, are used scarcely in real world. We emphasize the importance of ruin probabilities, show that they can be computed easily even for complex problems, and demonstrate how they facili-tate control problems. In the case of insurance risk management with tax, we compute ruin probabilities as well as total present value of collected tax. With these results we answer the question wether a tax authority should tax an insurer who is close to ruin. Annette Weihs Johann Radon Institute for Computational and Applied Mathematics (RICAM) Austrian Academy of Sciences Altenbergerstr. 69 A-4040 Linz Tel.: +43 (0)732 2468-5211 Fax: +43 (0)732 2468-5212 e-mail: annette.weihs(a)oeaw.ac.at http://www.ricam.oeaw.ac.at [attachment with close to equal content removed by admin]

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Ausschreibung Post-Doc-Stipendium an der Uni Ulm (fwd)
by Walter Schachermayer by way of Andreas Schamanek 11 Oct '06

11 Oct '06

---------- Forwarded message ---------- Date: Tue, 10 Oct 2006 17:18:34 +0200 From: Hans-Joachim Zwiesler <Hans-Joachim.Zwiesler(a)uni-ulm.de> Subject: Ausschreibung Post-Doc-Stipendium an der Uni Ulm Liebe Freunde, anbei die Ausschreibung des Post-Doc-Stipendiums im Graduierten-Kolleg "Modellierung, Analyse und Simulation in der Wirtschaftsmathematik" an unserer Fakultät in Ulm zum 1.4.2007. Bewerbungsschluss ist der 15.11.06. Falls Sie geeignete KandidatInnen kennen, machen Sie diese doch bitte auf diese Ausschreibung aufmerksam. Mit herzlichen Grüßen Ihr Hajo Zwiesler [ attachment converted to plain text by admin ] DFG-Graduiertenkolleg 1100 .Modellierung, Analyse und Simulation in der Wirtschaftsmathematik. Fakultät für Mathematik und Wirtschaftswissenschaften Universität Ulm Ausschreibung eines Stipendiums An der Fakultät für Mathematik und Wirtschaftswissenschaften der Universität Ulm ist im Rahmen des von der Deutschen Forschungsgemeinschaft (DFG) eingerichteten Graduiertenkollegs Modellierung, Analyse und Simulation in der Wirtschaftsmathematik zum 01.04.2007 ein Post-Doc Stipendium für maximal zwei Jahre zu vergeben. Zielsetzung des Graduiertenkollegs ist die Untersuchung ökonomischer Fragestellungen mit Hilfe von mathematischer Modellbildung, Analyse und Simulation. Diese werden in Zusammenarbeit mit Praxispartnern erarbeitet und stammen aus den Themenbereichen: . Bewertung komplexer Finanzprodukte . Risikoanalyse und -management . Optimale Strategien . Ökonometrische Analyse und Strategien . Knowledge Discovery und Data Mining Zur Lösung der Problemstellungen werden die Kollegiaten in den folgenden mathematischen Forschungsschwerpunkten arbeiten: . Stochastische Modelle, ihre Analyse und Simulation . Statistische Inferenz und Datenanalyse . Stochastische Steuerungen und Optimierung . Partielle Differentialgleichungen und Funktionalanalysis . Finanzmathematische Modellierung und Analyse . Numerische Analysis und Simulation . Methoden der Software-Entwicklung und des Software-Qualitätsmanagements Zur weiteren Information gibt es u.a. eine Übersicht über die Betreuer des Graduierten-Kollegs, unser Studienprogramm sowie die Titel der einzelnen Projekte unter: Webseite des GK1100: http://www.mathematik.uni-ulm.de/gradkoll/ Die Höhe der Stipendiensätze richtet sich nach den Vorgaben der DFG: http://www.dfg.de/forschungsfoerderung/formulare/download/1_30a_w.pdf Absolventinnen und Absolventen mathematisch orientierter Studiengänge werden gebeten, ihre aussagekräftigen Bewerbungsunterlagen (Zeugniskopien, Lebenslauf, Lichtbild) bis zum 15.11.2006 an den Sprecher des Kollegs zu senden. Bis zum An- tritt des Stipendiums muss die Promotion abgeschlossen sein. Sprecher des Kollegs: Prof.Dr. Karsten Urban Universität Ulm Institut für Numerische Mathematik Helmholtzstrasse 18 89069 Ulm Telefon: +49-731-502-3535 Fax: +49-731-502-3548 email: gradkoll(a)mathematik.uni-ulm.de

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position in mathematical finance/economics (fwd)
by Walter Schachermayer by way of Andreas Schamanek 06 Oct '06

06 Oct '06

---------- Forwarded message ---------- Date: Thu, 05 Oct 2006 15:22:39 -0700 From: Ulrich Haussmann <uhaus(a)math.ubc.ca> Subject: position in mathematical finance/economics The Mathematics Department at the University of British Columbia is looking to fill an opening in mathematical finance/economics as I will retire in 2007. The group in mathematical finance and economics consists of I. Ekeland, U. Horst and R. Kuske in the Mathematics Department, and A. Lazrak and T. Wang in the Finance Division. We offer an MSc program in the field and we participate in MITACS ( http://www.mitacs.ca/main.php?mid=10000019&pid=79&proid=16 ), a government sponsored initiative to foster interaction with industry. UBC hosts the headquarters of PIMS, the Pacific Institute for Mathematical Sciences ( http://www.pims.math.ca/ ) which sponsors many workshops and sessions in diverse areas of the mathematical sciences. We are looking for outstanding candidates with some post-doctoral experience. For further details please see http://www.math.ubc.ca/Dept/deptJobs.shtml#RegularFaculty Ulrich Haussmann Ulrich Haussmann Tel: 604-822-3045 Department of Mathematics Fax: 604-822-6074 University of British Columbia email: uhaus(a)math.ubc.ca 121 - 1984 Mathematics Rd. URL: Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus

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FAM-news October 2006