FAM-news June 2006

fam-news@fam.tuwien.ac.at

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11 discussions

Vortragsreihe in Finanz- und Versicherungsmathematik
by Sandra Trenovatz 26 Jun '06

26 Jun '06

Sehr geehrte Damen und Herren, im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen wir Sie zu folgendem Vortrag einladen: Dienstag, 27. Juni, 16:30, Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8, Freihaus, 2. Stock, gelber Bereich, Hörsaal FH 2: Dr. Mathias Zocher TU Dresden, Institut für Mathematische Stochastik "Multivariate gemischte Poissonprozesse - Bonus-Malus-Systeme in der KH-Versicherung" http://www.fam.tuwien.ac.at/events/vr/20060627.php Ausserdem dürfen wir Sie auf einen weiteren Vortrag aufmerksam machen, welcher von der Forschungsgruppe FAM organisiert wird: Dienstag, 27. Juni, 15:00, Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8, Freihaus, 6. Stock, gelber Bereich, Seminarraum 107: Dr. Pavel Shevchenko CSIRO Mathematical and Information Sciences, Sydney "Modelling Operational Risk" http://www.fam.tuwien.ac.at/events/index.php?showabstract=20060627 Mit freundlichen Grüßen, Mag. Dr. Klaus Wegenkittl Präsident der Aktuarvereinigung Österreichs Präsident des Österr. Förderungsvereins der Versicherungsmathematik Dr. Siegfried Sellitsch Präsident der Österreichische Gesellschaft für Versicherungsfachwissen o.Univ.-Prof. Dr. Walter Schachermayer Univ.-Prof. Dr. Uwe Schmock Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien ----------------------------------------------------------------------- VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/

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[Ricam-all] RICAM-Colloquia (fwd)
by Walter Schachermayer by way of Andreas Schamanek 23 Jun '06

23 Jun '06

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Fri, 23 Jun 2006 10:46:41 +0200 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> Subject: [Ricam-all] RICAM-Colloquia Prof. Jozef Teugels Katholieke Universiteit Leuven Monday, July 24, 14:00, HF136 Title: Levy Processes, Polynomials and Martingales Abstract: It has long been known that there is a close relationship between Brownian motion {W(t),t>=0} and the Hermite polynomials {Hm(y),m=0,1,..}. More specifically E{H_m(W(t)/Sqrt{2t})| W(s)}= (s/t)^(m/2) H_m(W(s)/Sqrt{2s}). We show that a similar property holds for a large variety of pairs of Levy processes and polynomials associated with them. Particular attention is given to orthogonal polynomials. Apart from the well-known case of Brownian motion, the Poisson process (with the Charlier poly-nomials) and the Bernoulli process (with the Krawtchouck poly-nomials) provide two other explicit examples. This work is joint with Wim Schoutens of the K.U. Leuven (Belgium). 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

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Professor position in Asset Pricing at University of Gothenburg (fwd)
by Walter Schachermayer by way of Andreas Schamanek 22 Jun '06

22 Jun '06

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Thu, 22 Jun 2006 11:46:05 +0200 (CEST) From: Catalin Starica <starica(a)math.chalmers.se> Subject: Professor position in Asset Pricing at University of Gothenburg Dear Colleague, Please find atached the announcement [see plain text copy below] for a professor position in Asset Pricing at University of Gothenburg. The position is at a senior level but good not-so-senior researchers are incourage to apply. The Center for Finance is actively trying to build up its areas of competence and young, enthusiastic people are of an utmost interest to us. Note that, even though the deadline is rather close, there is a certain amount of flexibility in the application process. We would be happy to get some strong signal of interest rather soon (even if the full application dossier takes a little longer to complete). For more info on the Center for Finance please go to http://www.hgu.gu.se/item.aspx?id=1023 I would be very greatful if you could forward this mail to anyone you might think could be interested. Sincerely, Catalin Starica PS: The Center is also looking for someone in Corporate Finance. See http://ledig-anstallning.adm.gu.se/# [attachemnt with word document converted to plain text by admin] Handelshögskolan vid Göteborgs universitet är en stimulerande mötesplats för ca 7000 studenter och närmare 500 anställda. Handelshögskolan är unik genom sin kombination av ekonomi och juridik inom såväl forskning som undervisning. Felix Neuberghs professur i Bank och Finansvetenskap REF NR 311 1640/06 med placering vid Centrum för finans. Handelshögskolans fakultetsnämnd. Sista ansökningsdag: 2006-06-29 Pending budgetary approval and administrative process, The School of Business, Economics and Law at Göteborg University, Sweden, invites applications to the Felix Neubergh chair in Banking and Finance, specifically Financial Markets and Asset Pricing. The professor will hold a position at the Centre for Finance. The Centre for Finance is a joint venture between the Department of Business Administration and the Department of Economics. Candidates must have an established research record and a demonstrated effectiveness in teaching and graduate student supervision. The successful candidate is expected to teach courses at any level (in English). Furthermore, candidates are expected to show great ability in and proved evidence of successful teamwork. Salary and other employment conditions are negotiable, and the salary will be competitive within Scandinavia. The selected candidate will be expected to take up the position as soon as possible. Applications should include a current CV (in English) with a written summary of scientific, teaching, administrative, and other qualifications relevant for the position as well as the names of three references whom we may contact. Reference to a maximum of 10 scientific publications and 10 other publications reflecting teaching skills (e.g. textbooks, other teaching materials, editorials and contributions to popular magazines etc.) should be included. Three identical sets of those works should be kept available until the university gives instruction as to which reviewers they should be sent. Under the higher Swedish Education Ordinance (SFS 1993:100), "a person who has demonstrated both academic and teaching skills shall be qualified for appointment as a professor. As much attention shall be given to the assessment of teaching skills as to the assessment of academic skills. Assessment for the appointment of teachers shall be based on the degree in which a candidate possesses the skill required to qualify for the appointment. Furthermore, regard shall be paid to the degree in which a candidate possesses administrative and other skills of importance, taking into account the subject matter determined by the institution of higher education for the position and the duties that the position will involve. Moreover regard shall be paid to the degree in which a candidate possesses skills in developing and managing activities and staff at the institution of higher education and aptitude in interacting with the surrounding community and informing people about research and development projects." More detailed information about the position can be obtained from Professor Lennart Hjalmarsson, +46 31 773 1345, e-mail: lennart.hjalmarsson(a)economics.gu.se Union representatives: SACO Inger Wilgotson Lundh, tel. int +46 31 773 1989 OFR/S Eva Sjögren, tel. int +46 31 773 1169 SEKO Lennart Olsson, tel. int +46 31 773 1173 Application, including the reference number E 311 1640/06, must be received by June 29, 2006, e-mailed or sent to (with a copy to the School Recruitment Board, lennart.hjalmarsson(a)economics.gu.se). Göteborg University Registrator Box 100 SE-405 30 Göteborg Sverige (Sweden) registrator(a)adm.gu.se Situated in the city centre of Göteborg, The School of Business, Economics and Law is a highly research-oriented school within Göteborg University, a stimulating meeting-place for about 7000 students and nearly 500 faculty and staff. Areas of specialization include Accounting, Business Information Systems, Law, Industrial Organisation, International Business and Management. Göteborgs universitet är ett av de stora i Europa med nio fakulteter, drygt 51 000 studenter och 5 500 anställda. Inom universitetet finns konst, samhällsvetenskap, naturvetenskap, humaniora, utbildningsvetenskap, lärarutbildning, IT-universitet, Handelshögskola och Sahlgrenska akademin med medicin, vårdvetenskap och odontologi. Unik bredd inom utbildning och forskning erbjuder goda möjligheter till kreativ samverkan mellan vetenskaper samt med näringsliv och offentliga aktörer. Högt sökandetryck och nobelpris vittnar om universitetets höga kvalitet.

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Vortrag ueber Frauen auf Finanzmaerkten (fwd)
by Walter Schachermayer by way of Andreas Schamanek 21 Jun '06

21 Jun '06

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Mon, 19 Jun 2006 15:45:47 +0200 From: Franz X. Hof <fxhof(a)pop.tuwien.ac.at> Subject: Vortrag ueber Frauen auf Finanzmaerkten Vortrag im Rahmen des Konversatorium aus Operations Research (110.539) 26. Juni, 16 Uhr: Ulrike Freisleben-Hof, BA-CA, Wien: Mathematik und Frauen - zwei notwendige Bedingungen fuer den Erfolg auf Finanzmaerkten Ort: TU, Hauptgebaeude, 1040, Karlsplatz 13, Stiege 1, 3. Stock, HS 15 Interessenten sind herzlich eingeladen. G. Feichtinger

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reminder, this week's seminars
by Sandra Trenovatz 19 Jun '06

19 Jun '06

Timetable Tuesdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 20.06.2006 Martin Keller-Ressel Non-Parametric Calibration of the Barndorff-Nielsen-Shephard Model For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 12 Jun '06

12 Jun '06

Timetable Tuesday, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 13.06.2006 Oliver Fiala (Erste Bank) 16:30 Estimation and Comparison of Credit Transition Matrices Tu, 13.06.2006 Alexander Cherny homepage (Moscow State University) 17:15 Coherent Risks and their applications (lecture series, 2nd part) For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Series of lectures of A. Cherny / Correction
by Sandra Trenovatz 08 Jun '06

08 Jun '06

There was a small mistake in the announcement: The duration of the talk on Thuesday is only 45 minutes from 17:15-18:00. Sorry for the faulty mail a minute ago, Sandra Trenovatz -------------------------------------------------------------- Alexander S. Cherny, (Moscow State University) "Coherent Risks and their applications" 1st part: Friday, 9.06.2006, 11:00-12:30, FH 2, FH2: Freihaus, yellow area, 2nd floor Freihaus, Wiedner Hauptstr. 8-10, 1040 Wien 2st part: Tuesday, 13.06.2006, 17:15-18:00, Sem 107, Sem 107: Freihaus, green area, 6th floor 3rd part: Friday, 16.06.2006, 11:00-12:30, Sem 105B Sem 105B: Freihaus, green area, 7th floor The basic idea behind these lectures is: the whole finance can be built based on coherent risks. I will speak about applications of coherent risks to: - pricing; - optimization; - optimality pricing; - equilibrium. Moreover, several topics in the "pure" theory of coherent risks will be discussed. These include: - coherent risk contribution; - capital allocation; - factor risks. I will also describe two new classes of coherent risks: Alpha V@R and Beta V@R that are better than Tail V@R. These lectures will be based on a series of papers available at: http://mech.math.msu.su/~cherny/ (papers 24-30).

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Series of lectures of A. Cherny
by Sandra Trenovatz 08 Jun '06

08 Jun '06

Alexander S. Cherny, (Moscow State University) "Coherent Risks and their applications" 1st part: Friday, 9.06.2006, 11:00-12:30, FH 2, FH2: Freihaus, yellow area, 2nd floor Freihaus, Wiedner Hauptstr. 8-10, 1040 Wien 2st part: Tuesday, 13.06.2006, 17:15-18:30, Sem 107, Sem 107: Freihaus, green area, 6th floor 3rd part: Friday, 16.06.2006, 11:00-12:30, Sem 105B Sem 105B: Freihaus, green area, 7th floor The basic idea behind these lectures is: the whole finance can be built based on coherent risks. I will speak about applications of coherent risks to: - pricing; - optimization; - optimality pricing; - equilibrium. Moreover, several topics in the "pure" theory of coherent risks will be discussed. These include: - coherent risk contribution; - capital allocation; - factor risks. I will also describe two new classes of coherent risks: Alpha V@R and Beta V@R that are better than Tail V@R. These lectures will be based on a series of papers available at: http://mech.math.msu.su/~cherny/ (papers 24-30).

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Workshop on Financial Modeling with Jump Processes, Sept 6-8 2006 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 06 Jun '06

06 Jun '06

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Tue, 6 Jun 2006 16:02:59 +0200 (CEST) From: Rama CONT <Rama.Cont(a)polytechnique.fr> Subject: Workshop on Financial Modeling with Jump Processes, Sept 6-8 2006 Dear colleague, On behalf of the Scientific Committee and the Local Organizing Committee, we are pleased to announce the forthcoming Workshop on Financial Modeling with Jump Processes, Ecole Polytechnique (Palaiseau, France), September 6-8, 2006 http://www.fiquam.polytechnique.fr/AMAMEF/ We invite contributions dealing with models based on jump processes and their applications in finance dealing in particular, but not exclusively, with the following issues: Multidimensional models with jumps: dependence modeling, Lévy copulas, numerical methods for multidimensional models. Simulation and estimation: efficient simulation of multivariate models, econometrics of jump processes, realized volatility/ bi-power variation. Partial integro-differential equations (PIDEs) and computational methods Inverse problems: theory and algorithms for inverse problems related to option pricing models with jumps. New modeling approaches: Markov processes with jumps, models for electricity prices, interest rate models with jumps and their efficient analytical and numerical treatment * DEADLINE for submission of abstracts: JUNE 15, 2006 * DEADLINE for registration: AUGUST 1, 2006. For more information please visit the conference website: http://www.fiquam.polytechnique.fr/AMAMEF/ THIS WORKSHOP IS SUPPORTED BY: European Programme on "Advanced mathematical methods for finance" Centre de Mathematiques Appliquees, Ecole Polytechnique Chaire des Risques Financiers, Ecole Polytechnique Seminar on Applied Mathematics, ETH Zurich Europlace Institute of Finance

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[Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Peter Friz, June 26 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 06 Jun '06

06 Jun '06

---------- Forwarded message ---------- Date: Tue, 6 Jun 2006 08:59:56 +0200 (CEST) From: Walter Schachermayer ---------- Forwarded message ---------- Date: Fri, 2 Jun 2006 10:58:09 +0200 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> Subject: [Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Peter Friz, June 26 GROUP: Financial Mathematics Dr. Peter Friz Department of Pure Mathematics and Mathematical Statistics, Univ. Cambridge, UK Monday, June 26, 10:30, HF136 Title: Support Theorems via Rough Paths Abstract: We will report on recent joint work with N. Victoir, T. Lyons and D. Stroock concerning support theorems for solutions of stochastic differential equations. The talk will contain a quick introduction to rough path theory. 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 removed]

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FAM-news June 2006