FAM-news February 2007

fam-news@fam.tuwien.ac.at

2 participants
6 discussions

reminder, this week's seminars
by Sandra Trenovatz 26 Feb '07

26 Feb '07

Tuesday, 27.02.2007 15:00 Gerhard Sorger (University of Vienna) "Macro-economic factors in modelling yield curve dynamics" 16:30 Pawel Polak (Warsaw University, Poland) "Immunization of the insurance portfolio under random interest rates" Both talks are located in seminar room 107: Freihaus of TU Wien, green area, 6th floor. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 21 Feb '07

21 Feb '07

---------- Forwarded message ---------- Date: Fri, 16 Feb 2007 10:29:36 +0100 From: Annette Weihs <annette.weihs(a)oeaw.ac.at> Subject: RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26 Prof. Wolfgang Runggaldier University of Padua Monday, March 26, 17:15, HS 6 Title: Contagious default: Application of methods of Statistical Mechanics in Finance. Abstract: Firms may default and thus not be able to honor their financial obligations. Default is in general contagious (infectious). Its study is therefore important for an institution holding a credit portfolio of a large number of defaultable firms. Interacting particle methods turn out to be a convenient tool to deal with these phenomena. We shall study limit distributions when the number of firms goes to infinity as well as their approximations when the number of firms is finite but large. This allows to explain various phenomena like default clustering and, in general, it allows to view a credit crisis as a microeconomic phenomenon driven by endogenous financial indicators. (Based on joint work with P. Dai Pra, E. Sartori, M. Tolotti). 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 [PDF attachment with same though less text content removed by admin]

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reminder, this week's seminar on thursday
by Sandra Trenovatz 19 Feb '07

19 Feb '07

Thursday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Th, 22.02.2007 Nikolaos Georgiopoulos (Vienna Graduate School of Finance) "Real Options Valuation under expected utility maximization" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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postdoc-Stelle ... 2-year fixed term position, project "Valuation and hedging of insurance derivatives"
by Walter Schachermayer by way of Andreas Schamanek 14 Feb '07

14 Feb '07

---------- Forwarded message ---------- Date: Tue, 13 Feb 2007 12:42:53 -0000 From: T.Rheinlander(a)lse.ac.uk Research Assistant Salary: £23,515 to £26,064 pa inc. 2-year fixed term position Applications are invited for a research position funded by the Engineering and Physical Sciences Research Council (EPSRC) at the London School of Economics. You will work on the project .Valuation and hedging of insurance derivatives. with Dr Thorsten Rheinlander. Candidates should have a PhD (or expect to submit a thesis for PhD before April 2007), preferably in Statistics or a related field. Alternatively, a promising candidate for our PhD program would also be considered. For a full application pack, please see the instructions on how to apply, job description, the person specification, and the personal details form. The closing date for applications is: 19 February 2007 Details at http://www.lse.ac.uk/collections/recruitment/jobsAtLSE/CurrentVacancies.htm…

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reminder, this week's seminars
by Sandra Trenovatz 11 Feb '07

11 Feb '07

Wednesday, 14.02.2007, 11:00, seminar room 107 (different day and time!) Catherine Rainer (Université de Brest, France) Stochastic differential games with asymmetric information We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual solutions of some second order Hamilton-Jacobi equation.

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reminder, this week's seminars
by Sandra Trenovatz 05 Feb '07

05 Feb '07

Timetable Tuesday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. seminars within one week Tu, 06.02.2007 Takahiro Tsuchiya (Ritsumeikan University, Japan) What is the natural scale for a Lévy process in modelling term structure of interest rates? For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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FAM-news February 2007