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/
by Walter Schachermayer by way of Andreas Schamanek
---------- 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
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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/
by Walter Schachermayer by way of Andreas Schamanek
---------- 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…
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.
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/