Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 13.11.2007 Walter Schachermayer
"In which Financial Markets do Mutual Fund Theorems
hold true?
Th, 15.11.2007 Stefan Tappe (Vienna Institute of Finance)
"Invariant submanifolds for Levy driven stochastic
equations"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Additionally we invite you to the following one-day event:
Fr, 16.11.2007 +--------------------------------------------------+
| |
| Friday, November 16, 2007: |
| |
| One day mini-workshop on |
| Calibration, Lévy processes in finance, |
| FFT, and related issues |
| |
| http://www.fam.tuwien.ac.at/events/levy/ |
| |
+--------------------------------------------------+
Location: Lecture hall "Zeichensaal 3"
Freihaus Building, 7th floor, green section
9:00-10:00 Fiodar Kilin (Frankfurt School of Finance & Management)
"Accelerating the Calibration of Stochastic Volatility
Models"
10:00-11:00 Philip Mayer (Graz University of Technology)
"Robust calibration of local Lévy equity models"
11:30-12:30 Denis Belomestny (Weierstrass Institute for Applied
Analysis and Stochastics, Berlin)
"A jump-diffusion Libor model and its robust
calibration"
14:00-15:00 Flavio Angelini (Universita degli Studi di Perugia)
"Measuring the error of dynamic hedging: a Laplace
transform approach"
15:00-16:00 Peter Tankov (Universite Paris VII)
"Asymptotic analysis of hedging errors in models with
jumps"
16:30-17:30 Martin Keller-Ressel (Vienna University of Technology)
"Smile Asymptotics for Affine Stochastic Volatility
Models"
17:30-18:00 Stefano Herzel (Universita degli Studi di Perugia)
"An affine intensity model for large credit portfolios"
Participation is free.
Please register for the mini-workshop with a short e-mail to
Sandra.Trenovatz(a)fam.tuwien.ac.at .
---------- Forwarded message ----------
Date: Fri, 9 Nov 2007 09:01:22 -0000
From: L Auger <auger(a)maths.ox.ac.uk>
Subject: FW: post-docs at the Institute (fwd)
Dear colleague,
I attach an advertisement for postdoctoral positions at the new
Oxford-Man Institute of Quantitative Finance. We are looking for
outstanding individuals to join this research centre, and I would be
gratefuil if you would bring the opportunity to the attention of
suitable candidates.
Best regards,
Sam Howison
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20071109T1257.pdf
Type: PDF document, version 1.4
Size: 80KB
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 06.11.2007 Gabriel Maresch
"Optimality and Monotonicity in the Monge-Kantorovich
Optimal Transportation Problem"
Th, 08.11.2007 Antonis Papapantoleon, Start-Seminar,
"The duality principle for multidimensional
semimartingales"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Wed, 31 Oct 2007 08:48:55 +0200
From: Zahn Gowar <Zahn.Gowar(a)wits.ac.za>
To: mfinance(a)cam.wits.ac.za
Subject: Bachelier 2008
Dear colleague,
The advertisement for the Bachelier 2008 Conference is attached. I
would be immensely grateful if you would bring this to the attention
of any potential delegates.
With best regards,
Lane Hughston
[PDF attachment removed and converted to plain text by admin]
BACHELIER FINANCE SOCIETY
The Fifth World Congress of the Bachelier Finance Society will take
place 15-19 July 2008 in London.
S.R.S. Varadhan, 2007 Abel Prize Laureate, will give a special guest
lecture.
Plenary speakers are:
. Tomas Björk (Stockholm School of Economics)
. Jak.a Cvitani. (California Institute of Technology)
. Philip Dybvig (Washington University, St Louis)
. Marco Frittelli (University of Milan)
. Jim Gatheral (Merrill Lynch, New York)
. Lars Peter Hansen (University of Chicago)
. Dmitry Kramkov (Carnegie Mellon University)
. Alex Lipton (Merrill Lynch, London)
. Philip Protter (Cornell University)
. Steven Shreve (Carnegie Mellon University)
. Nizar Touzi (Ecole Polytechnique, Paris)
The conference will begin on the afternoon of Tuesday 15 July with
registration and two plenary talks held at the Royal Geographical
Society, followed by a Reception. On the following days, plenary talks
will be held at the Royal Geographical Society and contributed talks
in parallel sessions at nearby Imperial College.
The conference concludes with a Banquet on the evening of Saturday 19
July.
The Bachelier Finance Society is the main professional society for
Mathematical Finance. Its objectives are to further the development of
the subject and related areas of stochastic analysis, optimisation,
statistics, and computational methods, and to foster strong links
between the academic and practitioner communities.
The Society was founded in 1996 and held its first World Congress in
Paris in 2000, the centenary of the publication of Louis Bachelier.s
famous thesis Théorie de la spéculation which initiated the use of
probabilistic methods in finance.
Authors are invited to submit papers for presentation at the Congress.
Details of the submission process will be found at the Congress
website http://www.bfs2008.com
The closing date for submissions is 25 January 2008.
The Congress Organizers are Mark Davis (Imperial College) and Lane
Hughston (King's College London).
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 30.10.2007 Erika Hausenblas (University of Salzburg)
"SPDEs driven by space time Poisson random measure
and its numerical approximation"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Dear colleagues,
today's seminar is canncelled since our speaker Antonis Papapantoleon is
unfortunately sick. The seminar talk is postponed to Thursday, November 8.
I shall leave for the talk of Eckhard Platen at VGSF
(see http://www2.wu-wien.ac.at/ccefm/vgsf/activities/seminars.htm )
at 3 pm from my old office. Who wants to join me is invited.
Best regards. Josef
Dr. Josef Teichmann
Institute of mathematical Methods in Economics
Vienna University of Technology
Wiedner Hauptstrasse 8-10
A-1040 Vienna
tel +43-1-5880110514
fax +43-1-5880110599
web http://www.fam.tuwien.ac.at/~jteichma
--
fam-L mailing list
fam-L(a)fam.tuwien.ac.at
http://www.fam.tuwien.ac.at/mailman/listinfo/fam-l
Timetable
Tu, 23.10.2007, 16:30, Sem 107
Thorsten Schmidt (University of Leipzig, Germany)
"Pricing and Hedging of Credit Derivatives via
Nonlinear Filtering"
Th, 25.10.2007, !!! 14:00-15:00, meeting point: Sem 105B !!!
!!! (Freihaus, green area, 7th floor) !!!
Antonis Papapantoleon, Start-Seminar,
"The duality principle for multidimensional
semimartingales"
This time we also announce an interesting talk organised
by Vienna Graduate School of Finance
(http://www2.wu-wien.ac.at/ccefm/vgsf/activities/seminars.htm):
Th, 25.10.2007, 15:30-17:00, Lecture hall HS D204, 2nd floor, area D
(Wirtschaftsuni, UZA4, Nordbergstrasse 15, 1090 Wien)
Eckhard Platen (University of Technology Sydney)
"A Benchmark Approach to Finance"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 16.10.2007: Elena Shmileva
"Small ball probabilities of some Lévy processes
and their application to the Chung law of
iterated logarithm"
Th, 18.10.2007: Christa Cuchiero, Start-Seminar,
"Affine Interest Rate Models - Theory and Practice"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Tue, 9 Oct 2007 21:53:48 +0200 (CEST)
From: Prof. Heinz W. Engl <heinz.engl(a)univie.ac.at>
Subject: Johann Radon Lectures 2007/08: Vortrag Pierre-Louis Lions am 17.
Oktober 2007 (fwd)
---------------------------------------------------------------------------
Prof.Dr.Heinz W. Engl E-Mail: heinz.engl(a)univie.ac.at
Vice Rector for Research and Career Development
University of Vienna Phone:+43-(0)1-427710050
Lueger-Ring 1
A-1010 Wien Fax:+43-(0)1-427710099
Oesterreich / Austria
and
Johann Radon Institute for Computational and Applied Mathematics (RICAM),
Austrian Academy of Sciences, A-4040 Linz, Austria
Fax: +43-(0)732-24685212
http://www.ricam.oeaw.ac.at
EMail: heinz.engl(a)oeaw.ac.at
Mobile Phone: +43-(0)664-5209029
---------------------------------------------------------------------------
---------- Forwarded message ----------
Date: Tue, 09 Oct 2007 19:15:55 +0200
From: Public Relations <Public.Relations(a)oeaw.ac.at>
To: oeaw-all(a)oeaw.ac.at
Subject: Johann Radon Lectures 2007/08: Vortrag Pierre-Louis Lions am 17.
Oktober 2007
Sehr geehrte Damen und Herren,
Die ÖAW-Vortragsreihe
> > Johann Radon Lectures 2007/2008 <<
widmet sich aktuellen Themen der angewandten Mathematik.
Der erste Vortrag findet am 17. Oktober 2007 im Festsaal der ÖAW, 1010 Wien, Dr.
Ignaz Seipel-Platz 2 statt.
Der französische Mathematiker Pierre-Louis Lions (Collège de France, Paris)
spricht zum Thema
> > Analysis, Models and Simulations <<
Der Vortrag wird sich Anwendungen der Mathematik in der Industrie widmen: Im
Mittelpunkt wird die numerische Simulation komplexer industrieller Systeme
stehen und die Rolle, die Partielle Differentialgleichungen dabei spielen.
Abstract:
In this talk, we shall first present several examples of numerical simulations
of complex industrial systems. All these simulations rely upon some mathematical
models involving Partial Differential Equations and we shall briefly explain the
nature, the history and the role of such equations. Then, some examples showing
the importance of the mathematical analysis (i.e. understanding) of those models
will be presented. And we shall conclude indicating a few trends and
perspectives.
Weitere Informationen zu den Johann Radon Lectures finden Sie unter:
http://www.oeaw.ac.at/shared/news/2007/press_inf_20071005b.html
Folder & Plakat:
http://www.oeaw.ac.at/shared/news/2007/pdf/radon_folder.pdfhttp://www.oeaw.ac.at/shared/news/2007/pdf/radon_plakat.pdf
Sie sind sehr herzlich zu den Johann Radon Lectures eingeladen. Der Eintritt ist
frei.
Mit freundlichen Grüßen
Marianne Baumgart
-------------------------------------------------------------------------------------
Österreichische Akademie der Wissenschaften (ÖAW)
Austrian Academy of Sciences
Öffentlichkeitsarbeit / Public Relations
A-1010 Wien, Dr. Ignaz Seipel-Platz 2
T +43 1 51581 1218, 1219, 1235
F +43 1 51581-1227
email: public.relations(a)oeaw.ac.at
http://www.oeaw.ac.at
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 09.10.2007 Christer Borell
(Chalmers University of Technology, Göteborg, Sweden)
"Topics on quasi-concave measures"
Th, 11.10.2007 Johannes Leitner,
"Pricing and Hedging with Globally and
Instantaneously Vanishing Risk"
(Start-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+--------------------------------------------------+
| |
| Friday, November 16, 2007: |
| |
| One day mini-workshop on |
| Calibration, Lévy processes in finance, |
| FFT, and related issues |
| |
| http://www.fam.tuwien.ac.at/events/levy/ |
| |
+--------------------------------------------------+