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reminder, this week's seminars
by Sandra Trenovatz 19 Jan '04

19 Jan '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 seminars within one week Tu, 20.01.2004 Josef Teichmann Cubature on Wiener Space from the point of view of central limit theorems Th, 22.01.2004 Andreas Kull 'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU Vortragsreihe aus Finanz- und Versicherungsmathematik 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 Jan '04

12 Jan '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). seminars within one week Tu, 13.01.2004 Peter Friz Rough Path and Stochastic Analysis other future seminars Th, 22.01.2004 Andreas Kull 'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU Vortragsreihe aus Finanz- und Versicherungsmathematik, Mo, 26.01.2004 Josef Teichmann (16.00 im Seminarraum 118) Geometrie der Zinsen, Vortragsreihe: Wissenswertes der Mathematik Th, 29.01.2004 Alexander Schied Optimal investments for robust utility functionals For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Post-doc at Carnegie Mellon (fwd)
by Andreas Schamanek 17 Dec '03

17 Dec '03

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 16 Dec 2003 18:57:30 -0500 (EST) From: Steven Shreve <shreve(a)matt.math.cmu.edu> Subject: Post-doc at Carnegie Mellon CARNEGIE MELLON UNIVERSITY Center for Computational Finance The Center for Computational Finance expects to appoint a post-doctoral fellow in mathematical finance, beginning in September 2004. This position will be funded by Morgan Stanley and the National Science Foundation, and is contingent upon approval of the National Science Foundation funding. Applicants should have a strong record of accomplishment in probability research and a serious interest in the applications of probability to finance. This will be a two-year appointment with no teaching duties. The recipient will be expected to make short visits to Morgan Stanley during the academic year, and Morgan Stanley is expected to offer an internship in the summer between the academic years. Applicants should send a vita, list of publications, a statement describing current and planned research, and arrange to have at least three letters of recommendation sent. For full consideration, applications should be received by January 12, 2004. All communications should be addressed to: Computational Finance Post-doctoral Committee, Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213. Carnegie Mellon University is an Affirmative Action/Equal Opportunity Employer -- Steven E. Shreve Department of Mathematical Sciences Carnegie Mellon University Pittsburgh, PA 15213-3890 shreve(a)cmu.edu http://www.math.cmu.edu/users/shreve Direct Telephone: 412-268-8484 Department Telephone: 412-268-2545 Fax: 412-268-6380

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Positions in Cambridge ... (fwd)
by Andreas Schamanek 17 Dec '03

17 Dec '03

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 16 Dec 2003 15:34:55 +0000 (GMT) From: Chris Rogers <L.C.G.Rogers(a)statslab.cam.ac.uk> Subject: Positions in Cambridge ... (...) There are currently two positions available at any point on the Lecturer scale in this department, one in math finance, the other in any area but with a preference for math finance. These are very attractive for a variety of reasons, which I'm happy to explain to anyone who is interested further after checking out http://www.statslab.cam.ac.uk/Vacancies/ Please bring to the attention of anyone you think may be suitable. Closing date 5th Jan 2004. Chris /////////////////////////////////////////////////////////////////// // Professor L C G Rogers Tel: +44 1223 766806 // // Statistical Laboratory Fax: +44 1223 337956 // // Wilberforce Road Web: www.statslab.cam.ac.uk/~chris // // Cambridge CB3 0WB, GB // ///////////////////////////////////////////////////////////////////

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reminder, this week's seminars
by Sandra Trenovatz 15 Dec '03

15 Dec '03

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 16.12.2003 Umut Cetin Trading in Illiquid Markets Classical theories of financial markets assume infinitely liquid markets. We study an illiquid market where price paid/received depends on the size and the timing of the trade. The prices are not necessarily moved by a large trader. Dependency of the price on the trade size comes from the imbalance between the supply and the demand for the asset. Hence, classical models become a special case. We first find the self-financing condition in presence of illiquidities and see that the self-financing condition restricts the set of allowed trading strategies, i.e. not all predictable trading straegies can be used. We then study conditions for no arbitrage. Since the set of feasible strategies is shrunk and there is furthermore a liquidity cost, the market is no longer complete even if there exists a unique martingale measure for the "marginal price" of the asset. However, we can get an approximately complete market when the martingale measure is unique. In this incomplete market we study the problem of optimal investment. © by Financial and Actuarial Mathematics, TU Vienna, 2002 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 09 Dec '03

09 Dec '03

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Th, 11.12.2003 Stefan Geiss Approximations of European type pay-offs, fractional Sobolev spaces, and random time nets For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Postdoc positions at Munich University of Technology (fwd)
by Andreas Schamanek 05 Dec '03

05 Dec '03

---------- Forwarded message ---------- Date: Thu, 4 Dec 2003 18:27:01 +0100 (MET) From: Claudia Klueppelberg <cklu(a)ma.tum.de> Subject: Postdoc positions at Munich University of Technology (...) Opening: The Center for Mathematical Sciences of the Munich University of Technology invites applications for 1 postdoctoral or doctoral position (for a maximum of 3 years) starting March 1, 2004 at the Institute of Mathematical Statistics. Salary is at the BAT IIa level and depends on the degree, age and family status of the applicant. We are looking for applicants who are interested in participating within the project "Statistical Methods for Model Selection in Regression" sponsored by the German Science Foundation (DFG). The aim is to develop interpretable discrepancy measures and appropriate statistical tests for model selection. Sound knowledge in asymptotic statistics and Bayesian Statistics with Markov Chain Monte Carlo methods are required. Multivariate and time dependence structures of the data will be considered. The methods will be be implemented and tested on applications from insurance and finance. Successful applicants are expected to have a Ph.D., a M.Sc. or Diploma in mathematics or statistics. In addition, we expect computing experience with statistical software (SAS and/or Splus) and programming languages (C++ and/or Matlab). German language skills are helpful, but not necessary. An interest in learning the German language is however expected. Munich University of Technology is an equal opportunity employer and particularly encourages applications of women. Please, send applications including CV and list of publications to Prof. Dr. Claudia Czado Zentrum Mathematik Technische Universitaet Muenchen Boltzmannstrasse 3 85747 Garching bei Muenchen phone: +49 89 289 17428 email: cczado(a)ma.tum.de General information can be found at http://www-m4.mathematik.tu-muenchen.de/m4/index.en.html ------------------------------------------------------------------------------ OPENINGS The Center for Mathematical Sciences of the Munich University of Technology invites applications for 2 postdoctoral or doctoral positions (for a maximum of 3 years) starting April 1, 2004 or later at the Chair of Mathematical Statistic (Prof. Dr. Claudia Kl"uppelberg). Salary is at the BAT IIa level and depends on the degree, age and family status of the applicant. We are looking for participation in the project "Risk Management in Finance and Insurance" with areas of concentration (1) Modelling, quantification and simulation of credit risk portfolios (joint project with the HVB (HypoVereinsbank M"unchen), or (2) Dynamic Integrated Risk Management (joint project with the Munich Reinsurance Company). The aim of research project (1) is to develop an appropriate model for a realistic credit risk management, to test the model in simulations and to implement it as a prototype. Close collaboration with HVB is expected. The aim of research project (2) is an effective dynamic modelling of insurance and financial risk within an integrated model. Important components of this project concern the choice of a suitable risk measure and an appropriate capital allocation. Close collaboration with Munich Re is expected. We are looking for applicants with interest in stochastic modelling, statistical analysis and computational implementation. Applicants are expected to have a Ph.D., a M.Sc. or Diploma in mathematics or statistics. In addition, we expect computing experience with statistical software (SAS and/or Splus) and programming languages (C++ and/or Matlab). German language skills are convenient, but not necessary. An interest in learning the language is however expected. Munich University of Technology is an equal opportunity employer and particularly encourages applications of women. Please, send applications including CV and list of publications to Prof. Dr. Claudia Klueppelberg Chair of Mathematical Statistic Center for Mathematical Sciences Munich University of Technology Boltzmannstrasse 3 D-85747 Garching phone: +49 89 289 17432 e-mail: cklu(a)mathematik.tu-muenchen.de General information can be found at http://www-m4.mathematik.tu-muenchen.de/m4/index.en.html

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correction
by Sandra Trenovatz 27 Nov '03

27 Nov '03

the talk this friday starts at 1 o'clock in the afternoon. Fr, 28.11.2003 Tom Fischer !!! starts at 13:00 !!! An axiomatic approach to valuation in life insurance (this will be a short talk. tom applied for the open position in our dept) http://www.fam.tuwien.ac.at/events/

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this friday and next week
by Sandra Trenovatz 27 Nov '03

27 Nov '03

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Fr, 28.11.2003 Tom Fischer An axiomatic approach to valuation in life insurance (this will be a short talk. tom applied for the open position in our dept) Tu, 02.12.2003 Jörn Sass Portfolio Optimization under Partial Information Th, 04.12.2003 Filip Lindskog On regular variation for stochastic processes © by Financial and Actuarial Mathematics, TU Vienna, 2002 http://www.fam.tuwien.ac.at/events/timetable.php

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PostDoc Position at RICAM, Vienna, Austria
by Andreas Schamanek 27 Nov '03

27 Nov '03

---------- Forwarded message ---------- Date: Thu, 27 Nov 2003 12:10:14 +0100 (MET) From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> P O S T D O C P O S I T I O N S AT THE JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS (RICAM) OF THE AUSTRIAN ACADEMY OF SCIENCES, AUSTRIA RICAM is a research institute which went into operation on January 1, 2003, and will be gradually built up to a total of 25 PostDoc positions in six areas: Scientific Computing - Computational Methods for Direct Field Problems Scientific Computing - Inverse Problems Scientific Computing - Optimization and Control Symbolic Computation Analysis of Partial Differential Equations Mathematical Finance The institute is housed on the campus of the Johannes Kepler Universität in Linz, a town of about 200.000 on the Danube, very close to the Austrian Alps, and half-way between Vienna and Salzburg. The "Mathematical Finance Group" is looking for a PostDoc with a strong interest and research experience in the "Applications of stochastic processes in finance". This position is expected to be available from March 1, 2004. Further information can be obtained from one of the group leaders Prof. Gerhard Larcher <gerhard.larcher(a)jku.at> Prof. Walter Schachermayer <wschach(a)fam.tuwien.ac.at> The "Scientific computing - Optimization and Control Group" is searching two PostDocs with a strong background in applications to partial differential equations or variational problems. For information contact Prof.K. Kunisch at: karl.kunisch(a)uni-graz.at PostDocs interested to work in one of the other research areas are encouraged to inquire with the director, Prof. Heinz W. Engl at, heinz.engl(a)oeaw.ac.at For all positions a doctorate in mathematics or a closely related field is required. The working language is English. The positions are initially for up to three years, one renewal for three more years is possible depending on achievements. Two sets of applications with personal and scientific data, copies of relevant documents and a statement about scientific interests and achievements should be sent to Prof. Heinz W. Engl Johann Radon Institute Austrian Academy of Sciences A-4040 Linz Austria

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