Dear Friends of FAM,
there are no more FAM-talks planned for this year, therefore i send you
two other interesting talks organized by VGSF/VIF and WPI/UniVie.
Seasonal greetings,
Sandra
-----------------
Friday, December 19th, 14:00 - 15:30,
1190, Heiligenstädter Strasse 46-48, Seminar Room 1
"VGSF Seminar"
http://www.vgsf.ac.at/activities/seminars.htm
Hansjörg Albrecher (Johannes Kepler University Linz)
"Tax and Dividend Payments in Collective Risk Theory"
------------------
Friday, December 19th, 15:45 - 17:30,
1090, Nordbergstr. 15 /Althanstr., Uni Wien, UZA 2, lecture room HS 3
"7th Pauli Colloquium"
Pierre-Louis Lions (College de France)
"Financial mathematics and/after the crash"
Opening: 15.45 - 16.00 Coffee, Cake & Come Together
16.00 - 16.15 Introduction: Norbert J. Mauser
16.15 - 17.10 Talk of Pierre-Louis Lions
17.10 - 17.30 Public Discussion moderated by Walter Schachermayer
------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 02.12.2008 Juan-Pablo Ortega (CNRS, France)
"GARCH pricing via local risk minimization"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+------------------------------------------------------------+
| |
| "Conference on small time asymptotics, perturbation |
| theory and heat kernel methods in mathematical finance" |
| |
| February 10-12, 2009: |
| Wolfgang Pauli Institut, Vienna, Austria |
| |
| http://www.math.nyu.edu/~laurence/vienna-Sabr-bis.htm |
| |
+------------------------------------------------------------+
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 25.11.2008 David Skovmand (Aarhus School of Business, Denmark)
"Alternative Specifications for the Levy Libor
Market Model: An Empirical Investigation"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 20.11.2008 Jan Palczewski
(Faculty of Mathematics, University of Warsaw, Poland)
"Finite Horizon Optimal Stopping of Discontinuous
Functionals with Applications to Impulse Control with
Delay"
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, 11.11.2008 Michael Kupper und Nicolas Vogelpoth
(Vienna Institute of Finance)
"Seperation and duality in L0-modules"
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, 28.10.2008 Roman Ivanov (Faculty of Mechanics and Mathematics,
Lomonosov Moscow State University, Russia)
"On calculation of multiple exercise Russian option"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
seminars within one week
Th, 23.10.2008 Jose Fajardo (Economics Research Group, IBMEC
Business School, Rio de Janeiro)
"Symmetry and Option Price Monotonicity with Levy
processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 16.10.2008 Michael Schmutz (Institut f. math. Statistik und
Versicherungslehre, Universität Bern)
"Multivariate symmetry properties of asset prices,
derivatives and their relation to convex geometry"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 06.10.2008 Johannes Leitner (FAM @ TU Wien)
12:00, FH Hörsaal 3
Habilitation Talk: "Robust Martingale Representations
for Marked Point Processes"
Th, 09.10.2008 Peter Spreij (Universiteit van Amsterdam),
Start-Seminar,
16:30, Seminar room 107
On Multivariate Feller conditions in term structure
models
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 30.09.2008 Goncalo dos Reis (Humboldt-Universität zu Berlin)
16:30, Seminar room 107
"Differentiability of quadratic growth BSDEs and
applications"
We, 01.10.2008 Philip Dybvig (Washington University, Saint Louis, USA)
16:30, Seminar room 107
"High Hopes and Disappointments: Preference for Timing
of Information without the Recursive Structure"
Mo, 06.10.2008 Johannes Leitner (FAM @ TU Wien)
12:00, Freihaus Hörsaal FH 3
Habilitation Talk: "Robust Martingale Representations
for Marked Point Processes"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------------+
| |
| October, 17th - 18th 2008: |
| Conference on Numerical Methods |
| for American and Bermudan Options |
| http://www.math.nyu.edu/~laurence/vienna-amop1.htm |
| |
+-------------------------------------------------------+
Timetable
Tu, 23.09.2008, 16:30, Sem 107
Denis Belomestny (Weierstrass Institute for
Applied Analysis and Stochastics, Berlin)
"New series representations for the characteristic functions of
affine Feller processes with applications to option pricing"
Th, 25.09.2008, _10:30_, Sem 107
Olaf Menkens (School of Mathematical Sciences, Dublin City University)
"Crash Hedging Strategies and q--Quantile Crash Hedging Strategies"
Th, 25.09.2008, _13:30_, Sem 107
Simone Farinelli (UBS, Zürich)
"Geometric Arbitrage Theory"
Sem 107 = Freihaus of TU Wien, green area, 6th floor
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------------+
| |
| Monday, September 29, 2008, 9.00-19.00: |
| PRisMa 2008 - |
| One-Day Workshop on Portfolio Risk Management |
| http://www.fam.tuwien.ac.at/events/prisma2008/ |
| |
+-------------------------------------------------------+
+-------------------------------------------------------+
| |
| October, 17th - 18th 2008?: |
| Conference on Numerical Methods |
| for American and Bermudan Options |
| http://www.math.nyu.edu/~laurence/vienna-amop1.htm |
| |
+-------------------------------------------------------+
Timetable
Tuesdays and Thursdays, 16:30,
TU Vienna, "Freihaus", green area, 6th floor, seminar room 107.
Tu, 16.09.2008 Matthias Weber (University of Applied Sciences, Dresden)
On Stochasticity of Solutions of Differential Equations
with a Small Delay
Th, 18.09.2008 Mark Freidlin (University of Maryland), Start-Seminar,
Asymptotic Problems for PDE's and Related Stochastic
Processes
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
+-------------------------------------------------------+
| |
| Monday, September 29, 2008, 9.00-19.00: |
| PRisMa 2008 - |
| One-Day Workshop on Portfolio Risk Management |
| http://www.fam.tuwien.ac.at/events/prisma2008/ |
| |
+-------------------------------------------------------+
The 6th NoonToNoon Meeting
Insurance and Financial Mathematics - Theory and Practice
is held from noon of October 2 to noon October 3, 2008
at the University of Jyväskylä (Finland)
The aim of the meeting is to bring together researchers, graduate
students, and practitioners interested in statistical and mathematical
problems in finance and insurance.
Invited speakers:
Andreas Kyprianou (University of Bath)
Timo Teräsvirta (University of Aarhus)
Deadline for registration is extended to September 15, 2008.
Your are invited to propose a talk (20-25 min).
* There is no conference fee.
Tickets for the conference dinner on Thursday can be
purchased on arrival.
* http://www.jyu.fi/noontonoon
* Contact: chgeiss(a)maths.jyu.fi.
Organizers:
Stefan Geiss
Jukka Nyblom
Antti Penttinen
Christel Geiss
Dear All
Please note that a conference on the numerical
valuation of american and bermudan options will
take place in Vienna on October 17 and 18.
There is no registration fee but there
is limited space so registrations will
be accepted on a first come first serve basis.
Please see
http://www.math.nyu.edu/~laurence/vienna-amop1.htm
[typo in link fixed by list-admin]
for details.
Best regards
The organizers
Marc Broadie, Friedrich Hubalek, Damien Lamberton and Peter Laurence
laurencepm(a)yahoo.com
web:
http://www.math.nyu.edu/~laurencehttp://www.mat.uniroma1.it/~laurence
Timetable
Tuesday, July 8, 2008, 16:30,
Freihaus of TU Wien, yellow area, 2nd floor, lecture hall FH 2:
Dr. Pavel V. Shevchenko
CSIRO Mathematical and Information Sciences
"Model risk in claims reserving within Tweedie's compound
Poisson models"
This talk is within the lecture series in
financial and actuarial mathematics.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/vr/20080708.php
-----------------------------------------------------------------------
This time we also announce an event within in the framework of the
"Special Semester on Stochastics with Emphasis on Finance"
http://www.ricam.oeaw.ac.at/specsem/sef/events/
organized by the Johann Radon Institute for Computational and Applied
Mathematics (RICAM) in Linz:
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
PRACTITIONER'S DAY
"Practitioners Meet Academics -
topical problems of relevance to the present situation"
http://www.fam.tuwien.ac.at/research/PractitionersDay.pdf
or http://www.ricam.oeaw.ac.at/specsem/sef/events/kickoff/
Monday, September 8, 2008, 9:00-17:00,
Room: HF 9901, Hochschulfonds building, basement,
University of Linz Campus, Altenberger Strasse 69, Linz.
Some of the leading minds of the finance industry will give
presentations of their work to stimulate discussions between
practitioners and academics on mathematical challenges in this field.
Speakers:
Dilip MADAN, Morgan Stanley New York and Univ. of Maryland, USA
Fabio MERCURIO, Bloomberg New York, USA
John GROSBY, Lloyds, TSB Financial Markets and Glasgow University, UK
Stefan FINK, Raiffeisenlandesbank Oberösterreich, Austria
Peter SCHALLER, Bank-Austria, Austria
Andreas WEINGESSEL, Erste Bank, Austria
Everyone is welcome!
There is no registration fee, but please register under
http://www.ricam.oeaw.ac.at/specsem/sef/registration/registration.php
Organizers:
Wim Schoutens, Katholieke Universiteit Leuven, Belgium
Hansjoerg Albrecher, University of Linz & RICAM, Austria
Karl Kunisch, University of Graz & RICAM, Austria
Hanna Pikkarainen, RICAM, Austria
Wolfgang Runggaldier, University of Padova, Italy
Walter Schachermayer, TU Vienna & RICAM, Austria
-----------------------------------------------------------------------
To whom it may concern:
the talk of Angelika May announced for Tuesday (24.6.2008) is
cancelled due to health reasons (http://www.fam.tuwien.ac.at/events/).
Please find below the announcement of the next talk within the
lecture series in financial and actuarial mathematics.
Sorry for possible cross-postings.
Best regards,
Sandra Trenovatz (FAM-office)
-------- Original Message --------
Subject: [fam-vr] Vortragsreihe in Finanz- und Versicherungsmathematik
Date: Mon, 23 Jun 2008 11:52:25 +0200
To: fam-vr(a)fam.tuwien.ac.at
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgendem Vortrag einladen:
Dienstag, 8. Juli 2008, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Dr. Pavel V. Shevchenko
CSIRO Mathematical and Information Sciences
"Model risk in claims reserving within Tweedie's compound
Poisson models"
http://www.fam.tuwien.ac.at/vr/20080708.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Walter Schachermayer
Univ.-Prof. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 19.06.2008 Andrea Freiberger (TU Wien), Start-Seminar,
"Distribution properties of digital (0,1)-sequences"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30
TU FH, Turm A, 6. Stock, seminar room 107.
Tu, 10.06.2008 Harald Oberhauser (University of Cambridge, UK)
"Isoperimetry and Rough path regularity"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday and Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 27.05.2008 Corina Constantinescu (RICAM Linz)
"Risk procesess with stochastic returns on investments"
Th, 29.05.2008 Umut Cetin (London School of Economics, UK),
Insider trading in credit markets with dynamic
information asymmetry"
(Start-Seminar)
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, 20.05.2008, Elisa Nicolato (University of Aarhus)
"Sato Processes in Default Modelling"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 15.05.2008 Erik Baurdoux (LSE London), Start-Seminar,
"The McKean stochastic game driven by a spectrally
negative Lévy process"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday / Thursday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 22.04.2008 Christian Bayer
"Harmonic analysis of stochastic equations and backward
stochastic differential equations"
Th, 24.04.2008 Mladen Savov (University of Manchester), Start-Seminar,
"Small Time Behaviour of Lévy Processes: Laws of the
Iterated Logarithm"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 17.04.2008, Anders Szepessy (Stockholm University),
"Langevin molecular dynamics derived from Ehrenfest
dynamics"
(Start-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As this Thursday there is no START-seminar, we are pleased to announce
the talk of Tomas Björk within the lecture series of the VGSF this
friday (April 4th): http://www.vgsf.ac.at/activities/seminars.htm
Best regards, Sandra Trenovatz (FAM-office)
-------------------------------------------------------------------
Fr, 2008-04-04, 16:00-17:00
Vienna Institute of Finance (WU-H46),
1190, Heiligenstädter Strasse 46-48,
seminar room 1 (ground floor)
Tomas Björk
(Stockholm School of Economics)
"Time Inconsistent Stochastic Control"
Abstract:
In this talk we will present some recent work on non-classical
stochastic control problems which are "time inconsistent" in the sense
that they cannot be treated by dynamic programming. We present a
game-theoretic approach to such problems and we derive an extended
version of the Hamilton-Jacobi-Bellman equation in terms of a system of
PDEs for the determination of the associated subgame perfect Nash
equilibrium strategy. We also present applications from finance.
--------------------------------------------------------------------
A week later (April 11th) in the same lecture series there will be a
talk of Antoon Pelsser (University of Amsterdam).
For future talks of FAM please have a look at:
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 01.04.2008 Pierre Moussa homepage (CEA/Saclay, France)
"On the representation of Tr exp(A-tB) as
a Laplace transform"
This talk is within the Start-Seminar of Prof. Teichmann,
but this time it is on Tuesday instead of Thursday.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As this week there were no FAM-seminars, we are pleased to announce
the talk of Jaska Cvitanic within the lecture series of the VGSF.
One of the next guests of the VGSF is Tomas Björk, see also:
http://www.vgsf.ac.at/activities/seminars.htm
Best regards, Sandra Trenovatz (FAM-office)
-------------------------------------------------------------------
Fr, 2008-03-14, 15:30-17:00
Vienna Institute of Finance (WU-H46),
1190, Heiligenstädter Strasse 46-48,
seminar room 1 (ground floor)
Jaska Cvitanic
California Institute of Technology
"Optimal Contract in Continuous Time"
Paper 1:
Optimal Contracts in Continuous-Time Models
In this paper we present a unified approach to solving contracting
problems with full information in models driven by Brownian Motion. We
apply the stochastic maximum principle to give necessary and sufficient
conditions for contracts that implement the so-called first-best
solution. The optimal contract is proportional to the difference between
the underlying process controlled by the agent and a stochastic,
state-contingent benchmark. Our methodology covers a number of
frameworks considered in the existing literature. The main finance
applications of this theory are optimal compensation of company
executives and of portfolio managers.
Paper 2:
Optimal contracting with random time of payment and outside options
We consider continuous-time Principal-Agent problems in which the payoff
is delivered at an optimal random time, in cases of moral hazard and/or
adverse selection. The principal can design contracts of a simple form
that induce the agent to ask for the payo® at the time of principal's
choosing. The optimal time of payment depends on the agent's and the
principal's outside options. In examples with CARA utilities, under
specific "stationarity" conditions on the outside options, it is not
optimal for the principal to give the agent the option to exercise the
contract at a random time. However, in general, the optimal payment time
is typically random. Examples of this include the following cases: the
agent can be ¯red, after having been paid a severance payment, and then
replaced by another agent; the agent and the principal have asymmetric
beliefs on the return of the output. In the case of adverse selection,
the agents of lower type exercise early, while the agents of higher type
wait until the end. The methodology we use for the general theory is the
stochastic maximum principle and its link to Forward-Backward Stochastic
Differential Equations and their reflected version, appropriate for
optimal stopping problems.
The papers to be presented can be downloaded from the VGSF website
(http://www.vgsf.ac.at/activities/seminars.htm).
Professor Cvitanic will come to WU-H46 (Building of Vienna Institute of
Finance) on Friday morning. Please contact professor Damir Filipovic
(http://www.vif.ac.at/filipovic/) if you would like to arrange an
individual meeting with him.
Timetable
Th, 06.03.2008, 16:30, Start-Seminar,
Freihaus of TU Wien
green area, 6th floor, seminar room 107.
Josef Teichmann
"How to calculate moments of affine processes easily"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-------------------------------------------------------------
Talk in the lecture series "Mathematisches Kolloquium":
We, 05.03.2008, 16:15,
Faculty for Mathematics, Vienna University,
Nordbergstraße 15, 1090 Wien,
green area, 2nd floor, room C 209
Damir Filipovic (http://www.vif.ac.at/filipovic/)
"Convex risk measures beyond L^\infty
(or, the canonical model space for law-invariant
convex risk measures is L^1)"
For further details (including abstracts) see
http://plone.mat.univie.ac.at/events/2007/tba
-------------------------------------------------------------
Timetable
Tuesday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 04.03.2008 Paul F.X. Müller (JKU Linz)
Compensated Compactnes, Separately convex Functions, and
Interpolatory Estimates between Riesz Transforms and
Haar Projections
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, 26.02.2008 Diana Auerswald (University of Oldenburg)
"Valuation of American Style Options - Extension and
Empirical Tests of a Nonparametric Pricing Algorithm"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 19.02.2008, 16:30, Sem 107
Roman Muraviev (Tel-Aviv University)
"Growth Gap vs. Smoothness for Diffeomorphisms
of the Interval"
Fr, 22.02.2008, 11:30, Sem 107
Yuri Kifer (Hebrew University, Jerusalem)
"Game options, shortfall risk and their binomial
approximations"
Sem 107: Freihaus of TU Wien, green area, 6th floor, seminar room 107.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Mon, 11 Feb 2008 15:11:07 +0100 (CET)
From: bouchard(a)ceremade.dauphine.fr
Subject: European Summer School in Mathematical Finance
Dear all,
please find inclosed the announcement of the European Summer School in
Mathematical Finance which will be organized near to Paris in September
2008.
As already mentioned, many you reaserchers and Phd students will be
supported.
More informations will be available soon on the web page:
http://www.ceremade.dauphine.fr/~bouchard/ESCMF
With best regards,
The organizers: Bruno Bouchard, Monique Jeanblanc, Bernard Lapeyre, Gilles
Page`s, Huye^n Pham, Nizar Touzi
[attachment with same content as the web page removed by admin]
Timetable
Tuesday and Wednesday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 05.02.2008 Sergei Kucherenko (Imperial College London)
"Application of Global Sensitivity Analysis and
Quasi Monte Methods in finance"
We, 06.02.2008 Ales Cerny (Cass Business School, City Univ. London)
"Mean-Variance Hedging and Optimal Investment in Heston's
Model with Correlation"
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, 29.01.2008 Claudia Czado (TU München, Germany)
Pair-copula constructions of multiple dependence
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Mon, 21 Jan 2008 15:48:12 -0000
From: U.Cetin(a)lse.ac.uk
Subject: Risk and Stochastics Day 2008
And here is the missing registration form!
Apologies,
Umut
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20080121T1707.doc
Type: Microsoft Office Document
Size: 48KB
[full quote of previous message removed by admin]
***
---------- Forwarded message ----------
Date: Mon, 21 Jan 2008 15:39:12 -0000
From: U.Cetin(a)lse.ac.uk
Subject: Risk and Stochastics Day 2008
Dear All,
On March 19th 2008, the Risk and Stochastics Group at the London
School of Economics organises the 2nd Risk and Stochastics Day, aiming
to communicate current advances in stochastic methods for measurement
and management of risk in the areas of finance, insurance and their
interface.
The first Risk and Stochastics Day features the following
invited speakers:
- David Hobson (University of Warwick),
- Ragnar Norberg (LSE),
- Nizar Touzi (Ecole Polytechnique),
- Rafael Schmidt (Bank for International Settlements),
- Erik Baurdoux (LSE)
- Shanle Wu (LSE).
They will present results from their research reflecting the
ongoing merger of finance and insurance into a comprehensive concept of
risk management. They will consider especially the problems of risk
measurement and modelling and the design of exotic products based on
risks at the frontier of finance and insurance.
To attend this event, registration is necessary. To register,
please complete the attached form and return it to the Risk and
Stochastics Group (email: n.l.dawkins(a)lse.ac.uk or fax: +44 (0) 20 955
7416). Queries can be directed to the Chair of the organizing
Committee, Umut Cetin (email: u.cetin(a)lse.ac.uk ).
Do not hesitate to forward this message to anyone who might be
interested.
I am looking forward to seeing you there,
Best wishes,
Umut Cetin.
To learn more about the Risk and Stochastics Group at LSE,
please go to our website
<http://www.lse.ac.uk/collections/riskAndStochastics/>
Please access the attached hyperlink for an important electronic communications
disclaimer: http://www.lse.ac.uk/collections/secretariat/legal/disclaimer.htm
Timetable
Mo, 21.01.2008, 18:00, Freihaus Hörsaal FH2
Nicolas Bouleau (École Nationale des Ponts et Chaussées)
"What are the philosophical probabilities?"
Abstract and further reading material:
http://www.fam.tuwien.ac.at/events/?showabstract=20080121
Tu, 22.01.2008, 16:30, Sem 107
Andrey Selivanov
"Pricing of Contingent Claims based on Tail VaR"
Th, 24.01.2008, 16:30, Sem 107, Start-Seminar
Nicolas Bouleau (École Nationale des Ponts et Chaussées)
"On Dirichlet forms generated by the arbitrary functions
principle"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 14.01.2008, 16:15, Seminar room 104, Freihaus, 5th floor, green area
Vortragsreihe: Wissenswertes der Mathematik
Miklos Rasonyi
"Hidden Markov Processes"
Tu, 15.01.2008, 16:30, Seminar room 107, Freihaus, 6th floor, green area
Michel Emery (Université Louis Pasteur, Strasbourg)
"On one-dimensional Brownian motions immersed in a
two-dimensional one"
Th, 17.01.2008, 16:30, Seminar room 107, Freihaus, 6th floor, green area
Start-Seminar,
Ilya Pavlyukevich (Humboldt-Universität, Berlin)
"Exit times of small-noise Lévy-driven diffusions"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Mon, 14 Jan 2008 08:48:28 +0200
From: Stefan Geiss <geiss(a)maths.jyu.fi>
Subject: Workshop on Numerics and Stochastics
First Announcement
---------------------------
Workshop on Numerics and Stochastics
August 25-29, 2008
Helsinki University of Technology
Institute of Mathematics
as part of the
* Special Year in Numerics 2008-2009
* European Science Foundation through the European Scientific Network
Advanced Mathematical Methods for Finance (AMaMeF)
The workshop is devoted to the various connections between Numerics
and Stochastics from the theoretical point of view and from the view point
of applications, for example in finance.
The week before the conference two minicourses take place at the University
of Jyväskylä as part of the 18th Jyväskylä Summer School
* Numerics of Stochastic Processes (Klaus Ritter, Darmstadt)
* Approximation of stochastic dynamics with application to molecular
dynamics, kinetic Monte Carlo methods and financial mathematics
(Anders Szepessy, Stockholm)
-----------------------------------------------------------------------
* Talks: The length of the talks are not yet fixed, but participants
who wish to present a talk should send a preliminary title to the
contact address below.
* Conference fee: there will be no fee, but charges for the conference
dinner.
* http://math.tkk.fi/numericsyear/numstoch/
* Contact: numstoch(a)lists.jyu.fi
* Organizers: Timo Eirola, Dario Gasbarra, Stefan Geiss,
Damien Lamberton, Teemu Pennanen
Der folgende sehr interessante Vortrag von Professor Embrechts wurde bei
der Aussendung am Montag vergessen. Mea culpa, Sandra Trenovatz
------------------------------------------------------------------------
Mittwoch, 9. Jänner 2008, 18:15 Uhr
Festsaal der ÖAW, Dr. Ignaz Seipel-Platz 2, 1010 Wien
im Rahmen der 'Johann Radon Lectures'
(http://www.oeaw.ac.at/shared/news/2008/press_inf_20080103.html)
Paul Embrechts
"Quantitative Risk Management"
Quantitative Risk Management befasst sich mit der Fragestellung der
quantitativen Analyse von Risiken. Aufsichtsrechtliche Gremien sind ein
starker Antrieb für Banken und Versicherungen, diese Quantifizierung
voran zu treiben. Auf Basis dieser Analyse wird Risikokapital berechnet,
um mit hoher Wahrscheinlichkeit unerwartete Marktereignisse abfangen zu
können.
In seinem Vortrag "Quantitative Risk Management" im Rahmen der Johann
Radon Lectures 2007/2008 der Österreichischen Akademie der
Wissenschaften (ÖAW) greift der Mathematiker Paul Embrechts von der ETH
Zürich fünf Themen aus dem Bereich des Quantitative Risk Managements
heraus: Value-at-Risk, Extremalereignisse, Abhängigkeitsmodellierung,
Risikoaggregation sowie Operationelles Risiko. Der Vortrag findet am 9.
Jänner 2008 um 18:15 Uhr im Festsaal der ÖAW, 1010 Wien, Dr. Ignaz
Seipel-Platz 2, statt. Der Eintritt ist frei.
Eine entscheidende Frage für die Praxis ist die Differenzierung zwischen
Finanzrisiken, die sich sinnvoll quantitativ erfassen lassen und
solchen, bei denen ausschließlich eine qualitative Beschreibung Sinn
macht. Neben der quantitativen Messung von Risikozahlen ist auch ihre
Aggregation eine wichtige Aufgabe des Quantitative Risk Managements,
deren Lösung anspruchsvolle Mathematik erfordert. Die fundamentale Rolle
der Mathematik in den Bereichen der Preisbestimmung und Absicherung von
Finanzderivaten ist unbestritten. Die Hauptthese ist, dass auch bei
regulatorischen Fragestellungen aus den Bereichen der Finanz- und
Versicherungsaufsicht die Mathematik nicht weg zu denken ist. Diese wird
Paul Embrechts anhand mehrerer Beispiele versuchen zu belegen.
Paul Embrechts ist Professor für Mathematik an der ETH Zürich und leitet
dort das RiskLab, das in Zusammenarbeit mit der Industrie Modelle für
quantitatives Risikomanagement, insbesondere im Bereich des Finanz- und
Versicherungswesens, entwickelt. Er hat zahlreiche Publikationen zu
Themen der Angewandten Wahrscheinlichkeit, der Versicherungs- und
Finanzmathematik verfasst und ist Mitautor des 1997 im Springer-Verlag
erschienenen Standardwerks "Modelling of Extremal Events for Insurance
and Finance". In seiner Forschungsarbeit widmet er sich aktuell dem
integrierten Risikomanagement, der Verbriefung von Versicherungsrisiken
und der Analyse von Extremwerten.
Moderiert wird die Veranstaltung von Walter Schachermayer (TU Wien,
ÖAW). Am Tag nach dem Vortrag besucht Paul Embrechts im Zuge der vom
Stadtschulrat für Wien organisierten "Junior Academy" das
Rainergymnasium im 5. Wiener Gemeindebezirk. Die "Junior Academy" gibt
Schülerinnen und Schülern die Gelegenheit international führende
Forscher(innen) kennen zu lernen und sich vertiefend mit ihrem
Fachgebiet auseinander zu setzen.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 08.01.2008 Sühan Altay (Middle East Technical University, Istanbul)
"On forward interest rates: via random fields and
nuclear space valued semi-martingales"
Th, 10.01.2008 Mykhaylo Shkolnikov (Stanford University), Start-Seminar,
"Affine matrix-valued diffusions"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
We also refer to a talk in math-space: http://math.space.or.at/
Tu, 10.01.2008, um 19:00 Uhr, math-space
Paul Embrechts (ETH Zürich)
"Holländische Deiche und
Risikokapital für Banken und Versicherungen"
Wie geht man mit Risiken um, rational und effektiv?
Wann wird ein Risiko als tolerierbar eingestuft?
Die klassische Antwort lautet: Wenn die Kosten für seine Minimierung
höher sind als die Kosten, die man bei Eintritt des Risikos zu erwarten hat.
Nicht allein die Flutkatastrophe des Jahres 1953 in Holland, auch
Risiken bei Hedgefonds und die jüngsten Kreditausfälle im
US-Immobilienmarkt, die sogar zur Existenzkrise von europäischen, im
nationalen Geschäft verwurzelten Instituten führten, kommen bei diesem
math.space-Vortrag zur Sprache.
address/map of math-space: http://math.space.or.at/kontakt/
------------------------------------------------------------------------
---------- Forwarded message ----------
Date: Sat, 22 Dec 2007 02:05:37 +0100
From: David Vyncke <david.vyncke(a)ugent.be>
Subject: Second announcement: Actuarial and Financial Mathematics Conference
(Feb 7-8, 2008)
*Actuarial and Financial Mathematics Conference (AFMathConf 2008)*
*"Interplay between Finance and Insurance"*
(Apologies for cross-posting)
Date: February 7-8, 2008
Registration deadline: January 11, 2008.
Location: Royal Flemish Academy of Belgium for Science and the Arts,
Brussels, Belgium
Main speakers: Laura Ballotta, Pauline Barrieu, Nicole Bäuerle, Freddy
Delbaen, Paul Embrechts, Farshid Jamshidian, Thomas Moeller and Antoon
Pelsser.
All Academics and Practitioners are welcomed to participate in this
Actuarial and Financial Mathematics Conference, please register online
at the AFMathConf website http://www.afmathconf.ugent.be
Participation is free. Note that there are a limited number of places
for lunches (10 Euro charge each) as well as for the conference dinner
(30 Euro charge), and this must be requested upon registration.
Participants are invited to be a discussant for one of the contributed
papers. Please indicate your choice(s) on the online registration form.
In January, the discussants will be contacted and the full papers will
be available.
For any further information we refer to the website
http://www.afmathconf.ugent.be
Best regards,
on behalf of Organizing Committee.
Timetable
Mo, 17.12.2007, 18:00-20:30, Zeichensaal 3
(Freihaus, 7th floor, green section)
Eugen Puschkarski (Treasury Division, ÖNB)
"Ex post risk attribution in a value-at-risk framework"
(Austrian chapter meeting of GARP -
Global Association of Risk Professionals)
Tu, 18.12.2007, 10:15, Sem 107
Christina Ziehaus
"Optimal Consumption and Terminal Wealth"
Th, 20.12.2007, 16:30, Sem 107
Christian Bayer, Josef Teichmann, Richard Warnung,
"Implementation of new hypo-elliptic simulated
annealing algorithms"
(Start Seminar)
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, 11.12.2007 Bertram Düring (TU Vienna)
"An inverse problem in option pricing and
kinetic models for wealth distribution"
Th, 13.12.2007 Ansgar Jüngel (TU Vienna), Start-Seminar,
"Entropy and entropy dissipation in nonlinear
diffusion equations"
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, 04.12.2007 Richard Warnung
On the construction of an integrand hiding the drift
of a Brownian motion with drift
Th, 06.12.2007 Florian Leisch, Start-Seminar,
Stochastic Portfolio Theory - How do functionally
generated portfolios perform under real market
conditions?
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday and Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 27.11.2007 Axel Helmert (FJA)
16:30, FH 2 (Freihaus of TU Wien, yellow area, 2nd floor
Vortragsreihe aus Finanz- und Versicherungsmathematik
"Finanzmathematische und Aktuarielle Methoden im Wandel:
Die Internationalisierung der Märkte in der
Lebensversicherung und Altersvorsorge und ihre Auswirkung
auf die mathematische Praxis"
Th, 29.11.2007 Josef Teichmann
16:30, seminar room 107 (Freihaus, green area, 6th floor)
START-seminar
"t.b.a."
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, 20.11.2007
Claudia Ravanelli (Swiss Banking Institute, Zurich)
"Cash Sub-additive Risk Measures and Interest Rate Ambiguity"
Th, 22.11.2007
Christina Niethammer (Universität Konstanz), Start-Seminar,
"Portfolio Optimization and Optimal Martingale Measures
in the Presence of Unbounded Jumps"
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, 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
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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/