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/
by Walter Schachermayer by way of Andreas Schamanek
---------- 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/
by Walter Schachermayer by way of Andreas Schamanek
---------- 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]
***
by Walter Schachermayer by way of Andreas Schamanek
---------- 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/
------------------------------------------------------------------------
by Walter Schachermayer by way of Andreas Schamanek
---------- 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 .
by Walter Schachermayer by way of Andreas Schamanek
---------- 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/
by Walter Schachermayer by way of Andreas Schamanek
---------- 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/
by Walter Schachermayer by way of Andreas Schamanek
---------- 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/ |
| |
+--------------------------------------------------+
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 3 Oct 2007 22:46:08 +0200 (CEST)
From: Prof. Heinz W. Engl <heinz.engl(a)univie.ac.at>
Subject: Radon Lectures (fwd)
dear colleagues,
i enclose information about the forthcoming radon lectures at the austrian
academy of sciences.
best regards
heinz engl
[3 PDF attachments removed by admin, please see
http://www.oeaw.ac.at/shared/news/2007/info_johann_radon_lectures.html ]
---------------------------------------------------------------------------
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
---------------------------------------------------------------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
THIS WEEK / TOMORROW:
Th, 04.10.2007 Josef Teichmann,
"New Classes of OU-processes and applications to
Optimization procedures"
(Start-Seminar)
NEXT WEEK:
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/
Timetable
Mo, 24.09.2007, 15:30:
Michel Verschuere (Electrabel Trading and Portfolio Management)
"Hedging Under Uncertainty: Applications to Carbon Emissions Markets"
Freihaus of TU Wien, green area, 6th floor, seminar room 107
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------------
Workshop of the Wolfgang Pauli Institute:
"Optimal transportation structures, gradient flows
and entropy methods for applied PDE's"
http://www.wpi.ac.at/event_view.php?id_activity=87
We, 26.09.2007, 11.30
Josef Teichmann (TU, Vienna)
Stochastic Differential Equations with Values in Wasserstein Spaces
We, 26.09.2007, 12.15
Walter Schachermayer (TU, Vienna)
Optimal and better transport plans
WPI, Nordbergstrasse 15, 1090 Wien, Seminarroom C206 + C207
-----------------------------------------------------------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 11.09.2007 Martin Raic (University of Ljubljana, Slovenia)
Stein's Method and Large Deviations
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 04.09.2007, 16:30
Thomas Cass (University of Cambridge) homepage
Smoothness of density for solutions to stochastic
differential equations with jumps
Fr, 07.09.2007, 10:00
Zehra Eksi (Middle East Technical University, Ankara)
Comparative Study of Risk Measures
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
______________________________________________________________________
+-----------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| (AMaMeF), September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+-----------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Sponsored by Bank Austria, ÖBFA, ESF, Christian Doppler Society,
Ernst & Young, Insightful
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
Participants:
Close to 200 persons (more than 70 Ph.D. students) registered so far for
the conference. These come from more than 20 countries and four
continents. The list of participants can be found here:
http://www.fam.tuwien.ac.at/events/amamef2007/speaker.php
Registration:
Registration is still possible, details can be found here:
http://www.fam.tuwien.ac.at/events/amamef2007/registration.php
Scientific Program:
Mo, Sep. 17th: Educational workshop
(Speakers: Ernst Eberlein, Dorje C. Brody, Michèle Vanmaele)
Tu, Sep. 18th: Scientific conference
(Speakers: Bernt Øksendal, Chris Rogers, Freddy Delbaen,
Damir Filipovic, Martin Schweizer)
We, Sep. 19th: Scientific conference
(Speakers: Dmitry Kramkov, Mete Soner, Esko Valkeila,
Tomas Björk, Thaleia Zariphopoulou)
Tu, Sep. 20th: Scientific conference
(Speakers: Lukasz Stettner, Christoph Schwab,
Ole E. Barndorff-Nielsen, Ioannis Karatzas, Wolfgang Runggaldier)
Fr, Sep. 21st: Practitioner's day
(Speakers: Marek Musiela, Peter Schaller, Eva Strasser,
Ludger Overbeck)
Sa, Sep. 22nd: Scientific conference (half day)
(Speakers: Damien Lamberton, Bogdan Iftimie, Claudia Klüppelberg,
Giulia Di Nunno)
The detailed program - including contributed talks - can be found here:
http://www.fam.tuwien.ac.at/events/amamef2007/program.php
For abstracts and updates see
http://www.fam.tuwien.ac.at/amamef2007/abstracts.php
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
Organizing Committee:
- Peter Grandits
- Friedrich Hubalek
- Reinhold Kainhofer
- Johannes Leitner
- Walter Schachermayer
- Uwe Schmock
For registration details, conference fees, etc., please visit the
conference web site at <http://www.fam.tuwien.ac.at/amamef2007/>,
which will be updated continuously. We are looking forward to welcome
you in Vienna!
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 24.07.2007
Andreas H. Hamel
University Halle-Wittenberg, on leave
ORFE, Princeton University
"A duality theory for set-valued convex functions with
applications to set-valued convex risk measures"
Abstract:
Duality for extended real-valued convex functions is a well-studied,
even classical subject based on works of Fenchel, Moreau, Rockafellar,
among many others. A corresponding satisfying theory for functions
mapping into the power set of a partially ordered locally convex space
is still missing. Such a theory seems to be very desirable since it has
already been observed e.g. by Luc in 1989 that the dual of a convex
vector optimization problem 'is set-valued in nature'. Moreover, the
concept of convex set-valued risk measures has been defined recently in
financial mathematics which asks for a corresponding dual representation
theory.
We shall present a duality concept that is based on a new notion of
affine minorants for set-valued functions and show that almost every
concept (e.g. properness, sublinearity, conjugates, inf-convolution) and
result (e.g. biconjugation and Fenchel-Rockafellar duality theorems)
known in the scalar convex analysis can be established within the new
set-valued framework.
A special feature of the methodology is that proofs do not rely on the
corresponding scalar theory - as in almost every previous duality theory
for vector optimization problems. Finally, we shall show the theory at
work when applied to set-valued convex risk measures in order to give
dual representation results.
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 26.06.2007 Peter Brandner (BM für Finanzen),
14:00, Seminar Ökonomie der Pensionsfonds,
t.b.a.
Tu, 26.06.2007 Alain Desrosieres homepage (INSEE, France),
16:30, Start-Seminar,
The history of statistics and probability theory as a
genre: styles of writing and social uses
Th, 28.06.2007 Josef Teichmann,
16:30, Start-Seminar,
An invitation to random Schrödinger operators V
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week
Tu, 19.06.2007 Franz X. Hof (ECON, TU Wien),
14:00, Sem 107,
"The Gains from Pension Reform",
Seminar Ökonomie der Pensionsfonds
Tu, 19.06.2007 Peter Imkeller (Humboldt University at Berlin, Germany),
16:30, FH 2,
"Optimal cross hedging of insurance derivatives",
Vortragsreihe aus Finanz- und Versicherungsmathematik
Th, 21.06.2007 Gerald Teschl,
16:30, Sem107,
"An invitation to random Schrödinger operators IV",
Start-Seminar
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 12.06.2007, 14:00
Robert Holzmann (The World Bank, Washington, USA)
"Multi-pillar Pension Reforms:
Experience, Lessons, and Challenges"
(Seminar Ökonomie der Pensionsfonds)
Tu, 12.06.2007, 16:30
Pavel Gapeev (WIAS Berlin, Germany)
"Constructing jump analogues of diffusions
and application to finance"
Th, 14.06.2007, 16:30
Josef Teichmann,
"An invitation to random Schrödinger operators III"
(START-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/