Timetable
Mo, 04.06.2007, 9:30, HS 14:
Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
"Hedging defaultable claims: single default"
Mo, 04.06.2007, 11:15, HS 16:
Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
"CDS prices in a general case - case of several
defaults - hedging strategies"
Tu, 05.06.2007, 14:00, Sem107, Seminar Ökonomie der Pensionsfonds:
Johannes Berger (IHS Wien)
Ten myths about social security reform (J. Stiglitz)
Tu, 05.06.2007, 16:30, Sem107:
Juan Pablo Ortega (Université de Franche-Comté, France)
"Stochastic Hamiltonian dynamical systems"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As next week there are two talks on monday, the newsletter is send out
earlier then usual. Best regards, Sandra Trenovatz.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 29.05.2007 Pavel Shevchenko homepage (CSIRO, Sydney, Australia)
Modelling Operational Risk
Th, 31.05.2007 Josef Teichmann, Start-Seminar,
An invitation to random Schrödinger operators II
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 22.05.2007 Norbert Kirchler & René Knapp (TU Wien, Uniqa),
14:00, Sem 107, Seminar Ökonomie der Pensionsfonds,
The cold war against welfare
Th, 24.05.2007 Sonja Konwicsny (Quelle Lebensversicherung AG),
14:00, FH HS 3,
Solvency II
Th, 24.05.2007 Josef Teichmann and/or Gerald Teschl,
16:30, Sem 107, Start-Seminar,
An invitation to random Schrödinger operators
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, 15.05.2007, 14:00, Seminar Ökonomie der Pensionsfonds,
Thomas Url (WIFO)
Makroökonomische Rückwirkungen des Aufbaus
kapitalgedeckter Altersvorsorgesysteme
Tu, 15.05.2007, 16:30
Fred Espen Benth (University of Oslo, Norway)
Options and the stochastic volatility model of
Barndorff-Nielsen and Shephard
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week:
Tu, 08.05.2007 14:00, Seminar Ökonomie der Pensionsfonds,
Rainer Münz (Erste Bank)
Pensionskassen in Österreich - Voraussetzungen,
Struktur, Begünstigte, verwaltetes Kapital
We, 09.05.2007 13:30, HS 7
Stefan Tappe (University of Munich, Germany)
Existence of Levy term structure models and invariance
problems
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
This week there are no talks on tuesday and thursday at 16:30.
As alternative you can visit lectures of the Wolfgang Pauli Institut:
Introductory minicourses on
"Optimal Transportation, gradient flows and entropy methods"
http://www.wpi.ac.at/event_view.php?id_activity=82
Timetable
Tuesday and Thursday,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
seminars within one week
Tu, 24.04.2007, 14:00
Ulrike Loy
t.b.a.
Talk within the Seminar Ökonomie der Pensionsfonds,
Tu, 24.04.2007, 16:30
Pavel Grigoriev (University of Leicester, UK)
Risk measures: law-invariance and time consistency
Th, 26.04.2007, 16:30
Josef Teichmann
A heat kernel approach to Interest Rate Models (Joint work by Jirô
Akahori, Thomas Steiner, Josef Teichmann and Takahiro Tsuchiya)
Talk within the START-seminar,
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Today/Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 19.04.2007 Ilya Pavlyukevich (Humboldt-University Berlin)
"Dynamical systems perturbed by heavy-tailed Lévy noise"
in the framework of the 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, 17.04.2007 Wolfgang Woess (TU Graz)
Random configurations driven by random walks
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Sat, 07 Apr 2007 20:22:57 +0300
From: RMS <rms(a)istkon.org>
Subject: RISK MEASURES AND SOLVENCY
*Call for Papers*
International Actuarial Meeting
*RISK MEASURES AND SOLVENCY*
*At the occasion of the "Fifth Statistical Congress of Turkey"*
*20-24 May 2007*
*Antalya, Turkey*
The two statistical scientific and professional non-governmental
organizations in Turkey, namely The Turkish Statistical Association
and The Society of Statisticians are organizing this year for the
fifth time their joint bi-annual Statistical Congress. The date of the
Fifth Statistical Congress (ISTKON5) is fixed at May, 20-24, 2007. The
event will take place in Antalya, Turkey, one the most beautiful
cities of the Mediterranean region.
These Statistical Congresses are the major meetings for the
statistical academic and professional circles of Turkey, and a large
number of academic and professional people fro the country is expected
to participate in ISTKON5.
At the occasion of ISTKON5, the two non-governmental organizations,
with the support of Katholieke Universiteit Leuven, planned to
organize simultaneously an international actuarial meeting on Risk
Measures and Solvency (RMS). The RMS Meeting will be embedded in
ISTKON5 so they will share the same venue, utilize common logistic
supports and host people participating to each one of them.
RMS Meeting wil welcome all the interested people with or without
paper sumbissions. Papers with the contents of risk measures, solvency
issues, actuarial risk theory and its applications, relevant
statistical methodology, data analyses and case studies are requested.
Contact persons for the RMS Meeting are Jan Dhaene (
Jan.Dhaeene(a)econ.kuleuven.be <mailto:Jan.Dhaeene@econ.kuleuven.be> )
for scientific matters and Omer Gebizlioglu ( gebizli(a)ankara.edu.tr
<mailto:gebizli@ankara.edu.tr> ) for the organization. The RMS Meeting
web site address is www.istkon.org/rms <http://www.istkon.org/rms> .
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 10.04.2007
Christina Ziehaus (Universität Wien)
Variable Selection in the Context of linear Regression
Th, 12.04.2007
Michael Kupper (ETH Zürich, Switzerland)
Variational Risk Measures on Orlicz Spaces
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday and Thursday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 20.03.2007 Jiro Akahori (Ritsumeikan University, Japan)
Antisymmetric Malliavin calculus and its applications
Th, 22.03.2007 Martin Keller-Ressel, Thomas Steiner,
Yield Curve Shapes and the Asymptotic Short Rate
Distribution in Affine One-Factor Models
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.
seminars within one week
Tu, 13.03.2007 Thorsten Schmidt homepage (University of Leipzig)
The Term Structure of CDO Losses
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, 6 Mar 2007 11:19:50 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] REMINDER: RICAM Group Seminar - Financial Mathematics:
Prof. Nicole Bäuerle - March 6
GROUP: Financial Mathematics
Prof. Nicole Bäuerle
University of Karlsruhe
Tuesday March 6, 16:00, HF136
Title: Dependence modeling for multivariate processes with applications in
finance and insurance
Abstract: In the first part of the talk we discuss different methods for
constructing multivariate counting processes and investigate their properties.
As interpretation of these counting processes we have claim arrivals of
different business lines of an insurance company in mind. Some asymptotic
results of Cramer type for ruin probabilities are also shown.
In the second part of the talk we investigate the class of multivariate Levy
processes and characterize dependence properties by means of the Levy measure
and the Levy copula. Comparison results for Levy processes are also given. These
findings are applied to some financial and actuarial models.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
[attachment with same text content removed by admin]
---------- Forwarded message ----------
Date: Mon, 5 Mar 2007 22:06:40 -0000
From: "Grigoriev, Dr P." <pg82(a)leicester.ac.uk>
Subject: lectureship in math.finance or math.biology
2 lectureships are opened at the University of Leicester.
One position in Financial Mathematics or Mathematical Biology and
another in Pure Mathematics
These "new blood lecturer" positions assume reduced level of teaching
for the first four years (no teaching in the first year). More
information about the new blood scheme and the application procedures
can be found at
http://www.le.ac.uk/newblood/mathematics.html
Salary will be on the Lecturer grade 8 scale (from August 2007 £32,796
to £40,335 and exceptionally to £45,397). The expected starting date
is September 1 2007.
Closing date for applications is March 20th 2007. Interviews are
expected in April. The expected starting date is 1st September 2007.
-------------------
The Department of Mathematics has two New Blood positions, one in Pure
Mathematics and one in Applied Mathematics. New Blood appointments
carry reduced teaching and administrative loads and start up funding.
In addition to these positions there is the possibility of two further
appointments, one in Pure Mathematics and one in Applied Mathematics.
Applied Mathematics
Applied Mathematics at Leicester has an international reputation for
computational modelling and algorithm development and in applied
dynamics, from molecular dynamics to modelling of complex materials,
chemical and physical kinetics, stochastic models with physical and
financial applications, biological mathematics and approximation
theory.
The Applied Maths group has a growing interest in the areas of
mathematical biology and financial and actuarial mathematics, and is
seeking to appoint excellent scholars in these areas.
The Applied Mathematics Group achieved a grade 5 in the last Research
Assessment Exercise. It works within a nexus of strong research groups
at the University of Leicester, gathered together at the University's
Centre for Mathematical Modelling (MMC). The MMC supports a number of
interdisciplinary research projects linking mathematics with groups in
physics, engineering and other sciences. National and international
seminars and workshops are regularly run by the Group, many of these
linking to other areas of the sciences. The MMC operates a 160 Opteron
CPU computer cluster. The Group has a strong track record of
developing excellent young applied mathematicians. The Group is
currently developing stronger research links with the grade 5
departments of Physics and Astronomy, Engineering, Biology, and
Economics, and the grade 5* Department of Genetics.
Pure Mathematics
Leicester has a strong, established research group in Pure Mathematics
covering a range of algebraic, topological and geometric topics, and
with a particular emphasis on the relationships between these areas
and other parts of mathematics. The group currently has, or has
recently enjoyed, funding for specific projects from many sources
including the EU, EPSRC, Leverhulme Trust, Nuffield Foundation,
British Council, Royal Society and the LMS, and is frequently host or
organiser of international meetings and workshops.
In response to its grade 5 RAE success in 2001, the group has
continued to grow with recent and forthcoming appointments.
Closing date for applications is March 20th 2007. Salary will be on
the Lecturer grade 8 scale (from August 2007 £32,796 to £40,335 and
exceptionally to £45,397). The expected starting date is September 1
2007.
For more information contact Professor J. Levesley (Applied)
(jl1(a)mcs.le.ac.uk, tel +44 116 2523897), Professor J. Hunton (Pure)
(jrh7(a)mcs.le.ac.uk, +44 116 2525354) or go to the website
http://www.le.ac.uk/newblood/mathematics.html
Thursday (!), 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 08.03.2007 Antonis Papapantoleon (University of Freiburg, Germany)
Semimartingales and Lévy processes in finance: duality
and valuation
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Tuesday, 27.02.2007
15:00
Gerhard Sorger (University of Vienna)
"Macro-economic factors in modelling yield curve dynamics"
16:30
Pawel Polak (Warsaw University, Poland)
"Immunization of the insurance portfolio
under random interest rates"
Both talks are located in seminar room 107:
Freihaus of TU Wien, green area, 6th floor.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Fri, 16 Feb 2007 10:29:36 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26
Prof. Wolfgang Runggaldier
University of Padua
Monday, March 26, 17:15, HS 6
Title: Contagious default: Application of methods of Statistical
Mechanics in Finance.
Abstract: Firms may default and thus not be able to honor their
financial obligations. Default is in general contagious (infectious).
Its study is therefore important for an institution holding a credit
portfolio of a large number of defaultable firms.
Interacting particle methods turn out to be a convenient tool to deal
with these phenomena. We shall study limit distributions when the
number of firms goes to infinity as well as their approximations when
the number of firms is finite but large. This allows to explain
various phenomena like default clustering and, in general, it allows
to view a credit crisis as a microeconomic phenomenon driven by
endogenous financial indicators.
(Based on joint work with P. Dai Pra, E. Sartori, M. Tolotti).
Annette Weihs
Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
[PDF attachment with same though less text content removed by admin]
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 22.02.2007
Nikolaos Georgiopoulos (Vienna Graduate School of Finance)
"Real Options Valuation under expected utility maximization"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 13 Feb 2007 12:42:53 -0000
From: T.Rheinlander(a)lse.ac.uk
Research Assistant
Salary: £23,515 to £26,064 pa inc. 2-year fixed term position
Applications are invited for a research position funded by the
Engineering and Physical Sciences Research Council (EPSRC) at the
London School of Economics. You will work on the project .Valuation
and hedging of insurance derivatives. with Dr Thorsten Rheinlander.
Candidates should have a PhD (or expect to submit a thesis for PhD
before April 2007), preferably in Statistics or a related field.
Alternatively, a promising candidate for our PhD program would also be
considered.
For a full application pack, please see the instructions on how to
apply, job description, the person specification, and the personal
details form.
The closing date for applications is: 19 February 2007
Details at http://www.lse.ac.uk/collections/recruitment/jobsAtLSE/CurrentVacancies.htm…
Wednesday, 14.02.2007,
11:00, seminar room 107 (different day and time!)
Catherine Rainer (Université de Brest, France)
Stochastic differential games with asymmetric information
We investigate a two-player zero-sum stochastic differential game in
which the players have an asymmetric information on the random payoff.
We prove that the game has a value and characterize this value in terms
of dual solutions of some second order Hamilton-Jacobi equation.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
seminars within one week
Tu, 06.02.2007 Takahiro Tsuchiya (Ritsumeikan University, Japan)
What is the natural scale for a Lévy process in
modelling term structure of interest rates?
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Betreff: Weltweite "5-min.-Aktion" zum Klimawandel.
Alles Ausschalten am 1.Februar 2007 von 19h55 bis 20h00
Am 1. Feb 2007: können Sie an der weltweit größten Bewegung gegen den
Klimawechsel teilnehmen. Verschiedene Naturschutz-Organisationen senden
eine Aufforderung an alle BewohnerInnen unseres Planten, die 5
"Schweigeminuten": jede(r) soll Licht, Strom und sonstiges ausschalten,
zwischen 19h55 und 20h00. Fünf Minuten, nicht nur um Energie zu sparen,
sondern besonders, um die Bevölkerung, die Medien und PolitikerInnen auf
die tägliche Energieverschwendung aufmerksam zu machen. Ein Akt, der nur
5 Minuten dauert, der nichts kostet, der aber Regierungen zeigt, dass
die Klimakatastrophe ein schwerwiegendes Thema der Weltpolitik sein
sollte.
Warum dieses Datum?
Am ersten Februar 2007 veröffentlicht die UNO die neuesten
Erkenntnisse zum Thema Klimawechsel!
by Walter Schachermayer by way of Andreas Schamanek
[This event has already been announced through FAM-news on November
22, 2006. The announcement now includes a preliminary programme.]
---------- Forwarded message ----------
Date: Wed, 24 Jan 2007 17:23:42 -0000
From: P.M.Barrieu(a)lse.ac.uk
Subject: Risk and Stochastics Day 2007
Dear All,
On March 19th 2007, the Risk and Stochastics Group at the London
School of Economics organises the Risk and Stochastics Day 2007, the
first in a series of annual events aiming to communicate current
advances in stochastic methods for measurement and management of risk in
the areas of insurance, finance, and their interface.
The first Risk and Stochastics Day features the following
invited speakers:
- Hans Foellmer (Humboldt University, Berlin),
- Stewart Hodges (University of Warwick),
- Monique Jeanblanc (University of Evry),
- Mogens Steffensen (University of Copenhagen),
- Angelos Dassios (LSE)
- Adrian Gfeller (LSE).
They will present results from their research reflecting the
ongoing merger of insurance and finance 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.
A preliminary programme is now available (see attachment).
Further updates on the conference programme can be found on the Risk and
Stochastics webpage
<http://www.lse.ac.uk/collections/riskAndStochastics/events.htm>.
To attend this event, registration is necessary. To register,
please complete the attached form and return it to the Risk and
Stochastics Group (email: t.w.hewlett(a)lse.ac.uk or fax: +44 (0) 20 955
7416). Queries can be directed to the Chair of the organizing
Committee, Pauline Barrieu (email: p.m.barrieu(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,
Pauline Barrieu.
To learn about the Risk and Stochastics Group at LSE, please go
to our website <http://www.lse.ac.uk/collections/riskAndStochastics/>
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20070125T2029.pdf
Type: PDF document, version 1.4
Size: 24KB
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 23 Jan 2007 15:28:57 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM Group Seminar - Financial Mathematics:
Prof. Nicole Bäuerle - March 6
GROUP: Financial Mathematics
Prof. Nicole Bäuerle
University of Karlsruhe
Tuesday March 6, 16:00, HF136
Title: Dependence modeling for multivariate processes with applications in
finance and insurance
Abstract: In the first part of the talk we discuss different methods for
constructing multivariate counting processes and investigate their
properties. As interpretation of these counting processes we have claim
arrivals of different business lines of an insurance company in mind. Some
asymptotic results of Cramer type for ruin probabilities are also shown.
In the second part of the talk we investigate the class of multivariate Levy
processes and characterize dependence properties by means of the Levy
measure and the Levy copula. Comparison results for Levy processes are also
given. These findings are applied to some financial and actuarial models.
Annette Weihs
Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
[PDF attachment with same text content removed by admin]
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 23.01.2007 Maria Siopacha
Taylor Expansions of Option Prices
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, 19.09.2006 Tom A. Ashu (University of Kaiserslautern, Germany)
Asset Liability Management for Pension funds using
Conditional Value at Risk constraints
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, 10 Jan 2007 18:05:17 +0100 (CET)
From: Prof. Heinz W. Engl <heinz.engl(a)jku.at>
Subject: PostDoc Position at RICAM (Linz, Austria)
Postdoc Position at the
Inverse Problems Group
of the
Johann Radon Institute for Computational and Applied Mathematics
(RICAM),
Austrian Academy of Sciences, Linz, Austria
The "Inverse Problems Group", led by Prof.Heinz W. Engl, is searching
for a PostDoc with a strong background in inverse problems or related
fields. The research focus will be adjusted according to the interests
of the successful candidate. Cooperations with other groups at RICAM,
e.g., Optimizaion and Control, Mathematical Finance, Computational
Methods for Direct Field Problems, Mathematical Imaging are strongly
encouraged.
A doctorate in mathematics or a closely related field is required. The
working language is English. The initial contract can be for up to
three years, a renewal for three more years is possible depending on
achievements.
RICAM is a research institute which went into operation on January 1,
2003, and currently has about 60 scientific employees (from 15
countries) in seven areas: Computational Methods for Direct Field
Problems, Inverse Problems, Optimization and Optimal Control, Symbolic
Computing, Analysis of Partial Differential Equations, Mathematical
Finance, Mathematical Imaging. The inverse problems group has 19
scientific members.
The institute is housed on the campus of the Johannes Kepler
University in Linz, a town of about 240.000 on the Danube, very close
to the Austrian Alps, and half-way between Vienna and Salzburg.
Further information is available under: http://www.ricam.oeaw.ac.at
Applications with personal and scientific data, copies of relevant
documents and a statement about scientific interests and achievements
should be sent, prefarably by email, to heinz.engl(a)oeaw.ac.at
Postal address:
Prof. Dr. Heinz W. Engl
RICAM
Altenbergerstrasse 69
A-4040 Linz, Austria
The Austrian Academy of Sciences is an equal opportunity employer.
---------------------------------------------------------------------------
Prof.Dr.Heinz W. Engl E-Mail: heinz.engl(a)jku.at
Institut fuer Industriemathematik secretary: doris.nikolaus(a)jku.at
Johannes-Kepler-Universitaet Phone:+43-(0)732-2468 9219
Altenbergerstrasse 69 secretary: +43-(0)732-2468 9220
A-4040 Linz Fax:+43-(0)732-2468 8855
Oesterreich / Austria
World Wide Web: http://www.indmath.uni-linz.ac.at/
and
Johann Radon Institute for Computational and Applied Mathematics (RICAM),
Austrian Academy of Sciences; http://www.ricam.oeaw.ac.at
EMail: heinz.engl(a)oeaw.ac.at
Mobile Phone: +43-(0)664-5209029 Mobile Fax: +43-(0)664-5274338
---------------------------------------------------------------------------
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 8 Jan 2007 13:43:41 -0500
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: reminder - POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Dear Colleagues
Just a reminder about our open postdoctoral position in Financial
Mathematics.
Best regards, Matheus.
---------- Forwarded message ----------
MCMASTER UNIVERSITY - POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Applications are invited for a postdoctoral fellowship position in
financial mathematics in the Department of Mathematics & Statistics.
This fellowship provides an opportunity to spend up to two years engaged
in research, with a limited amount of teaching, and is particularly
suitable for a talented young mathematician who has recently completed
the Ph.D. degree.
McMaster University is located 65 km from downtown Toronto, the
financial heartland of Canada. The Department of Mathematics and
Statistics is home to PhiMAC, the Financial Mathematics Lab at McMaster,
a group of faculty, postdoctoral fellows and graduate students working
in financial mathematics (please see http://www.math.mcmaster.ca/
phimac/) for more information. The appointee will be expected to
participate in PhiMAC seminars and meetings.
The Fellowship is open to candidates of any nationality and selection
will be based upon the candidate's research potential. McMaster is
committed to Employment Equity and encourages applications from all
qualified candidates, including aboriginal peoples, persons with
disabilities, members of visible minorities and women.
Starting July 1, 2007 or thereafter, the stipend will be CAD 44,000 per
annum plus a CAD 2,000 grant per annum for research expenses.
Candidates are required to apply for these fellowships by January
15, 2007. Applicants should provide
3 Reference Letters
1 Cover Letter
1 Curriculum Vitae
1 Publication List
1 Research Statement
1 Teaching Statement
One of the reference letters should report on the candidate's
teaching abilities. Please send the application directly to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Sat, 30 Dec 2006 17:52:35 +0000 (GMT)
From: Sam Howison <howison(a)maths.ox.ac.uk>
Subject: postdoc fellowships at Oxford
Dear Colleague
I am pleased to announce that we have two Nomura Research Fellowships
available in Oxford, starting in October 2007 (or an earlier date by
mutual agreement). The advretisement is at
http://www.maths.ox.ac.uk/notices/vacancies/institute/nomura2.shtml
and I would be most grateful if you would draw this opportunity to the
attention of any suitable candidates. This is an opportunity to join
one of Europe's leading Finance groups, with excellent academic and
industry connections, and we aim to attract exceptional applications;
candidates should have a PhD (or expect to have one soon).
With best wishes for 2007!
Sam Howison
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 02.01.2007 Fabrice Baudoin (Université Paul Sabatier, Toulouse)
Chen series and Atiyah-Singer theorem
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Fri, 15 Dec 2006 15:58:53 -0500
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
MCMASTER UNIVERSITY - POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Applications are invited for a postdoctoral fellowship position in
financial mathematics in the Department of Mathematics & Statistics.
This fellowship provides an opportunity to spend up to two years
engaged in research, with a limited amount of teaching, and is
particularly suitable for a talented young mathematician who has
recently completed the Ph.D. degree.
McMaster University is located 65 km from downtown Toronto, the
financial heartland of Canada. The Department of Mathematics and
Statistics is home to PhiMAC, the Financial Mathematics Lab at
McMaster, a group of faculty, postdoctoral fellows and graduate
students working in financial mathematics (please see
http://www.math.mcmaster.ca/phimac/ ) for more information. The
appointee will be expected to participate in PhiMAC seminars and
meetings.
The Fellowship is open to candidates of any nationality and selection
will be based upon the candidate's research potential. McMaster is
committed to Employment Equity and encourages applications from all
qualified candidates, including aboriginal peoples, persons with
disabilities, members of visible minorities and women.
Starting July 1, 2007 or thereafter, the stipend will be CAD 44,000
per annum plus a CAD 2,000 grant per annum for research expenses.
Candidates are required to apply for these fellowships by January 15,
2007. Applicants should provide
3 Reference Letters
1 Cover Letter
1 Curriculum Vitae
1 Publication List
1 Research Statement
1 Teaching Statement
One of the reference letters should report on the candidate's
teaching abilities. Please send the application directly to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Fri, 15 Dec 2006 09:13:55 -0000
From: M.Zervos(a)lse.ac.uk
Subject: Lectureship in Financial Mathematics
Dear Colleagues,
Please bring the following job oportunity at the London School of
Economics to the attention of people who might be interested. Many
thanks foryour consideration.
Best regards, Mihail Zervos.
Lectureship in Mathematics
This new post is part of an exciting strategic initiative by the
School to expand the research and teaching activities of the
Mathematics Department in the area of financial mathematics.
The successful candidate will maintain an active programme of research
and will play a significant role in establishing a new MSc programme
in the area of financial mathematics. The appointee will also
contribute to the general work of the department, including the
teaching of a range of mathematics courses.
Candidates should have an established track record of research at a
level of international excellence in some area of financial
mathematics. Ideally, the post will commence on or before 1 September
2007.
Further information can be found at: http://www.maths.lse.ac.uk/lectureship.html
<http://www.http://www.maths.lse.ac.uk/lectureship.html>
Closing date for the receipt of applications is 2 February 2007.
Timetable
Tuesday & Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 12.12.2006 Martin Keller-Ressel, Michael Kupper
"Equilibrium Pricing"
Th, 14.12.2006 Thomas Wenger
(Westfäische Wilhelms-Universität Münster,
at the moment: consultant)
"Perturbative methods in algebra and finance:
are there any relations?"
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, 06 Dec 2006 17:01:23 +0100
From: Paul Embrechts <embrecht(a)math.ethz.ch>
Subject: Post Doc positions
Dear Colleagues,
Together with the University of Aarhus, RiskLab at the Department of Mathema-
tics of the ETH Zurich is looking for candidates for two 2-year Post Doc
positions. The unique aspect of these positions is the expected intensive col-
laboration between ETH (Paul Embrechts) and Aarhus (Soeren Asmussen and Bent
Jesper Christensen) as detailed in the attached document. Please communicate
these positions to potentially interested candidates.
Thanks and kind regards,
Paul Embrechts.
[attachment removed and saved to below URL by admin]
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Type: PDF document, version 1.4
Size: 80570 bytes
--
Prof. Dr. Paul Embrechts phone +41 44 632 3419
Department of Mathematics Fax +41 44 632 1523
ETH Zurich email embrechts(a)math.ethz.ch
CH - 8092 Zurich http://www.math.ethz.ch/~embrechts
Switzerland Secretary: Mrs Gabriele Baltes
+41 44 632 3400
baltes(a)math.ethz.ch
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 07.12.2006 Tomas Björk (School of Economics, Stockholm)
Optimals Investment under Partial Information
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
<quote>
Sehr geehrte Damen und Herren!
In der Anlage an diese Mail befinden sich die Ausschreibungstexte für
den Förderungspreis und die Studienpreise der ÖMG. Diese
Ausschreibungen werden wie üblich im nächsten IMN-Heft veröffentlicht.
Ich ersuche die Landesvorsitzenden wie bisher, diese Ausschreibungen
an alle Habilitierten im Bereich der Mathematikinstitute Österreichs
ehebaldigst auszusenden. (...)
Mit besten Grüßen
Robert Tichy
------------------------------
Institut für Analysis und Computational Number Theory (Math A)
Technische Universität Graz
Steyrergasse 30 - A-8010
</quote>
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20061129T1739.pdf
Type: PDF document, version 1.3
Size: 23413
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgendem Vortrag einladen:
Dienstag, 28. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Prof. Mark Davis
Department of Mathematics, Imperial College London
"Dynamic models for portfolio credit risk"
http://www.fam.tuwien.ac.at/vr/20061128.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 22 Nov 2006 15:47:47 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] REMINDER: RICAM Group Seminar - Financial Mathematics: Dr.
Stefan Kassberger- Nov. 23, 11:00
GROUP: Financial Mathematics
Dr. Stefan Kassberger
University of Ulm and Wharton School, University of Pennsylvania
Thursday, November 23, 11:00, HF136
Title: Efficient calibration of time-changed Lévy models to forward implied
volatility surfaces
Abstract: Time-changed Lévy models are capable of accurately calibrating
implied volatilities of plain vanilla options across strikes and maturities
at a fixed point in time. However, the quality of a pricing model is not
only determined by its static fitting capabilities, but also by its dynamic
properties, in particular if it is to be applied to the pricing of exotic
derivatives. In this paper, we investigate the dynamic properties of a
popular time-changed Lévy model by first calibrating it to a set of S&P 500
index options and then studying the forward implied volatilities it gives
rise to.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
[attachment with same text content removed by admin]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 22 Nov 2006 15:13:26 -0000
From: P.M.Barrieu(a)lse.ac.uk
Subject: Risk and Stochastics Day 2007
Dear All,
On March 19th 2007, the Risk and Stochastics Group at the London
School of Economics organises the Risk and Stochastics Day 2007, the
first in a series of annual events aiming to communicate current
advances in stochastic methods for measurement and management of risk in
the areas of insurance, finance, and their interface.
The first Risk and Stochastics Day features the following
invited speakers:
- Hans Foellmer (Humboldt University, Berlin),
- Stewart Hodges (University of Warwick),
- Monique Jeanblanc (University of Evry),
- Mogens Steffensen (University of Copenhagen),
- Angelos Dassios (LSE)
- Adrian Gfeller (LSE).
They will present results from their research reflecting the
ongoing merger of insurance and finance 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.
Further updates on the conference programme can be found on the
Risk and Stochastics webpage
<http://www.lse.ac.uk/collections/riskAndStochastics/events.htm>.
To attend this event, registration is necessary. To register,
please complete the attached form and return it to the Risk and
Stochastics Group (email: t.w.hewlett(a)lse.ac.uk or fax: +44 (0) 20 955
7416). Queries can be directed to the Chair of the organizing
Committee, Pauline Barrieu (email: p.m.barrieu(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,
Pauline Barrieu.
To learn about the Risk and Stochastics Group at LSE, please go
to our website <http://www.lse.ac.uk/collections/riskAndStochastics/>
[attachment removed by admin -- it's available at
http://www.lse.ac.uk/collections/riskAndStochastics/RS_Day_Registration_For… ]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 21 Nov 2006 15:54:18 -0600
From: Summer School on Dynamical Systems and Number Theory
<dsnt-school(a)finanz.math.tugraz.at>
Reply-To: dsnt-school(a)finanz.math.tu-graz.ac.at
Subject: [Dsnt-school-info] Summer School on Dynamical Systems and Number Theory
========================= PLEASE CIRCULATE ============================
Dear Colleague!
We would like to announce that a
Summer School on Dynamical Systems and Number Theory
http://www.math.tugraz.at/DSNT/
will be held at the Technical University of Graz (Austria) from July 9
to July 13, 2007. This summer school is supported by the Autrian
Science Foundation (FWF) and is part of the National Research Network
"Analytic Combinatorics and Probabilistic Number Theory".
The summer school is designed for PhD-students and young Post-Docs
with some background in ergodic theory and number theory. We kindly
ask you to distribute this announcement among young mathematicians
that are interested in these topics.
In particular, the program provides four courses on recent
developments in the interplay between dynamical systems and number
theory:
Vitaly Bergelson:
Ramsey Theory, Uniform Distribution, and Ergodic Theory
Manfred Einsiedler:
Dynamics on Locally Homogeneous Spaces
Douglas Lind:
Dynamics, Algebra, and Number Theory
Thomas Ward:
Dynamical Properties of Commuting Automorphisms
Costs for accommodation (hotel including breakfest) will be covered
for a limited number of participants. We cannot give any support for
travel expenses.
Details about the application process are available at the homepage of
the summer school at
http://www.math.tugraz.at/DSNT/
For further questions please contact one of the organizers or send an
email to
dsnt-school(a)finanz.math.tugraz.at
Deadlines:
* April 30, 2007: Application for support
* May 15, 2007 : Decision about support
* June 15, 2007 : Application for participation (without support)
Organizing Committee:
* Guy Barat, Technische Universitaet Graz
* Mathias Beiglboeck, Technische Universitaet Wien
* Gerhard Dorfer, Technische Universitaet Wien
* Peter Grabner, Technische Universitaet Graz
* Klaus Schmidt, Universitaet Wien
* Joerg Thuswaldner, Universitaet Leoben
* Reinhard Winkler, Technische Universitaet Wien
Contact:
dsnt-school(a)finanz.math.tugraz.at
Thank you very much for circulating this announcement.
Yours Sincerely,
the organizers
============================PLEASE CIRCULATE=================================
_______________________________________________
Dsnt-school-info mailing list
Dsnt-school-info(a)finanz.math.tu-graz.ac.at
https://finanz.math.tu-graz.ac.at/mailman/listinfo/dsnt-school-info
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgenden Vorträgen einladen:
Dienstag, 21. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Dr. Eva Farkas
Erste Bank, Wien
"Copulae - Modellierung des gemeinsamen Verhaltens von
Risikofaktoren in der modernen Finanz- und
Versicherungsmathematik"
http://www.fam.tuwien.ac.at/vr/20061121.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Thu, 16 Nov 2006 15:15:02 -00
From: Heinz Geyer <hgeyer(a)ta-consult.com>
Subject: Quant Position - Model Validator in Risk Management
Maybe you can help me to find candidates for the positions listed below. The
vacancy may not be of interest to you personally, but as you are working in a
quantitative function you may be aware of someone who is looking for a new
challenge. In any case I wish to thank you for your attention.
Our client, a major international investment bank, is looking to hire for its
London office a
MODEL VALIDATOR, QUANTITATIVE RISK MANAGEMENT
The Role:
The role is one of a model validator in the Quantitative Risk Management Group,
which consists of seven people across New York and London. The position is
located in London. The successful candidate will have a highly quantitative
background, educated to at least Masters level or with a PhD in Mathematics or
another quantitative discipline, combined with extensive programming experience,
including C/C++ and ideally Visual Basic. Experience of statistics and
stochastic calculus is also preferable.
Daily tasks include:
Completing reviews of models, both produced in-house by the Front Office
Quantitative Analytics function, and those in external vendor systems. This
necessitates a full understanding and critique of the underlying mathematics,
combined with independent implementation and discussion of limitations and
weaknesses of models.
Extensive interaction with traders and front office quants. Individuals in the
group need to be able to develop a deep understanding of models in a very short
time frame, as often we will be brought into discussions about highly complex
models after significant effort has been expended by the Front Office on their
development.
Assisting risk managers and Finance with quantitative issues.
Assisting in the maintenance of risk inventories by model and prioritization of
models for review.
In certain cases, development of bespoke models to further assess those produced
by the Front Office.
Qualifications
Essential
Excellent quantitative and statistical skills.
Strong programming skills, including expertise in numerical analysis
Strong communication skills, both written and verbal. Ability to converse with
both traders and quants
Must Have Qualifications
At least Masters, or PhD in Mathematics or related quantitative scientific
discipline
C/C++ and preferably Visual Basic skills
Excellent Excel skills
Salary depending on experience plus performance-based bonus and usual banking
benefits.
Thank you in for considering this message.
Kind regards
Heinz Geyer
Temple Associatesl Executive Search
Tel: 0044 (0) 20-8343 7785
http://www.ta-consult.com/Geyer.htmhttp://www.ta-consult.com
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgenden Vorträgen einladen:
Dienstag, 14. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Prof. Dr. Ole E. Barndorff-Nielsen
University of Aarhus, Denmark
"Volatility and Power Variation"
(ab ca 17:30) Dr. Mark Podolskij
Ruhr-University of Bochum
"Estimation of Volatility Functionals in the Simultaneous
Presence of Microstructure Noise and Jumps"
http://www.fam.tuwien.ac.at/vr/20061114.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Sun, 12 Nov 2006 14:56:45 -0000 (GMT)
From: Goran Peskir <goran(a)maths.manchester.ac.uk>
Subject: Two positions in Statistics/Applied Probability
Lecturer/Senior Lecturer in Statistics
Lecturer/Senior Lecturer in Statistics/Applied Probability
School of Mathematics, The University of Manchester
http://www.maths.manchester.ac.uk/
Closing date: 15/12/2006
Further particulars:
http://www.manchester.ac.uk/aboutus/jobs/academic/vacancy/index.htm?ref=783…
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 31 Oct 2006 08:44:17 -0800
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: post-doctoral position in mathematical finance/economics
The Mathematics Department at the University of British Columbia is
looking to fill a post-doctoral position in mathematical finance.
The group in mathematical finance consists of I. Ekeland, U. Horst and
R. Kuske in the Mathematics Department, and A. Lazrak in the Finance
Division. Details about the department can be found at
http://www.math.ubc.ca
The successful applicant will collaborate with a faculty member and
will teach one elementary course (3 hrs/week) for one or two semesters
per year. Interested applicants should submit a resume and arrange for
three letters of recommendation, to be sent either electronically or
by mail to uhaus(a)math.ubc.ca
Ulrich Haussmann
Department of Mathematics
University of British Columbia
121 - 1984 Mathematics Rd.
Vancouver, BC, V6T 1Z2
Ulrich Haussmann Tel: 604-822-3045
Department of Mathematics Fax: 604-822-6074
University of British Columbia email: uhaus(a)math.ubc.ca
121 - 1984 Mathematics Rd. URL:
Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 30 Oct 2006 11:13:35 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr.
Stefan Kassberger - Nov. 23, 11:00
GROUP: Financial Mathematics
Dr. Stefan Kassberger
University of Ulm and Wharton School, University of Pennsylvania
Thursday, November 23, 11:00, HF136
Title: Efficient calibration of time-changed Lévy models to forward
implied volatility surfaces
Abstract: Time-changed Lévy models are capable of accurately
calibrating implied volatilities of plain vanilla options across
strikes and maturities at a fixed point in time. However, the quality
of a pricing model is not only determined by its static fitting
capabilities, but also by its dynamic properties, in particular if it
is to be applied to the pricing of exotic derivatives. In this paper,
we investigate the dynamic properties of a popular time-changed Lévy
model by first calibrating it to a set of S&P 500 index options and
then studying the forward implied volatilities it gives rise to.
Annette Weihs
Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
[attachments removed by admin]
please note the unusual day/time/room of this week's seminars!
Mo, 30.10.2006 Kasper Larsen (Carnegie Mellon University)
15:00, SEM 104
Stability of utility-maximization
Mo, 30.10.2006 Stefan Gerhold
16:15, SEM 104
Automatisches Beweisen von Identit?ten
Vortragsreihe: Wissenswertes der Mathematik
Seminar room 104:
Freihaus of TU Wien, green area, 5th floor.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 25 Oct 2006 08:47:34 +0200
From: Helga <helga.prieler(a)actuariat.at>
Subject: OeFdV Seminar am 7.11.2006 -
"Risiken in der Personenversicherung und deren Beurteilung"
Seminareinladung
Dienstag, 07. November 2006
Thema : "Risiken in der Personenversicherung und deren Beurteilung"
Beginn 09:30 Uhr bis 17:00 Uhr
Ort : Hotel Modul, 1190 Wien, Peter Jordan Straße 78
Referate :
Dr. Klaus Wegenkittl - Präsident der AVÖ
Begrüßung und Einleitung
Dr. Richard Herrmann - Vorstand der Heubeck AG, Köln
"Value-at-Risk, Tail-Value-at-Risk und Schadenverteilung in der
Personenversicherung"
Dr. Winfried Heinen - Chefmathematiker der GenRe, Köln
"Mögliche Auswirkungen einer Pandemie auf die Leben-/Krankenversicherung"
Norbert Wackerle - Aktuar der PartnerRe Zurich Branch
Impaired Life Annuity - die Rente für Schwerkranke
Michael Winkler - Winterthur Versicherungen / Schweiz
Die Zukunft des Risikotransfers bei Lebensversicherungen
Dr. Klaus Wegenkittl - Präsident der AVÖ
Zusammenfassung und Abschluß
anschließend Diskussion
Weitere Informationen und das Anmeldeformular unter
http://www.avoe.at/veranstaltungen_avoe.html#Risiken
Aktuarvereinigung Österreichs (AVÖ)
Sekretariat AVÖ - Helga Prieler
Postfach 1
A-7002 Eisenstadt
Tel: +43 / 2682 / 72794
FAX: +43 / 2682 / 72794-0
EMail : sekretariat(a)avoe.at
Internet : www.avoe.at
by Walter Schachermayer by way of Andreas Schamanek
Who is interested? Let s discuss it over the brown bag. Walter
---------- Forwarded message ----------
Date: Mon, 16 Oct 2006 12:45:36 -0700 (PDT)
From: Ulrich Horst <horst(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
Subject: Summer School Banff 07
Dear Walter.
I am writing this e-mail to draw your attention to our upcoming summer school
"The Mathematical Modeling of Climate and Energy Risk".
The focus of the summer school will be on a series of five lectures (by R.
Carmona, C. Gollier, R. Guesnerie, T. Wang and probably R. Wets) on risk
sharing, optimization under uncertainty, and environmental risk.
The summer school is accompanied by a research workshop. Both events will take
place at the Banff International Research Station from
April 29, 2007 to May 07, 2007 (Summer School)
and
May 09, 2007 to May 13, 2007 (workshop).
I would like to invite you to the workshop and encourage you to promote one or
two of your students or postdocs for the summer school. Michael Kupper is
already on our list.
Accommodation and meals will be provided by BIRS.
I am looking forward to your response.
With best wishes,
Ulrich