Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 17.10.2006 Prof. Laszlo Gyorfi
(Budapest University of Technology and Economics)
"Empirical portfolio selection
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, 11 Oct 2006 14:27:56 -0400
From: Klaus Schmidt <klaus.schmidt(a)univie.ac.at>
Subject: ESI Junior Research Fellowships
Dear Colleague,
I would be grateful if you could bring this information to the attention of
suitable candidates.
With my best regards,
Klaus Schmidt
P.S.: Apologies if you get this twice (there was a computer glitch).
[ attachment available at ftp://ftp.esi.ac.at/pub/call/junior.pdf ]
--
-------------------------------------------------------------------------
Klaus Schmidt e-mail: klaus.schmidt(a)univie.ac.at
President Telephone: +43-1-4277 28285 (office)
Erwin Schroedinger Institute +43-650-409 8170 (mobile)
Boltzmanngasse 9 Fax: +43-1-4277 28299 (office)
A-1090 Vienna, Austria www: http://www.esi.ac.at
-------------------------------------------------------------------------
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 11 Oct 2006 13:07:06 +0200
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM Group-Seminar - Financial Mathematics: Prof.
Christian Hipp - Nov. 9, 10:30
GROUP: Financial Mathematics
Prof. Christian Hipp
University of Karlsruhe
Thursday, November 9, 10:30, HF136
Title: Ruin probabilities: the right risk measure for insurers
Abstract: Ruin probabilities are classical risk measures for insurance
which, however, are used scarcely in real world. We emphasize the importance
of ruin probabilities, show that they can be computed easily even for
complex problems, and demonstrate how they facili-tate control problems. In
the case of insurance risk management with tax, we compute ruin
probabilities as well as total present value of collected tax. With these
results we answer the question wether a tax authority should tax an insurer
who is close to ruin.
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 close to equal content removed by admin]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 10 Oct 2006 17:18:34 +0200
From: Hans-Joachim Zwiesler <Hans-Joachim.Zwiesler(a)uni-ulm.de>
Subject: Ausschreibung Post-Doc-Stipendium an der Uni Ulm
Liebe Freunde,
anbei die Ausschreibung des Post-Doc-Stipendiums im Graduierten-Kolleg
"Modellierung, Analyse und Simulation in der Wirtschaftsmathematik" an
unserer Fakultät in Ulm zum 1.4.2007. Bewerbungsschluss ist der
15.11.06. Falls Sie geeignete KandidatInnen kennen, machen Sie diese
doch bitte auf diese Ausschreibung aufmerksam.
Mit herzlichen Grüßen
Ihr Hajo Zwiesler
[ attachment converted to plain text by admin ]
DFG-Graduiertenkolleg 1100
.Modellierung, Analyse und Simulation in der Wirtschaftsmathematik.
Fakultät für Mathematik und Wirtschaftswissenschaften
Universität Ulm
Ausschreibung eines Stipendiums
An der Fakultät für Mathematik und Wirtschaftswissenschaften der
Universität Ulm ist im Rahmen des von der Deutschen
Forschungsgemeinschaft (DFG) eingerichteten Graduiertenkollegs
Modellierung, Analyse und Simulation in der Wirtschaftsmathematik
zum 01.04.2007
ein Post-Doc Stipendium
für maximal zwei Jahre zu vergeben.
Zielsetzung des Graduiertenkollegs ist die Untersuchung ökonomischer
Fragestellungen mit Hilfe von mathematischer Modellbildung, Analyse
und Simulation. Diese werden in Zusammenarbeit mit Praxispartnern
erarbeitet und stammen aus den Themenbereichen:
. Bewertung komplexer Finanzprodukte
. Risikoanalyse und -management
. Optimale Strategien
. Ökonometrische Analyse und Strategien
. Knowledge Discovery und Data Mining
Zur Lösung der Problemstellungen werden die Kollegiaten in den
folgenden mathematischen Forschungsschwerpunkten arbeiten:
. Stochastische Modelle, ihre Analyse und Simulation
. Statistische Inferenz und Datenanalyse
. Stochastische Steuerungen und Optimierung
. Partielle Differentialgleichungen und Funktionalanalysis
. Finanzmathematische Modellierung und Analyse
. Numerische Analysis und Simulation
. Methoden der Software-Entwicklung und des Software-Qualitätsmanagements
Zur weiteren Information gibt es u.a. eine Übersicht über die Betreuer
des Graduierten-Kollegs, unser Studienprogramm sowie die Titel der
einzelnen Projekte unter: Webseite des GK1100:
http://www.mathematik.uni-ulm.de/gradkoll/
Die Höhe der Stipendiensätze richtet sich nach den Vorgaben der DFG:
http://www.dfg.de/forschungsfoerderung/formulare/download/1_30a_w.pdf
Absolventinnen und Absolventen mathematisch orientierter Studiengänge
werden gebeten, ihre aussagekräftigen Bewerbungsunterlagen
(Zeugniskopien, Lebenslauf, Lichtbild) bis zum 15.11.2006 an den
Sprecher des Kollegs zu senden. Bis zum An- tritt des Stipendiums muss
die Promotion abgeschlossen sein.
Sprecher des Kollegs:
Prof.Dr. Karsten Urban
Universität Ulm
Institut für Numerische Mathematik
Helmholtzstrasse 18
89069 Ulm
Telefon: +49-731-502-3535
Fax: +49-731-502-3548
email: gradkoll(a)mathematik.uni-ulm.de
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Thu, 05 Oct 2006 15:22:39 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position in mathematical finance/economics
The Mathematics Department at the University of British Columbia is
looking to fill an opening in mathematical finance/economics as I will
retire in 2007. The group in mathematical finance and economics
consists of I. Ekeland, U. Horst and R. Kuske in the Mathematics
Department, and A. Lazrak and T. Wang in the Finance Division. We
offer an MSc program in the field and we participate in MITACS
( http://www.mitacs.ca/main.php?mid=10000019&pid=79&proid=16 ), a
government sponsored initiative to foster interaction with industry.
UBC hosts the headquarters of PIMS, the Pacific Institute for
Mathematical Sciences ( http://www.pims.math.ca/ ) which sponsors many
workshops and sessions in diverse areas of the mathematical sciences.
We are looking for outstanding candidates with some post-doctoral
experience. For further details please see
http://www.math.ubc.ca/Dept/deptJobs.shtml#RegularFaculty
Ulrich Haussmann
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: Wed, 4 Oct 2006 13:51:13 +0200
From: Alexander Schied <schied(a)math.TU-Berlin.DE>
To: Recipient List Suppressed: ;
Subject: postdoc positions in Berlin
Dear collegue,
I would be grateful if you could pass on the following information to potential
applicants.
Applications are invited for up to 3 postdoctoral research positions in the
area of mathematical finance. The positions will be part of the new Quantitative
Products Laboratory, a joint research institute of Deutsche Bank, Humboldt
University and TU Berlin.
See attachment for more details. In case of questions please contact
Ms. Florence Siwak
Institut für Mathematik, MA 7-4
TU Berlin
phone: +49-30-314 24602
siwak(a)math.tu-berlin.de
[attachment converted to plain text by admin]
TECHNISCHE UNIVERSITÄT BERLIN
3 postdoctoral research positions . Vgr. Ib BAT
Fakultät II . Quantitative Products Laboratory
Kennziffer: FO-833 (limited to 4 years / closing date for applications
12.10.2006)
Responsibilities: applications are invited for up to 3 postdoctoral
research positions in the area of mathematical finance; the positions
will be part of the new Quantitative Products Laboratory, a joint
research institute of Deutsche Bank, Humboldt University and TU Berlin
Requirements: we are looking for applicants who are interested in
cooperating with Deutsche Bank in applied research projects concerning
liquidity risk, new market risk models, market microstructure or risk
management; candidates should hold a PhD and possess a strong
background in mathematical finance and stochastics
Please send your written application and the usual documents to the
Präsident der Technischen Universität Berlin, Fakultät II, Sekretariat
MA 4-1, Straße des 17. Juni 136, 10623 Berlin.
Weitere Informationen zur Tel.: +49(0)30 314 . 23756
Stelle erteilt Ihnen: email: grentzer(a)math.tu-berlin.de
Diese Stellenanzeige ist Zeit 05.10.2006
erschienen in:
by Walter Schachermayer by way of Andreas Schamanek
Liebe Family,
my lecture "Ausgewaehlte Kapitel der stoch FM" (wednesdays 9:45 - 11:15) is
adressed to PhD students in Math Fin and related areas and might also be of
interest for postdocs etc.
The first lecture will take place on
wednesday, 11 Oct.
I have not made up my mind yet what I am going to teach and I see 3
possibilities.
1. Recent papers (like the enclosed note on affine processes by Jan Kallsen)
on topics of interest (risk measures, transaction costs, utility
maximisation etc). In this case I would spend typically 2 - 3 lectures on
one paper and then take the next one.
2. Selected chapters of Revuz/Yor
3. Selected chapters of Bertoin (Levy processes).
Maybe we can discuss on wednesday over some sushis which of these plans is
most popular among you.
Regards from Walter
Attachment note:
Jan Kallsen: A didactic note on affine stochastic volatility models.
http://pcstatistik15.ma.tum.de/kallsen/timechange3.pdf
Timetable
Tuesday, 15:00
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 03.10.2006 Benedikt Blum (TU München)
15:00
Deterministic Pricing of Options on Levy driven Assets
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, 27 Sep 2006 15:55:06 +0200
From: Antonella Basso <basso(a)unive.it>
Subject: Call for Papers Workshop on Quantitative Finance 2007
CALL FOR PAPERS
WORKSHOP ON QUANTITATIVE FINANCE
January 25-26, 2007
Department of Applied Mathematics
University Ca' Foscari of Venice (Italy)
The present edition is the eighth one of an increasingly successful
initiative whose aim is to set a common forum of ideas and discussions
among researchers and practicioners interested in finance. As in the
previous edition of the workshop, we wish to particularly encourage an
international participation of young researchers and both theoretical
and applied contributions.
We welcome contributions in any of the following subjects:
Mathematical Finance
Financial Economics
Computational Finance
Econometrics and Statistics of Financial Markets
Corporate Finance
Papers (even in preliminary form) should be submitted before November
24, 2006. Notification of acceptance will be received by December 23,
2006. Each accepted paper will be assigned to a discussant. The
deadline for Registration is January 14, 2007 (there is no
participation fee).
E-mail: <mailto:wqf2007@unive.it>wqf2007(a)unive.it
For further information, please visit the web-site
http://caronte.dma.unive.it/QuantitativeFinance2007 .
SCIENTIFIC COMMITTEE
Fabio Antonelli, Emilio Barucci, Antonella Basso,
Damiano Brigo, Marcello Esposito, Carlo A.
Favero, Fulvio Ortu, Loriana Pelizzon, Fabio Trojani.
ORGANIZING COMMITTE
Diana Barro, Antonella Basso, Monica Billio,
Marco Corazza, Martina Nardon, Loriana Pelizzon, Paolo Pianca.
Antonella Basso
Dipartimento di Matematica Applicata
Università Ca' Foscari di Venezia
Dorsoduro 3825/E - 30123 Venezia - Italy
Tel. +39-041-2346914 - Fax +39-041-5221756
E-mail address: basso(a)unive.it
Web page: http://www.dma.unive.it/~basso
by Walter Schachermayer by way of Andreas Schamanek
Ich unterstuetze diesen "Campaign-Aufruf" nachdruecklich und bitte
alle, einen Schneeball-Effekt auszuloesen.
LG Walter
---------- Forwarded message ----------
Date: Mon, 25 Sep 2006 08:59:00 +0200 (CEST)
From: Prof. Heinz W. Engl <heinz.engl(a)jku.at>
Subject: "austrian of the year"
dear colleagues
the newspaper "presse" elects as every year 3 "austrians of the year". in
the category science, one of the candidates is karl sigmund, the chairman
of the radon institute kuratorium.
although such election might be considered a bit questionable, they
are connected with a lot of publicity. if simgund should be chosen,
this would certainly give more public visibility for mathematics. in
addition to his mathematical work, karl sigmund also planned and
organized some high profil public exhibitions, e.g. on forced
emigration from austria of jewish scientists and on kurt gödel.
for these reasons, i would like to "campaign" for karl sigmund. the
election can be done by sending a form published (e.g. today) in
"presse" to the journal, i can be done online via
http://diepresse.com/austria06 or by sending an sms with the text
"austria 1e" to 0900 872872 (i do not know if voting by sms one has to
vote also for a candidate in the other categories, so that i suggest
that those who want to participtae (this is a suggestion , nothing
more, of course!) do so via internet).
best regards
heinz engl
---------------------------------------------------------------------------
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
---------------------------------------------------------------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 28.09.2006 Gregor Dorfleitner (WU Wien)
"Coherent risk measures, coherent capital allocations,
and the gradient allocation principle"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Fri, 22 Sep 2006 11:52:20 +0200
From: Josef Teichmann <josef.teichmann(a)fam.tuwien.ac.at>
-----Original Message-----
From: Philip Protter [mailto:pep4@cornell.edu]
Sent: Wednesday, September 20, 2006 10:18 PM
Subject: Position in Financial Engineering at Cornell
Dear Friends and Colleagues,
I wish to spread the word that Cornell ORIE is hiring this year, at the
senior or junior (tenure track) level, and also at the postdoc level, in
Financial Engineering. Thanks in advance for any help to spread the work
you may give. Below are the two ads, which are very similar. Yours,
Philip
CORNELL UNIVERSITY
SCHOOL OF OPERATIONS RESEARCH & INDUSTRIAL ENGINEERING
One or more tenure-track and/or tenured positions. Rank open. PhD required
in Mathematics, OR, Statistics, or related field. Expertise in Financial
Engineering research and teaching is required. Involvement in the School's
Masters Program in Financial Engineering is expected. Salary appropriate to
qualifications and engineering norms. ORIE at Cornell is a diverse group of
probabilists, math programmers, statisticians, and those working in
simulation and manufacturing systems. An ideal candidate will have broad
training and interests and two years' postdoctoral experience for a junior
position, although a senior position is being seriously considered as well.
CV, 1-page statement of research and teaching interests, doctoral transcript
for junior applicants, and four letters of recommendation should be sent to
Financial Engineering Search, ORIE, Rhodes Hall, Cornell University, Ithaca,
NY 14853-3801. Applications completed by December 31, 2006 given preference.
Women and minority candidates especially encouraged to apply. Cornell
University is an AA/EOE. Please indicate you are applying for the tenured
or tenure-track position on your application.
*******************
CORNELL UNIVERSITY
SCHOOL OF OPERATIONS RESEARCH & INDUSTRIAL ENGINEERING
One or more postdoctoral positions. PhD required in Mathematics, OR,
Statistics, or related field. Expertise in Financial Engineering research
and teaching is required. Involvement in the School's Masters Program in
Financial Engineering is expected. Salary appropriate to qualifications and
Engineering norms. ORIE at Cornell is a diverse group of probabilists, math
programmers, statisticians, and those working in simulation and
manufacturing systems. An ideal candidate will have broad training. CV,
1-page statement of research and teaching interests, doctoral transcript,
and three letters of recommendation should be sent to Financial Engineering
Search, ORIE, Rhodes Hall, Cornell University, Ithaca, NY 14853-3801.
Applications completed by December 31, 2006 given preference. Women and
minority candidates especially encouraged to apply. Cornell University is an
AA/EOE. Please indicate you are applying for the postdoctoral position in
your application.
--
Philip Protter
ORIE -- 219 Rhodes Hall
Cornell University
Ithaca, NY 14853-3801
USA
pep4(a)cornell.edu
Telephone: 607-255-9133
Fax: 607-255-9129
http://www.orie.cornell.edu/orie/people/faculty/profile.cfm?netid=pep4
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Fri, 22 Sep 2006 10:26:15 +0200
From: Monika Michel <michel(a)math.TU-Berlin.DE>
Subject: Deutsche Bank Professorships in Berlin
Dear colleague,
We would be grateful if you could pass on the attached information about two
Deutsche Bank research professorships in Berlin to potentially interested
scientists.
Our apologies if you receive this message more than once.
On behalf of the hiring committee,
Monika Michel
Sekr. MA 7-5
Fakultät II - Institut für Mathematik
Technische Universität Berlin
Straße des 17. Juni 136
10623 Berlin
phone: +49(0)30-31423217
fax: +49(0)30- 31421695
[attachment converted to plain text by admin]
Two Deutsche Bank Professorships (W3, tenure) in Mathematical Financce
Faculty II . Mathematics and Natural Sciences (TU Berlin) .
one position (reference number: II-610)
Faculty of Mathematics and Natural Sciences II (Humboldt University) .
one position (reference number: PR/015/06)
Deutsche Bank Quantitative Products Laboratory (QP Lab), Humboldt
University and TU Berlin invite applications for two permanent full
professor positions (W3) in Mathematical Finance. We are looking for
internationally recognized scientists with a strong research record,
who will be expected to cooperate with QP Lab in applied research
projects. For an initial period of four years, the positions will be
research professorships with a reduced teaching duty. Depending on a
positive evaluation, the reduction of teaching can be extended for
another four years.
Applicants must meet the legal requirements for a university professor
as stipulated in § 100 BerlHG.
TU Berlin and HU Berlin are committed to gender equality, and
therefore strongly encourage applications by female scientists.
Applications by women with equivalent qualifications will be given
preference. Severely disabled applicants with equivalent
qualifications will be given preferential treatment.
Please send your application including curriculum vitae, list of
publications, and a list of teaching activities to one of the
following addresses (closing date for applications: October 12, 2006):
concerning reference number II-610 concerning reference number PR/015/06
Präsident TU Berlin Prof. Dr. Jürg Kramer
Institut für Mathematik Direktor
Sekretariat MA 4-1 Institut für Mathematik
Straße des 17. Juni 136 Humboldt-Universität zu Berlin
Unter den Linden 6
10623 Berlin
Germany 10099 Berlin
Germany
Further details are available from Further details are available from
Prof. Dr. Alexander Schied Prof. Dr. Peter Imkeller
phone: +49-(0)30-314 24602 phone: +49-(0)30-2093-5850
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Fri, 22 Sep 2006 10:31:05 +0200
From: Monika Michel <michel(a)math.TU-Berlin.DE>
Subject: Head of junior research group in math finance at TU Berlin
Dear colleague,
Matheon and TU Berlin invite applications from young scientists for
the position of the
Head of a junior research group in mathematical finance.
We would be grateful if you could pass on the attached information to
potential applicants, and we apologize if you receive this message
more than once.
On behalf of the hiring committee,
Monika Michel
Sekr. MA 7-5
Fakultät II - Institut für Mathematik
Technische Universität Berlin
Straße des 17. Juni 136
10623 Berlin
phone: +49(0)30-31423217
fax: +49(0)30- 31421695
[attachment converted to plain text by admin]
Zeit 21.09./Internet 14.09./Fristende 12.10.2006
Technische Universität Berlin Berlin, 13.09.2006
Der Präsident Tel. (030) 314-28297
- II T 6-16 - Fax: (030) 314-29788
Zi. H 2123
Email: jobs(a)TU-Berlin.de
S t e l l e n a u s s c h r e i b u n g
The DFG Research center MATHEON "Mathematics for key technologies:
Modelling, simulation and optimization of real-world processes", and
the Institute of Mathematics of the Berlin University of Technology
are inviting applications for the position of the
Head of a junior research group in Mathematical Finance
We are looking for candidates on a postdoctoral level with a
university degree in mathematics, who are experts in mathematical
finance and have an excellent background in applied and stochastic
analysis. They should have a strong record showing ability for
conducting independent research. It is expected that the successful
candidate will take an active part in the scientific training of young
researchers and in the activities of MATHEON.
Salary will be on a BAT Ib level, and the initial contract duration
will be until May 31, 2010. After a positive evaluation, an extension
of the contract for a total of 6 years is possible.
The participating institutions strive to increase the female quota and
therefore emphatically requests applications from female applicants.
Women with equivalent qualifications would be preferentially employed.
Severely disabled applicants with equivalent qualifications will be
given preferential treatment.
For further information see: http://www.matheon.de
Please send your written application and the usual documents to the
Präsident der Technischen Universität Berlin, Fakultät II, Sekretariat
MA 3-1, Straße des 17. Juni 136, D- 10623 Berlin (Germany).
Closing date for applications: within 3 weeks after publication
reference number: FO-829
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 19.09.2006 Petra Posedel (University Bocconi, Milano)
Asymptotic analysis for a simple explicit estimator
in BNS stochastic volatility models
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, 08 Sep 2006 10:21:08 +0200
From: Peter Ouwehand <Peter(a)MATHS.uct.ac.za>
Subject: position at uct
Dear all,
Apologies for multiple and/or unwanted emails. I've pasted (and also
attached) an advertisement for a position at the University of Cape
Town.
Regards,
Peter Ouwehand
______________________________________________________________________
UNIVERSITY OF CAPE TOWN
ASSOCIATE PROFESSOR/ SENIOR LECTURER/LECTURER
DEPARTMENT OF MATHEMATICS AND APPLIED MATHEMATICS
The Department is large and dynamic, with an establishment of over
thirty faculty members. We seek to make three new appointments with
effect from January 2007 or as soon as possible thereafter.
Applications are sought for posts at all levels, from Lecturer to
Associate Professor, in all fields compatible with the research
interests and activities of the Department, including enrichment
programmes for schools. Please see our website at www.mth.uct.ac.za
for details of research groupings and activities. We particularly
encourage applications from candidates with research and teaching
interests in Mathematics of Computer Science; or with computational
interests and expertise in areas of Applied Mathematics and
Mathematical Modelling; or in the Mathematics of Finance.
A minimum qualification of a PhD is normally expected and young
mathematicians are particularly encouraged to apply. Applicants for a
senior position should have good teaching and strong international
research records, and the ability to raise research funding and
develop strong research programmes in their fields of interest.
Candidates should indicate for which level of position they are
applying. Level of appointment will be commensurate with experience
and standing of applicants.
The annual remuneration packages, including benefits, are:
Associate Professor: R373 968
Senior Lecturer: R315 536
Lecturer: R257 103
Please send: a letter of motivation, your full CV (no certificates), a
summary CV (please refer to the template provided on our website
http://www.mth.uct.ac.za ) and details (email/tel) of 3 referees, to:
Mr K Salman (Ref: 1163), Staff Recruitment & Selection, University of
Cape Town, Rondebosch, South Africa 7701 by 22 September 2006.
Telephone: +27 21 650-2192, email: ksalman(a)bremner.uct.ac.za website:
http://www.uct.ac.za
We are committed to equity in our employment practices. It is our
intention to appoint individuals with the aim of meeting our equity
objectives.
--
--------------------------------------------------
Peter Ouwehand
Senior Lecturer
Department of Mathematics and Applied Mathematics
University of Cape Town
peter(a)maths.uct.ac.za
tel (021) 650 3198
cel 083 697 8425
fax (021) 650 2334
--------------------------------------------------
"Just at present, almost all university activities in Britain are
described in the language of accountancy. So even an activity such as
philosophy is described [...] in terms of deliverability, production
targets, output monitoring, measuring, auditing, appraisal,
value-added, point-of-service strategic resource allocations, and
other horrors[...] grotesquely unfitted to describing attempts to
understand the world."
[Simon Blackburn in "Truth: A Guide for the Perplexed".]
[attachment with same content as above removed by admin]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Thu, 07 Sep 2006 17:59:06 -0400
From: Vladimir Dobric <vd00(a)Lehigh.EDU>
Subject: Hiring at associate or full professor level
I would appreciate if you alert potential candidates for the position at the
associate or full professor level described in the add below.
Best
Prof. Vladimir Dobric
Department of Industrial and Systems Engineering
Lehigh University, Bethlehem, PA 18015
The department of Industrial and Systems Engineering at Lehigh
University invites applications for a Full or Associate Professor. We
welcome applications from individuals with strong backgrounds in any
ISE-relevant discipline, including industrial engineering, operations
research, systems engineering, and computer science. Candidates with
a strong background in high-performance computing and/or large-scale
optimization with interests in *financial engineering* or
bioinformatics/health care are especially encouraged to apply. The
candidate must demonstrate a strong commitment to undergraduate and
graduate education, conduct an active research program with strong
external support, and be willing to explore interdisciplinary research
opportunities within the college and university.
The department is undergoing significant growth in various area of
operations research and computing. Current research thrusts include
(1) optimization, (2) high-performance computing, (3) manufacturing,
production, and logistics, (4) information systems, and (5) stochastic
processes. Recent hires at the junior level have joined the Department
in these and related areas with specializations in parallel
algorithms, grid computing, mathematical programming, robust
optimization, telecommunications, and supply chain analysis.
Established in 1926, the ISE Department currently has 15 full-time
faculty members, 130 undergraduates and 120 graduate students, about
50 of which are Ph.D. students. We offer comprehensive research and
education programs at the B.S., M.S., and Ph.D. levels. The ISE
faculty maintains an outstanding international reputation in a variety
of research areas. Active research topics include discrete
optimization, high performance computing, financial optimization,
telecommunications, and a variety of topics in logistics and supply
chain analysis. The Department maintains excellent computational and
laboratory facilities, including a 64-processor Beowulf cluster for
parallel computing. Annual research expenditures exceed $3.5 million.
The Department has extensive interdisciplinary ties with the business
school through the Center for Value Chain Research and finance and
mathematics departments through the Analytical Finance program.
Review of applications will begin December 1, 2006 and will continue
until the position is filled. Send a statement of research and
teaching interests, a curriculum vita, representative research
paper(s), names and addresses of at least three references, and a
cover letter to Professor Robert H. Storer, Search Committee Chair,
Dept. of Industrial and Systems Engineering, Mohler Laboratory, 200
West Packer Ave., Lehigh University, Bethlehem, PA, 18015-1582. The
department web site is http://www.lehigh.edu/inime/ .
Lehigh University is an affirmative action/equal opportunity employer
and provides equal opportunity on the basis of merit without
discrimination because of race, color, religious creed, ancestry,
national origin, age, handicap, gender, sexual orientation, or union
membership.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 06 Sep 2006 08:06:17 GMT
From: FWF Newsletter <mailinglist(a)fwf.ac.at>
Subject: EURYI: European Young Investigator Awards - 4. Ausschreibung,
DFG-Praesident wird 1. ERC Generalsekretaer
Inhalt:
1. EURYI: European Young Investigator Awards - 4. Ausschreibung
2. DFG-Praesident wird 1. ERC Generalsekretaer
----------------------------------------------------------------
Liebe Leserin, lieber Leser,
der European Young Investigator (EURYI) Award verfolgt das Ziel,
exzellente junge Wissenschafterinnen und Wissenschafter ueber
einen Zeitraum von fuenf Jahren effektiv zu foerdern. Das
Programm richtet sich an ForscherInnen aller Fachdisziplinen aus
der ganzen Welt und ermoeglicht ihnen eine eigene Nachwuchsgruppe
aufzubauen und zu leiten.
Voraussetzung fuer eine erfolgreiche Bewerbung sind neben zwei
bis acht Jahren Postdoc-Erfahrung, ein hervorragender Track
Record sowie das Potential im Fachgebiet international eine
fuehrende Rolle einnehmen zu koennen.
Die Preise sind mit 150.000 bis 250.000 Euro pro Jahr dotiert.
Pro Ausschreibung darf europaweit nur ein Antrag pro Bewerberin
und Bewerber eingereicht werden. Antraege auf Foerderung in
Oesterreich sind an den FWF zu richten und koennen bis zum
30. November 2006 gestellt werden.
Die vollstaendige Ausschreibung des EURYI Award mit detaillierten
Angaben zu den Antragsvoraussetzungen und -modalitaeten finden
Sie unter:
http://www.fwf.ac.at/de/aktuelles_detail.asp?N_ID=240
----------------------------------------------------------------
Der derzeitige Praesident der Deutschen Forschungsgemeinschaft
(DFG), Professor Ernst-Ludwig Winnacker, wird im Januar 2007
erster Generalsekretaer des Europaeischen Forschungsrates (ERC)
in Bruessel.
Dem hauptamtlichen Generalsekretaer des ERC wird eine besondere
Rolle beim Aufbau und der strategischen Ausrichtung des ERC
zukommen. Er wird zusammen mit dem Praesidenten und den beiden
Vize-Praesidenten des Scientific Councils sowie dem Direktor der
Exekutiv-Agentur des ERC das "ERC Board" bilden. Professor
Winnacker soll die Position vom Januar 2007 bis zum Juni 2009
bekleiden. Ihm folgt der spanische Oekonom und fruehere
katalanische Minister Professor Andreu Mas-Colell, der die
Geschaefte bis Ende 2011 fuehren soll.
Naehere Informationen finden Sie unter:
ERC Scientific Council: http://europa.eu.int/erc/index_en.cfm
FWF-ERC-Seite: http://www.fwf.ac.at/de/internationales/erc.html
Mit den besten Gruessen
Ihr FWF-Website-Team
------------------------------------------------------------
Unter http://www.fwf.ac.at/de/public_relations/mailinglist_wissenschafter.html
koennen Sie sich jederzeit wieder aus dem Verteiler austragen:
Bitte geben Sie im Formular die E-Mail-Adresse ein und waehlen
Sie "nicht mehr bekommen". Unter derselben Adresse koennen Sie
auch den Newsletter abonnieren.
------------------------------------------------------------
FWF Der Wissenschaftsfonds
Austrian Science Fund
Haus der Forschung, Sensengasse 1
1090 Wien
Tel.: +43-1-505 67 40-0
Fax: +43-1-505 67 39
office(a)fwf.ac.at
http://www.fwf.ac.at
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 5 Sep 2006 12:57:28 +0200
From: frontieres.finance <frontieres.finance(a)laposte.net>
Subject: Petit Dejeuner de la FInance 13 Sept 2006
** Registration deadline: Sept 8, 2006 *********
FRONTIERES EN FINANCE
http://www.frontiers-in-finance.com/
a le plaisir de vous annoncer le prochain
PETIT DEJEUNER DE LA FINANCE
Mercredi 13 Sept 2006, 8:00 - 9:30
Maison des Polytechniciens
12 rue de Poitiers 75007 Paris
Metro: Solferino / Musee d Orsay
avec une presentation de:
Julien TURC ( Societe Generale )
PRICING CDOs WITH A SMILE: THE LOCAL CORRELATION APPROACH
The local correlation model is an extension of the traditional
one-factor Gaussian model. It makes correlation a function of
the economy. In the
large pool framework, there is a simple and approximate
formula for deducing the local correlation from the base
correlation skew. We present
also a more robust process for fitting the local correlation
curve directly to market data. Incidentally, we show that the
base correlation skew is not a straight line, at least under
within this framework. On low strikes, it must have the shape
of a smile rather than that of a skew.
ABOUT THE SPEAKER:
Julien TURC is a Senior Strategist in the Quantitative
Strategy group at Société Générale Corporate & Investment
Banking. He joined Société
Générale in 2001. Prior to that, Julien worked as a
Quantitative Analyst on the Credit Derivatives desk at IXIS
CIB. Julien graduated from
Ecole Polytechnique (Palaiseau) and ENSAE (Malakoff). He has
been a lecturer in the Masters program in Probability and
Finance at Paris VI University for several years.
-----------------------------------------------
The Petit Dejeuner de la Finance is a monthly seminar
organized in Paris by Frontiers in Finance, an association
whose goal is the diffusion of quantitative methods in risk
management. Registration is free but compulsory in order to
participate in the seminar. See:
http://www.frontiers-in-finance.com/
* MODALITES DE PARTICIPATION :
Les Petits Dejeuners de la Finance, organises par
l'association FRONTIERES EN FINANCE a travers un partenariat
entre des chercheurs et des professionels du milieu bancaire et
financiers constituent une occasion d'echanges entre les
praticiens des marches et les chercheurs universitaires, en
apportant aux premiers les resultats des travaux de
modelisation quantitative et aux seconds la confrontation aux
problematiques concretes des professionels.
La participation au Petit dejeuner est
ouverte uniquement SUR INSCRIPTION PREALABLE et dans la mesure
des places disponibles. Une priorite est accordee aux
organismes partenaires de Frontieres en Finance. Les modalites
de partenariat sont disponibles sur demande aux organisateurs.
Pour vous inscrire, envoyer la fiche d'inscription
http://www.fiquam.polytechnique.fr/finance/inscription.html
par e-mail a : frontieres.finance(a)laposte.net
en indiquant votre nom, prenom et vos coordonnees precises
(adresse, affiliation, telephone, e-mail ) ainsi que votre
affiliation
professionnelle avant la date limite.
Frontieres en Finance
http://www.frontiers-in-finance.com/
Cet été, pensez aux cartes postales de laposte.net !
+---------------------------------------------------------------+
| PRisMa 2006 - One-Day Workshop on Portfolio Risk Management |
| Tuesday, September 26, 2006 |
| <http://www.fam.tuwien.ac.at/prisma2006/> |
+---------------------------------------------------------------+
organized by PRisMa Lab and FAM @ TU Wien
Location: Vienna University of Technology,
Main Building, Karlsplatz 13, 1040 Vienna, Austria
Lecture Hall "HS 18 - Czuber Hörsaal"
(staircase/Stiege II, 2nd floor)
Time: Tuesday, September 26, 2006, 9 am to 7 pm
Program:
9.00-9.10 Prof. Dr. Uwe Schmock (FAM @ TU Wien)
Welcome and Presentation of the Christian Doppler
Laboratory for Portfolio Risk Management (PRisMa Lab)
9.10-9.20 Dr. Johann Strobl (Chief Financial Officer and Chief Risk
Officer, Member of the Board of Directors of BA-CA)
Forschungskooperation aus der Sicht der BA-CA
9.20-9.30 Prof. Dr. Walter Schachermayer, (FAM @ TU Wien)
Introduction of Prof. Josef Teichmann, Laureate
of the START Prize
9.30-10.20 Prof. Dr. Josef Teichmann (FAM @ TU Wien)
Calculation of Greeks by Cubature Formulas
10.20-10.50 Coffee Break
10.50-11.20 Dr. Stefan Gerhold (PRisMa Lab, FAM @ TU Wien)
An Implementation of the LIBOR Market Model for
Pricing Exotic Constant Maturity Swaps
11.20-12.00 Dr. Irina Slinko (FAM @ TU Wien)
On Finite Dimensional Realizations of Two-Country
Interest Rate Models
12.00-14:00 Lunch Break
14.00-14:40 Dr. Friedrich Hubalek (FAM @ TU Wien)
Simple Explicit Variance-Optimal Hedging for
Path-Dependent and Multi-Asset Derivatives
14:40-15:20 Dr. Jan Palczewski (Warsaw University)
Portfolio Optimisation with Economic Factors
and Transaction Costs
15:20-15:50 Coffee Break
15:50-16:30 Dr. Gregory Temnov (PRisMa Lab, FAM @ TU Wien)
Combined Methodology for Modelling and Measuring
Operational Risk
16:30-17:10 DI Christian Bayer (FAM @ TU Wien)
Discretization of SDEs: Euler Methods and Beyond
17:10-17:50 DI Barbara Forster (FAM @ TU Wien)
Computation of Price Sensitivities
17:50-19:00 Bread and Wine
General Information
Participation is free, and there is no official registration -
nevertheless for administrative reasons we would be happy if you
write a short e-mail to our secretary, Mr. Christian Gawrilowicz
(secr(a)fam.tuwien.ac.at), with your name and university or company.
Everyone is welcome, practitioners are especially encouraged to attend.
Organiser: Prof. Dr. Uwe Schmock
(Financial and Actuarial Mathematics Group (FAM),
Vienna University of Technology)
Workshop Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Wien)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
Attendance of the above workshop can be conveniently combined with:
+------------------------------------------------------------------+
| FERM06 - Workshop on Financial Engineering and Risk Management |
| Monday, September 25, 2006 |
| <http://www.univie.ac.at/crm/ferm06/> |
+------------------------------------------------------------------+
Location: Marietta-Blau-Saal
University of Vienna
Dr. Karl Lueger Ring 1
A-1010 Vienna, Austria
Speakers:
- Engelbert J. Dockner (Department of Finance, University of Vienna)
tba
- Georg Wachberger (Erste Bank)
Quantitative challenges within dynamic financial institutions
- Rudolf Diewald (Versicherungsverband Österreich)
Rebel without a Cause
- Johannes Ziegelbecker (Österreichische Pensionskassen AG)
Risk Management in Austrian Pension Funds
- Uwe Schmock (Institute for Mathematical Methods in Economics,
Vienna University of Technology)
Modelling and Aggregation of Dependent Credit and Operational Risks
- Stavros A. Zenios (HERMES European Center of Excellence
on Computational Finance and Economics)
Financial Products with Guarantees:
Applications, Models and Internet-based services
- Gautam Mitra (CARISMA, Brunel University)
Models and Tools for Portfolio Planning
- Ronald Hochreiter and Georg Ch. Pflug
(Computational Risk Management Group, University of Vienna)
The AURORA Financial Management System
General Information:
Registration is mandatory
<http://homepage.univie.ac.at/nikola.broussev/php/register.php>,
participation fee is ¤ 150,-.
Contact: Gerald Kamhuber <mailto:gerald.kamhuber@univie.ac.at>
+------------------------------------------------------------------+
| Job offer at FAM @ TU Wien: |
| Ph.D. Student or Postdoc in Credit Risk Modeling |
| <http://www.fam.tuwien.ac.at/jobs/20060824.php> |
+------------------------------------------------------------------+
Some low cost airlines to reach Vienna:
http://www.airberlin.com/http://www.flyniki.com/http://www.germanwings.com/http://www.aua.com/http://www.intersky.biz/http://www.skyeurope.com/ (via Bratislava)
With best regards,
Uwe Schmock
-----
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
Vienna University of Technology
Wiedner Hauptstrasse 8, 1040 Wien
Freihaus, 6th floor, green area, seminar room 107:
Wednesday, August 30, 2006:
10:00 Stefan Gerhold
Crashcourse Interest Rate Models
13:00 Stefan Gerhold
An Implementation of the LIBOR Market Model
+-----------------------------------------------+
| PRisMa 2006 - One-Day Workshop |
| on Portfolio Risk Management |
| (Vienna, 2006-09-26) |
| http://www.fam.tuwien.ac.at/prisma2006/ |
+-----------------------------------------------+
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 27 Jul 2006 19:01:46 +0200
From: Hans-Joachim Zwiesler <Hans-Joachim.Zwiesler(a)uni-ulm.de>
To: hans-joachim.zwiesler(a)uni-ulm.de
Subject: Erinnerung an Einreichungsfrist 15.8. beim SCOR-Preis fuer
Aktuarwissenschaften
Liebe Kolleginnen und Kollegen,
bitte denken Sie daran, dass am 15. August 2006 die Einreichungsfrist für
den SCOR-Preis für Aktuarwissenschaften 2006 endet.
Bitte informieren Sie doch die Diplomanden und Doktoranden in Ihrem Bereich,
die ihre Arbeit unlängst abgeschlossen haben, über diesen Preis und
ermuntern Sie diese zu einer Teilnahme.
Die Ausschreibung finden Sie unter:
http://www.mathematik.uni-ulm.de/saw/studium/SCOR/SCOR.htm
Herzlichen Dank
Ihr Hajo Zwiesler
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 11 Jul 2006 15:31:38 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 11 Jul 2006 11:59:00 +0100
From: Mihail Zervos <mihail.zervos(a)kcl.ac.uk>
(...)
Department of Mathematics
London School of Economics
Lectureship in Mathematics
Salary range £32,418 - £39,375 pa inc. (pay award pending)
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 appointee will maintain an active programme of research
and will play a significant role in the development of 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 January 2007.
Information about the department can be found at
http://www.maths.lse.ac.uk.
Further details and a full application pack can be found at
http://www.maths.lse.ac.uk/lectureship.html.
Closing date for the receipt of applications is 18 August 2006.
****************************************************************
--
Mihail Zervos
mihail.zervos(a)kcl.ac.uk
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 27. Juni, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, 2. Stock, gelber Bereich, Hörsaal FH 2:
Dr. Mathias Zocher
TU Dresden, Institut für Mathematische Stochastik
"Multivariate gemischte Poissonprozesse -
Bonus-Malus-Systeme in der KH-Versicherung"
http://www.fam.tuwien.ac.at/events/vr/20060627.php
Ausserdem dürfen wir Sie auf einen weiteren Vortrag aufmerksam machen,
welcher von der Forschungsgruppe FAM organisiert wird:
Dienstag, 27. Juni, 15:00,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, 6. Stock, gelber Bereich, Seminarraum 107:
Dr. Pavel Shevchenko
CSIRO Mathematical and Information Sciences, Sydney
"Modelling Operational Risk"
http://www.fam.tuwien.ac.at/events/index.php?showabstract=20060627
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 ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 23 Jun 2006 10:46:41 +0200
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM-Colloquia
Prof. Jozef Teugels
Katholieke Universiteit Leuven
Monday, July 24, 14:00, HF136
Title: Levy Processes, Polynomials and Martingales
Abstract: It has long been known that there is a close relationship between
Brownian motion {W(t),t>=0} and the Hermite polynomials {Hm(y),m=0,1,..}.
More specifically E{H_m(W(t)/Sqrt{2t})| W(s)}= (s/t)^(m/2)
H_m(W(s)/Sqrt{2s}).
We show that a similar property holds for a large variety of pairs of Levy
processes and polynomials associated with them. Particular attention is
given to orthogonal polynomials. Apart from the well-known case of Brownian
motion, the Poisson process (with the Charlier poly-nomials) and the
Bernoulli process (with the Krawtchouck poly-nomials) provide two other
explicit examples.
This work is joint with Wim Schoutens of the K.U. Leuven (Belgium).
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
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 22 Jun 2006 11:46:05 +0200 (CEST)
From: Catalin Starica <starica(a)math.chalmers.se>
Subject: Professor position in Asset Pricing at University of Gothenburg
Dear Colleague,
Please find atached the announcement [see plain text copy below] for a
professor position in Asset Pricing at University of Gothenburg. The
position is at a senior level but good not-so-senior researchers are
incourage to apply. The Center for Finance is actively trying to build
up its areas of competence and young, enthusiastic people are of an
utmost interest to us. Note that, even though the deadline is rather
close, there is a certain amount of flexibility in the application
process. We would be happy to get some strong signal of interest
rather soon (even if the full application dossier takes a little
longer to complete).
For more info on the Center for Finance please go to
http://www.hgu.gu.se/item.aspx?id=1023
I would be very greatful if you could forward this mail to anyone you
might think could be interested.
Sincerely,
Catalin Starica
PS: The Center is also looking for someone in Corporate Finance. See
http://ledig-anstallning.adm.gu.se/#
[attachemnt with word document converted to plain text by admin]
Handelshögskolan vid Göteborgs universitet är en stimulerande
mötesplats för ca 7000 studenter och närmare 500 anställda.
Handelshögskolan är unik genom sin kombination av ekonomi och juridik
inom såväl forskning som undervisning.
Felix Neuberghs professur i Bank och Finansvetenskap
REF NR 311 1640/06 med placering vid Centrum för finans.
Handelshögskolans fakultetsnämnd.
Sista ansökningsdag: 2006-06-29
Pending budgetary approval and administrative process, The School of
Business, Economics and Law at Göteborg University, Sweden, invites
applications to the Felix Neubergh chair in Banking and Finance,
specifically Financial Markets and Asset Pricing. The professor will
hold a position at the Centre for Finance. The Centre for Finance is a
joint venture between the Department of Business Administration and
the Department of Economics. Candidates must have an established
research record and a demonstrated effectiveness in teaching and
graduate student supervision. The successful candidate is expected to
teach courses at any level (in English). Furthermore, candidates are
expected to show great ability in and proved evidence of successful
teamwork. Salary and other employment conditions are negotiable, and
the salary will be competitive within Scandinavia. The selected
candidate will be expected to take up the position as soon as
possible.
Applications should include a current CV (in English) with a written
summary of scientific, teaching, administrative, and other
qualifications relevant for the position as well as the names of three
references whom we may contact. Reference to a maximum of 10
scientific publications and 10 other publications reflecting teaching
skills (e.g. textbooks, other teaching materials, editorials and
contributions to popular magazines etc.) should be included. Three
identical sets of those works should be kept available until the
university gives instruction as to which reviewers they should be
sent.
Under the higher Swedish Education Ordinance (SFS 1993:100), "a person
who has demonstrated both academic and teaching skills shall be
qualified for appointment as a professor. As much attention shall be
given to the assessment of teaching skills as to the assessment of
academic skills. Assessment for the appointment of teachers shall be
based on the degree in which a candidate possesses the skill required
to qualify for the appointment. Furthermore, regard shall be paid to
the degree in which a candidate possesses administrative and other
skills of importance, taking into account the subject matter
determined by the institution of higher education for the position and
the duties that the position will involve. Moreover regard shall be
paid to the degree in which a candidate possesses skills in developing
and managing activities and staff at the institution of higher
education and aptitude in interacting with the surrounding community
and informing people about research and development projects."
More detailed information about the position can be obtained from
Professor Lennart Hjalmarsson, +46 31 773 1345, e-mail:
lennart.hjalmarsson(a)economics.gu.se
Union representatives:
SACO Inger Wilgotson Lundh, tel. int +46 31 773 1989
OFR/S Eva Sjögren, tel. int +46 31 773 1169
SEKO Lennart Olsson, tel. int +46 31 773 1173
Application, including the reference number E 311 1640/06, must be
received by June 29, 2006, e-mailed or sent to (with a copy to the
School Recruitment Board, lennart.hjalmarsson(a)economics.gu.se).
Göteborg University
Registrator
Box 100
SE-405 30 Göteborg
Sverige (Sweden)
registrator(a)adm.gu.se
Situated in the city centre of Göteborg, The School of Business,
Economics and Law is a highly research-oriented school within Göteborg
University, a stimulating meeting-place for about 7000 students and
nearly 500 faculty and staff. Areas of specialization include
Accounting, Business Information Systems, Law, Industrial
Organisation, International Business and Management.
Göteborgs universitet är ett av de stora i Europa med nio fakulteter,
drygt 51 000 studenter och 5 500 anställda. Inom universitetet finns
konst, samhällsvetenskap, naturvetenskap, humaniora,
utbildningsvetenskap, lärarutbildning, IT-universitet, Handelshögskola
och Sahlgrenska akademin med medicin, vårdvetenskap och odontologi.
Unik bredd inom utbildning och forskning erbjuder goda möjligheter
till kreativ samverkan mellan vetenskaper samt med näringsliv och
offentliga aktörer. Högt sökandetryck och nobelpris vittnar om
universitetets höga kvalitet.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 19 Jun 2006 15:45:47 +0200
From: Franz X. Hof <fxhof(a)pop.tuwien.ac.at>
Subject: Vortrag ueber Frauen auf Finanzmaerkten
Vortrag im Rahmen des Konversatorium aus Operations Research (110.539)
26. Juni, 16 Uhr: Ulrike Freisleben-Hof, BA-CA, Wien:
Mathematik und Frauen - zwei notwendige Bedingungen fuer den Erfolg auf
Finanzmaerkten
Ort: TU, Hauptgebaeude, 1040, Karlsplatz 13, Stiege 1, 3. Stock, HS 15
Interessenten sind herzlich eingeladen.
G. Feichtinger
Timetable
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 20.06.2006 Martin Keller-Ressel
Non-Parametric Calibration of the
Barndorff-Nielsen-Shephard Model
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 13.06.2006 Oliver Fiala (Erste Bank)
16:30
Estimation and Comparison of Credit Transition Matrices
Tu, 13.06.2006 Alexander Cherny homepage (Moscow State University)
17:15
Coherent Risks and their applications
(lecture series, 2nd part)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
There was a small mistake in the announcement:
The duration of the talk on Thuesday is only 45 minutes
from 17:15-18:00.
Sorry for the faulty mail a minute ago, Sandra Trenovatz
--------------------------------------------------------------
Alexander S. Cherny,
(Moscow State University)
"Coherent Risks and their applications"
1st part: Friday, 9.06.2006, 11:00-12:30, FH 2,
FH2: Freihaus, yellow area, 2nd floor
Freihaus, Wiedner Hauptstr. 8-10, 1040 Wien
2st part: Tuesday, 13.06.2006, 17:15-18:00, Sem 107,
Sem 107: Freihaus, green area, 6th floor
3rd part: Friday, 16.06.2006, 11:00-12:30, Sem 105B
Sem 105B: Freihaus, green area, 7th floor
The basic idea behind these lectures is: the whole finance can be built
based on coherent risks.
I will speak about applications of coherent risks to:
- pricing;
- optimization;
- optimality pricing;
- equilibrium.
Moreover, several topics in the "pure" theory of coherent risks will be
discussed. These include:
- coherent risk contribution;
- capital allocation;
- factor risks.
I will also describe two new classes of coherent risks: Alpha V@R and
Beta V@R that are better than Tail V@R.
These lectures will be based on a series of papers available at:
http://mech.math.msu.su/~cherny/ (papers 24-30).
Alexander S. Cherny,
(Moscow State University)
"Coherent Risks and their applications"
1st part: Friday, 9.06.2006, 11:00-12:30, FH 2,
FH2: Freihaus, yellow area, 2nd floor
Freihaus, Wiedner Hauptstr. 8-10, 1040 Wien
2st part: Tuesday, 13.06.2006, 17:15-18:30, Sem 107,
Sem 107: Freihaus, green area, 6th floor
3rd part: Friday, 16.06.2006, 11:00-12:30, Sem 105B
Sem 105B: Freihaus, green area, 7th floor
The basic idea behind these lectures is: the whole finance can be built
based on coherent risks.
I will speak about applications of coherent risks to:
- pricing;
- optimization;
- optimality pricing;
- equilibrium.
Moreover, several topics in the "pure" theory of coherent risks will be
discussed. These include:
- coherent risk contribution;
- capital allocation;
- factor risks.
I will also describe two new classes of coherent risks: Alpha V@R and
Beta V@R that are better than Tail V@R.
These lectures will be based on a series of papers available at:
http://mech.math.msu.su/~cherny/ (papers 24-30).
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 6 Jun 2006 16:02:59 +0200 (CEST)
From: Rama CONT <Rama.Cont(a)polytechnique.fr>
Subject: Workshop on Financial Modeling with Jump Processes, Sept 6-8 2006
Dear colleague,
On behalf of the Scientific Committee and the Local Organizing Committee,
we are pleased to announce the forthcoming
Workshop on Financial Modeling with Jump Processes,
Ecole Polytechnique (Palaiseau, France), September 6-8, 2006
http://www.fiquam.polytechnique.fr/AMAMEF/
We invite contributions dealing with models based on jump processes and
their applications in finance dealing in particular, but not exclusively,
with the following issues:
Multidimensional models with jumps: dependence modeling, Lévy copulas,
numerical methods for multidimensional models.
Simulation and estimation: efficient simulation of multivariate models,
econometrics of jump processes, realized volatility/ bi-power variation.
Partial integro-differential equations (PIDEs) and computational methods
Inverse problems: theory and algorithms for inverse problems related to
option pricing models with jumps.
New modeling approaches: Markov processes with jumps, models for
electricity prices, interest rate models with jumps and their efficient
analytical and numerical treatment
* DEADLINE for submission of abstracts: JUNE 15, 2006
* DEADLINE for registration: AUGUST 1, 2006.
For more information please visit the conference website:
http://www.fiquam.polytechnique.fr/AMAMEF/
THIS WORKSHOP IS SUPPORTED BY:
European Programme on "Advanced mathematical methods for finance"
Centre de Mathematiques Appliquees, Ecole Polytechnique
Chaire des Risques Financiers, Ecole Polytechnique
Seminar on Applied Mathematics, ETH Zurich
Europlace Institute of Finance
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 6 Jun 2006 08:59:56 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 2 Jun 2006 10:58:09 +0200
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM Group Seminar - Financial Mathematics: Dr. Peter
Friz, June 26
GROUP: Financial Mathematics
Dr. Peter Friz
Department of Pure Mathematics
and Mathematical Statistics, Univ. Cambridge, UK
Monday, June 26, 10:30, HF136
Title: Support Theorems via Rough Paths
Abstract: We will report on recent joint work with N. Victoir, T.
Lyons and D. Stroock concerning support theorems for solutions of
stochastic differential equations. The talk will contain a quick
introduction to rough path theory.
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 removed]
Tu, 06.06.2006 Andreas H. Hamel (Universität Halle-Wittenberg)
Fenchel conjugation for set-valued convex functions and
applications to set-valued risk measures
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------------
Final Workshop of the Research Training Network
"Evolution Equations for Deterministic and Stochastic Systems"
June 5 to June 8, 2006
http://www.fam.tuwien.ac.at/events/rtn-workshop/
Program: http://www.fam.tuwien.ac.at/~jteichma/program.html
-----------------------------------------------------------------------
Mo, 29.05.2006 Johannes Leitner
16:15, SEM 104
Optimale Portfolios mit
'lower partial moment constraints'
Vortragsreihe: Wissenswertes der Mathematik
http://info.tuwien.ac.at/goldstern/wissen/
Seminarraum 104: Freihaus, 5. OG, grüner Bereich (hinter den Aufzügen)
Wiedner Hauptstraße 8-10, 1040 Wien
Dienstag, 23. Mai 2006, 16:30 Uhr,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstraße 8-10,
Freihaus Hörsaal FH 2, Freihaus, 2.OG, gelber Bereich
Prof. Dr. Nicole Bäuerle,
Institut für Mathematische Stochastik, Universität Karlsruhe
"Portfolio-Optimierung bei Sprung-Diffusionsprozessen
mit unbeobachtbarer Sprungintensität"
http://www.fam.tuwien.ac.at/vr/20060523.php
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 18 May 2006 13:41:06 +0200
From: Hellmuth Stachel <stachel(a)dmg.tuwien.ac.at>
Subject: Einladung - Berufungsvorträge "Math. Analysis"
Liebe Kolleginnen und Kollegen!
Im Auftrag von Frau Koll. Troch sende ich Ihnen hiemit die
Liste der Berufungsvorträge für 'Mathematische Analysis'
zu. Diese 8 Vorträge finden in der Zeit von Mittwoch, 31.5.
bis Freitag, 2.6. statt.
Mit herzlichen Grüßen
H. Stachel
(...)
Technische Universität Wien
Institut für Analysis und Scientific Computing
Einladung
zu
Berufungsvorträgen für die Professur
..Mathematische Analysis..
Ort: SEM 101 A, Freihaus, Turm A (grün, 3.OG, gegenüber dem Lift)
Mittwoch, 31.Mai 2006
9:00 Uhr (pünktlich): Pavel Kurasov, Lund Institute of Technology,
Quanten-Graphen: Warum soll man einen Mathematiker fragen ?
(Direkte und inverse Probleme und Euler-Charakteristik)
11:15 Uhr (pünktlich): Manfred Salmhofer, Universität Leipzig,
Analytische Aspekte der Fermiflächentheorie
14:30 Uhr (pünktlich): Joachim Escher, Universität Hannover,
Zur qualitativen Theorie nichtlinearer partieller
Differentialgleichungen
Donnerstag, 1.Juni 2006
9.00 Uhr (pünktlich): Ansgar Jüngel, Universität Mainz,
Mathematische Analysis nichtlinearer Modelle aus der Physik und
Biologie
11.15 Uhr (pünktlich): Bernd Kirchheim, Trinity College,
Mikrostrukturen in Materialien und die Analysis ihrer Geometrie
17:00 Uhr (pünktlich): Martin Burger, Universität Linz,
Metrische Gradientenflüsse und Anwendungen
Freitag, 2.Juni 2006
9.00 Uhr (pünktlich): Christiane Tretter, Universität Bremen,
Spektraleigenschaften gekoppelter Systeme partieller
Differentialgleichungen in der
mathematischen Physik
11:15 Uhr (pünktlich): Matthias Hieber, TU Darmstadt,
Rotierende Fluide und Navier-Stokes Gleichungen: Analysis und
Anwendungen
I. Troch
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe aus Finanz- und Versicherungsmathematik wird
Professor Klaus D. Schmidt von der TU Dresden am Dienstag, den 16. Mai
2006, einen Vortrag an der TU Wien halten. Zwei weitere Vorträge hält
er im Rahmen der Vorlesung Sachversicherungsmathematik am Montag und
Donnerstag, 15. und 18. Mai 2006:
Mo, 15.05.2006 Klaus D. Schmidt (TU Dresden)
12:30, Freihaus, Hörsaal FH 2:
Lineare Prognosen und Schadenreservierung
Di, 16.05.2006 Klaus D. Schmidt (TU Dresden)
16:30, Freihaus, Hörsaal FH 2:
Bornhuetter-Ferguson & Co.:
Eine Familie von Verfahren der Schadenreservierung,
Vortragsreihe aus Finanz- und Versicherungsmathematik
Do, 18.05.2006 Klaus D. Schmidt (TU Dresden)
12:30, Freihaus, Hörsaal FH 2:
Multivariate Modelle und Methoden in der
Schadenreservierung
Abstracts finden Sie unter:
http://www.fam.tuwien.ac.at/events/
Mit besten Grüsse, FAM-office
---------------------------------------------------------------------
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgenden Vorträgen einladen:
Dienstag, 16. Mai 2006, 16:30 Uhr,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstraße 8-10,
Freihaus, Hörsaal FH 2
Prof. Dr. Klaus D. Schmidt,
Institut für Versicherungsmathematik, TU Dresden
"Bornhuetter-Ferguson & Co.:
Eine Familie von Verfahren der Schadenreservierung"
http://www.fam.tuwien.ac.at/vr/20060516.php
Dienstag, 23. Mai 2006, 16:30 Uhr,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstraße 8-10,
Freihaus, Hörsaal FH 2
Prof. Dr. Nicole Bäuerle,
Institut für Mathematische Stochastik, Universität Karlsruhe
"Portfolio-Optimierung bei Sprung-Diffusionsprozessen
mit unbeobachtbarer Sprungintensität"
http://www.fam.tuwien.ac.at/vr/20060523.php
Dienstag, 27. Juni 2006, 16:30 Uhr,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstraße 8-10,
Freihaus, Hörsaal FH 2
Dr. Mathias Zocher
TU Dresden, Institut für Mathematische Stochastik
"Multivariate gemischte Poissonprozesse -
Bonus-Malus-Systeme in der KH-Versicherung
http://www.fam.tuwien.ac.at/vr/20060627.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dkfm. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. 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 ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 11 May 2006 18:11:19 -0700 (PDT)
From: Jaksa Cvitanic <cvitanic(a)hss.caltech.edu>
Subject: positions at USC
Dear All:
My former employer, Dept of Mathematics at University
of Southern Califonia in Los Angeles, will be looking to
fill possible positions in Mathematical Finance and/or
Stochastic Analysis, at a senior level.
If someone you know is interested,
please let them contact me, or contact directly the chair of the
department, Prof Gary Rosen, at grosen(a)usc.edu.
Best regards,
Jaksa
--------------------
Jaksa Cvitanic
Professor of Mathematical Finance
Division of The Humanities and Social Sciences
M/C 228-77
Caltech
1200 E. California Blvd.
Pasadena, CA 91125
Phone: (626) 395-1784
e-mail: cvitanic(a)hss.caltech.edu
Fax: (626) 405-9841
Web page: www.hss.caltech.edu/~cvitanic
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 11 May 2006 08:43:40 +0200
From: ELIE Romuald <Romuald.Elie(a)ensae.fr>
Subject: <Bachelier> Workshop on risk measures, Evry, 6-7 July 2006
Groupe BACHELIER <http://www.bachelier-paris.com>
CMAP, CREST, INRIA, Paris VI, Paris VII, Paris IX, Université d'Evry.
(Org. : B. Bouchard, L. Campi, R. Cont, N. El Karoui, M. Jeanblanc, H. Pham,
M.-C. Quenez)
--------------------------------------------------
"Workshop on Risk Measures" at Evry University, on the 6th and 7th of July 2006.
Schedule:
Thursday july 6
10h00 R. A Dana. - G. Carlier (Ceremade) Microeconomic problems
with concave law invariant utilities.
10h45 F. Maccheroni, (Univ. Bocconi) Dynamic Variational
Preferences & Monetary Utility Functions
14h00 M. Fritelli (Firenze Univ) To be announced
14h45 S. Uryasev (Univ. of Florida, St. & Poor's) Generalized Deviations
are Counterparts to Risk Measures
16h30 M. Kupper, (ETH Zurich) Time-consistency
of indifference prices and monetary utility functions.
17h15 S. Kloeppel (ETH Zurich) Dynamic Good
Deal Bounds
Friday, July 7
10h00 M. Crouhy (IXIS-CIB) Risk Management,
Capital Attribution and Performance Measurement.
10h45 H. Föllmer (Humboldt University, Berlin) Convex risk measures:
consistency and asymptotic precision
14h00 F. Delbaen (ETH Zurich) To be announced
14h45 N. ElKaroui (CMAP) Optimal risk
transfer with interest rates ambiguity
16.30 J. Bion Nadal (CMAP) Dynamic risk
measuring and pricing in incomplete markets
Fees: 50 euros for academics, 150 euros for practitioners
For registration, please contact Valerie Picot at: valerie.picot(a)univ-evry.fr.
Map: How to reach Evry university?
http://www.univ-evry.fr/PagesHtml/Moyen_Acces.htm
Web site: http://www.maths.univ-evry.fr/mathfi/RM06.doc
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 26 Apr 2006 08:58:46 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 25 Apr 2006 10:00:09 -0400
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
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, 2006 or thereafter, the stipend will be CAD 40,000 per
annum plus a CAD 2,000 grant per annum for research expenses.
Applications will be accepted until the position is filled. Applications and
three letters of reference should be sent immediately to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
We are delighted to announce that Professor Nicos Christofides, Centre for Quantitative Finance, Imperial College, will be speaking on Portfolio Trading for Hedge Funds at our forthcoming conference "New Directions in Financial Modelling", London, 23-24 May 2006. The presentation covers optimization for calibration of pricing (also risk management) models to market data, a "hot topic" of great interest in the City at the moment.
Following are the details of Professor Christofides' presentation:-
Portfolio Trading for Hedge Funds
Nicos Christofides, Centre for Quantitative Finance, Imperial College
· The choice of asset and macroeconomic time-series to include in a dynamic trading model.
· Determination of driving factors using non-linear Independent Components
· Dynamic stochastic modelling with Neural Networks.
· Training by global optimization using the Bionomic Algorithm
· Construction of an arbitrage-free state transition graph for the tradable assets
· Solving an optimal portfolio trading problem using state-space relaxation within Dynamic Programming
· Examples of real-life results obtained from applications to hedge funds.
On 25 May Professor Christofides will also give a demonstration of the system - this computer demo will be of a real hedge fund and not an example.
For full programme details, including how to book, please go to www.carisma.brunel.ac.uk/finance2006 <http://www.carisma.brunel.ac.uk/finance2006> , www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> or write to info(a)unicom.co.uk <mailto:info@unicom.co.uk> for PDF brochure.
We look forward to welcoming you to the event; please also make your colleagues aware of it.
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
Timetable
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 25.04.2006 Karel Janecek (RSJ Invest, Prague)
Optimal investments with proportional profit-share fee:
Analysis of the high-water-mark fee structure
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 04.04.2006, Stefan Gerhold
"The current state of the OeBFA module
of the CD laboratory"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 16:19:12 +0100 (BST)
From: Sam Howison <howison(a)maths.ox.ac.uk>
Subject: Chair at Oxford
Dear Colleague
The Oxford Mathematical Finance group is delighted to announce that we are able
to appoint to a Chair in the subject. This is a senior position and offers an
exciting opportunity to take a leading role in one of the UK's top groups in the
subject. Further details can be found on
http://www.maths.ox.ac.uk/notices/vacancies/institute/professor3.shtml
I will be happy to answer any queries about this position.
Sam Howison
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 17:07:09 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 17:00:27 +0200
From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de>
Subject: Ausschreibung "SCOR-Preis für Aktuarwissenschaften 2006"
SCOR-Preis für Aktuarwissenschaften 2006
========================================
Sehr geehrte Kolleginnen und Kollegen,
zum nunmehr zehnten Mal stiftet das Rückversicherungsunternehmen SCOR
Deutschland, Tochtergesellschaft der französischen SCOR-Gruppe, die zu den
Top Ten unter den internationalen Rückversicherern zählt, in Zusammenarbeit
mit der Universität Ulm drei Preise zur Förderung von
Nachwuchswissenschaftlern deutschsprachiger Universitäten, deren Arbeiten
einen Bezug zu aktuarwissenschaftlichen Fragestellungen aufweisen. Die
Ausschreibung ist bewusst breit und interdisziplinär angelegt und erlaubt
auch die Einreichung von Dissertationen und Diplomarbeiten.
Im Namen der Jury und von SCOR Deutschland möchte ich Sie herzlich bitten,
die beiliegende Ausschreibung (siehe Attachment) an geeignete Interessenten
weiterzugeben und diese zur Teilnahme zu ermutigen.
Mit freundlichen Grüßen
Hans-Joachim Zwiesler
[attachment removed by admin, same data available at
http://www.scor.com/www/index.php?id=139&L=2 ]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 15:31:21 +0200
From: "Feichtinger, Gustav" <or(a)server.eos.tuwien.ac.at>
Subject: Akademie-Vortrag von Prof. Kaplan (Yale) ueber HIV
Die OeAW veranstaltet am 5. April im Rahmen der Boehm-Bawerk Lectures einen
Vortrag ueber Vorbeugungsstrategien zur HIV/AIDS-Pandemie (siehe unten).
Als Moderator der Veranstaltung lade ich dazu herzlich ein (Anmeldung nicht
erforderlich).
Prof. Kaplan ist einer der weltweit fuehrenden Experten zur effizienten
Allokation von Ressourcen fuer HIV-Praevention.
Mit besten Gruessen,
Gustav Feichtinger
xxxxxxxxxxxxxxxxxxx
Edward Kaplan (http://mba.yale.edu/faculty/professors/kaplan.shtml)
Sex, Drugs and Shadow Prices: The Economics of HIV Prevention
Worldwide, human immunodeficiency virus (HIV) infection and acquired immune
deficiency syndrome (AIDS) remain a major preventable cause of death, thus
the importance of programs intended to prevent HIV infection is obvious.
Less obvious is how to apportion those resources available for HIV
prevention among programs targeting members of different risk groups in
different locations. Getting this right requires joining the epidemiology of
HIV and the evaluation of prevention programs with economic analysis. How to
do so is the subject of this talk.
Zeit: 5. April, 18.15
Ort: Festsaal der Oesterreichischen Akademie der Wissenschaften, 1010 Wien,
Dr. Ignaz Seipel-Platz 2
Timetable
Tuesdays, 15:30-16:30 + 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 28.03.2006 15:30
Umut Cetin (London School of Economics)
An equilibrium model for default risk
Tu, 28.03.2006 16:30
Michael Hanke (Universität Innsbruck)
Structural Credit Risk Models Beyond Merton:
Solutions via PDEs vs. Change-of-Numeraire
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/