by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
From: Prof. Heinz W. Engl
---------- Forwarded message ----------
Date: Tue, 21 Mar 2006 14:02:21 +0100
From: Lottelis Moser <Lottelis.Moser(a)oeaw.ac.at>
Subject: Ausschreibung DOC und APART
Sehr geehrte Damen und Herren!
Die Österreichische Akademie der Wissenschaften (ÖAW) schreibt mit
finanzieller Unterstützung des Bundesministeriums für Bildung,
Wissenschaft und Kultur (bm:bwk) folgende Förderprogramme mit neuen
Zulassungsbedingungen aus.
Wir möchten Sie besonders darauf aufmerksam machen, dass der
Einreichtermin für APART geändert wurde:
DOC [Doktorand(inn)enprogramm der Österreichischen Akademie der
Wissenschaften]
Pre-doc-Stipendien für hoch qualifizierte Dissertant(inn)en aus allen
Bereichen der Forschung, die sowohl im In- als auch im Ausland in
Anspruch genommen werden können
Anforderungsprofil: Bewerber(innen) müssen die österreichische
Staatsbürgerschaft besitzen oder seit mehr als zwei Jahren in
Österreich leben, dürfen ihr Diplom- bzw. Masterstudium vor nicht
mehr als zwei Jahren abgeschlossen haben und zum Zeitpunkt der
Einreichung noch nicht 28 Jahre alt sein (Ausnahmeregelungen siehe
Statuten).
Förderung / Förderdauer: Das Stipendium in Höhe von 30.000,- brutto
pro Jahr wird für max. 36 Monate vergeben.
APART [Austrian Programme for Advanced Research and Technology]
Post-doc-Stipendien für hoch qualifizierte promovierte
Wissenschaftler(innen) aus allen Bereichen der Forschung, die sowohl im
In- als auch im Ausland in Anspruch genommen werden können
Anforderungsprofil: Bewerber(innen) müssen die österreichische
Staatsbürgerschaft besitzen oder seit mehr als zwei Jahren in
Österreich leben, müssen ihr Doktorat vor mehr als zwei Jahren
abgeschlossen haben und dürfen zum Zeitpunkt der Einreichung noch nicht
36 Jahre alt sein (Ausnahmeregelungen siehe Statuten).
Förderung / Förderdauer: Das Stipendium in Höhe von 50.000,- brutto
pro Jahr wird für max. 36 Monate vergeben.
Einreichtermin für die Programme: 31. Mai 2006
Ich bitte Sie, diese Förderprogramme in Ihrem Wirkungskreis bekannt zu
machen. Genauere Informationen finden Sie unter http://www.stipendien.at
Für Fragen stehe ich gerne zur Verfügung!
Mit besten Grüßen
Dr. Lottelis Moser
Abteilung für Stipendien & Preise der ÖAW
Dr. Ignaz Seipel-Platz 2
1010 Wien
Tel.: 01/51581-1207, Fax: 01/51581-1264
e-mail: lmoser(a)oeaw.ac.at
Timetable
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 21.03.2006 Uwe Schmock (FAM, TU Vienna)
Stein's method for proving the central limit
and the Berry-Esséen theorem
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: Thu, 09 Mar 2006 13:49:13 -0500
From: Nancy J. Watson <nw0z(a)andrew.cmu.edu>
Subject: Heath Lectures at Carnegie Mellon University (fwd)
Dear Colleagues,
Please distribute the following information among your faculty and, in
particular, PhD students. Sorry for an extra e-mail.
Dmitry.
HEATH LECTURES
The Center for Computational Finance at Carnegie Mellon University
will host the first annual "HEATH LECTURES" in the period May 15-19,
2006. The theme of this first series of lectures will be RISK
MEASUREMENT AND MANAGEMENT. The speakers will be
Freddy Delbaen
Department of Mathematics
ETH - Zurich
Alexander Schied
Department of Mathematics
Technical University of Berlin
Each speaker will give five 90-minute lectures over the course of the
five days. Both lectures will be given in the afternoon between 1:30
and 5:00 pm. Some of the lectures will be tutorial.
While there is no fee for attending the workshop we kindly ask the
participants to register by sending an e-mail to Ferna
Hartman <mailto:fh0d@andrew.cmu.edu> (fill the subject field with
"registration for Heath lectures"). This should help us to plan the
event.
Out of Pittsburgh participants are welcome, but have to organize their
travel and accommodation on their own. Useful information can be found
on
http://www.cmu.edu/home/visitors
Do not forget to register!
Up-to-date information on workshop will be available on
http://www.math.cmu.edu/~ccf/docs/announcements.htm
Dmitry Kramkov
Associate Professor
Department of Mathematical Sciences
Wean Hall 6126
Carnegie Mellon University
Pittsburgh, PA, 15213-3890
Phone: 412-268-5912
Fax: 412-268-6380
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 9 Mar 2006 09:47:09 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] Johannes Kepler Symposium
Univ.-Doz. Dr. Hansjoerg Albrecher
(RICAM, Linz)
Mittwoch, 22. Maerz 2006, 17:00 Uhr
Universitaet Linz, im HS 9
Titel: "Bewertung von Risiken in der Versicherungsmathematik"
Abstract:
Als Versicherungsnehmer geht man davon aus, dass das
Versicherungsunternehmen seinen vertraglichen Verpflichtungen auch
jederzeit nachkommen kann. Um dies in der Praxis zu gewaehrleisten,
bedarf es einer genauen Analyse der involvierten Risiken. In diesem
Vortrag soll illustriert werden, wie Risiken "gemessen" werden koennen
und wie mathematische Methoden in der Entwicklung effektiver und
stabiler Strategien im Versicherungswesen zum Einsatz kommen.
Insbesondere soll dabei auch auf aktuelle Alternativen
zu Rueckversicherungen wie etwa der Verzahnung der Versicherungsbranche
mit dem Finanzmarkt eingegangen werden.
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20060309T1157.pdf
Type: PDF document, version 1.3
Size: 53507
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Von: Howard Jones [mailto:howard.jones@said-business-school.oxford.ac.uk]
Gesendet: Dienstag, 07. März 2006 15:24
Betreff: Oxford University Master's in Financial Economics
Dear Colleague,
I would like to bring to the attention of your students a new master's
programme at Oxford University: the Master's in Financial Economics (MFE).
It is an intensive nine-month programme taught jointly by the Economics
Department and the Finance Faculty at the Saïd Business School.
We want to attract applicants who are in the final year of an undergraduate
degree. The programme is also aimed at students who have a few years' work
experience after their first degree. We are particularly looking for
candidates with very strong quantitative skills, whatever the subject of
their first degree.
The inaugural MFE class of 70 students began in October and is now half-way
through the programme. They are an exceptional group of individuals
including six Rhodes Scholars and one Marshall Scholar, as well as employees
from government finance ministries, the IMF, and top investment banks. They
have an average GMAT of 730 which, to my knowledge, is higher than for any
comparable programme. We expect that most who graduate from the programme
will pursue careers in the financial services sector, although there is also
a research track leading to a doctoral degree. There is more information
at:
<http://www.sbs.oxford.edu/mfeweb> www.sbs.oxford.edu/mfeweb
What would be the best way to reach students in your department? I enclose
information sheets which you can print off or forward to students, and a
poster which can be put on a notice-board. I would also be happy to mail you
a hard copy of the poster. Please could you let me know if you would like me
to do this or confirm to me if you forward this message to your students.
I would be delighted to answer any questions you, your colleagues or your
students may have on this programme.
Yours faithfully,
Howard Jones, Programme Director
Master's in Financial Economics
Saïd Business School, University of Oxford
Tel: +44 (0) 1865 288849
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 07 Mar 2006 11:15:29 +0100
From: ESI Secretary <secr(a)esi.ac.at>
To: undisclosed-recipients: ;
Subject: RDSES Workshop March 12-25
RDSES Educational Workshop on Discrete Probability
March 12 – 25, 2006
Minicourses and program
First week:
Alex Gamburd (Princeton): "Discrete and continuous variations on the
expanding theme"
Talks: Monday 13 - Thursday 16 March 15.00-15.50
Christophe Pittet (Marseille): "Random walks and isoperimetry in
compactly generated groups"
Talks: Monday 13 March 10.00-10.50 and Tuesday 14 - Friday 17 March
9.10-10.00
Second week:
Persi Diaconis (Stanford): "Sharp transitions in probability,
combinatorics, and statistical mechanics"
Talks: Monday 20 March 10.00-10.50 and Tuesday 21 - Friday 24 March
9.10-10.00
Greg Lawler (Cornell): "Random walk problems from statistical physics"
Talks: Monday 20 - Friday 24 March 15.00-15.50
all lectures will take place in the ESI Boltzmann lecture hall
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
seminars within one week
Tu, 07.03.2006 Yuliya Bregman (Universität München)
Estimation of multivariate ruin probabilities
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 Feb 2006 16:47:21 +0100
From: Silke Posch <sp(a)slg.co.at>
Subject: Suche nach Treasury-Consultants
Sehr geehrter Herr Prof. Dr. Schachermayer,
mit knapp 50 Mitarbeitern gehören wir zu den führenden
Treasury-Beratungsunternehmen in Europa. Für unser Team suchen wir
regelmäßig junge "Talente" und werden unser nächstes Assessment Centre
für Universitätsabsolventen am 21. und 24. April 2006 in Wien durchführen.
Mit diesem Schreiben möchten wir Sie bitten, die beiliegende Anzeige [1]
an Ihrem Institut auszuhängen bzw. Studenten, die am Thema
Treasury-Management interessiert sind, auf unseren Bedarf hinzuweisen.
Wir erlauben uns, Ihnen diese Informationen auch auf dem Postweg zuzuleiten.
Für Ihre Unterstützung wären wir sehr dankbar!
Mit freundlichen Grüßen
Utz Greiner
--
Silke Posch
Assistenz
Schwabe, Ley & Greiner Gesellschaft m.b.H.
Margaretenstraße 70
A-1050 Wien
Tel.: 0043-1-585 48 30, Fax 0043-1-585 48 30/15
mailto:sp@slg.co.at, Internet: http://www.slg.co.at
_________________________________________________________
This e-mail may contain information which is privileged, confidential
and protected from disclosure. If you are not the intended recipient,
please advise immediately, destroy the message and do not disclose
the contents or take copies. Thank you.
********************************************************
S C H O N V O R G E M E R K T ?
18. Finanzsymposium - Das Finanzforum für die Wirtschaft
26. bis 28. April 2006 in Mannheim
Alle Details: http://www.slg.co.at/finanzsymposium
********************************************************
[1] siehe http://www.slg.co.at/karriere
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 20 Feb 2006 18:50:34 -0500
From: Ronnie Sircar <sircar(a)Princeton.EDU>
Subject: Position
Dear Colleague,
I would be grateful if you would bring to the attention of potential
candidates you know the position described in the announcement below.
Best regards,
Ronnie Sircar.
------------------------------
PRINCETON UNIVERSITY
Operations Research & Financial Engineering Department
The Department of Operations Research and Financial Engineering
invites applications for a faculty position at either the assistant
professor or senior level.
Candidates must possess a strong commitment to excellence in teaching
at both the undergraduate and graduate levels, and show demonstrable
excellence in research. The search is for such persons within the
general areas of stochastics, optimization, simulation, financial
engineering, and information technology.
The department is in the School of Engineering and Applied Science,
and is strongly involved in the activities of the Bendheim Center for
Finance. The appointee is expected to perform well within an
engineering setting and to have strong interest in our collaborative
efforts in finance.
Princeton University is an affirmative action/equal opportunity
employer and especially welcomes applications from women and
minorities. Applicants should send a resume along with the names of
at least three persons who can serve as references. Applications will
be considered from the date of this announcement. Please submit your
application of interest in electronic format to:
ORFE-search(a)princeton.edu or by mail to: Search Committee, ORFE
Department, E-Quad, Princeton University, Princeton, NJ 08544. For
information about how to self identify, please link to
http://web.princeton.edu/sites/dof/ApplicantsInfo.htm
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 9 Feb 2006 06:12:57 -0500
From: Ursula Gerber <Ursula.Gerber(a)mail.quantum.at>
To: director(a)esi.ac.at, secr(a)esi.ac.at
Werte Damen und Herren,
darf ich Sie bitten, in Ihrem Umfeld den beigefügten Wettbewerb, der im
Rahmen der Gödel-Konferenz veranstaltet wird, anzukündigen bzw. ggf.
selber daran teilzunehmen.
Er richtet sich an Studierende, die nach dem 1.1.1970 geboren wurden,
mit den Fachrichtungen Logik, Mathematik, Physik, Informatik, Theologie
und Philosophie.
Erster Preis: EUR 20.000,- zweiter und dritter Preis: je EUR 5.000,-
Submission Deadline: 24.2.2006
Für Rückfragen stehe ich gerne zur Verfügung!
Herzlichen Dank, Ursula Gerber
Inst. f. Experimentalphysik
Boltzmanngasse 5
1090 Wien
+43 1 4277-512 05
Young Scholars' Competition
The Kurt Gödel Centenary: Horizons of Truth organizers and sponsors
invite young scholars in logic, mathematics, physics, philosophy,
computer science and theology to submit project proposals for young
scholars' competition honoring Kurt Gödels hundredth birthday.
Web: http://www.logic.at/goedel2006/index.php?students
Project Proposal Description
Submitted project proposals should be strongly connected to the
scientific achievements including recent applications and/or life of
Kurt Gödel. The proposals can cover any of the following disciplines:
logic, mathematics, physics, computer science, theology or philosophy.
An interdisciplinary, international jury will carefully consider all
proposals, and will invite authors of the ten best submissions to the
Horizons of Truth Symposium to present their work. The travel and hotel
costs of each of the ten candidates will be paid by the organizers.
At the symposium, a fifteen minute time slot will be allocated to each
presentation. The presentations will take place at Josefinum on April
26, 2006 in the late afternoon (exact time to be announced here in due
course).
Participation Criteria
In order to participate in this competition, you must be born on or
after January 1, 1970.
Required documents
1. Project proposal
2. Curriculum vitae
3. List of references
Important note: Submissions should contain a description of the future
research project, its relation to the fields of research as mentioned
above, and to Kurt Gödel's life or work, and possible applications.
Including the list of references, and the CV it should not exceed six
(6) pages in PDF format.
The prize will facilitate the implementation of this particular project
or other scientific work. Prizes will be awarded without conditions or
constraints.
Prizes
Ten chosen projects will compete for three top prizes.
1st prize: 20 000 EUR
2nd and 3rd prize: 5000 EUR each
The prize ceremony will be held on Kurt Gödels birthday at the gala
dinner in the famous Belvedere Palace.
Deadlines
Submission deadline: Monday, 24. February 2006. 6 p.m. CET
Notifications: Monday, 15. March 2006.
Submission Modalitites
Only the electronic submissions using the EasyChair system on the
Conference's webpage will be accepted.
The modalities are available here
http://www.logic.at/goedel2006/index.php?submissions.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Wed, 8 Feb 2006 08:42:39 +0100
From: Institut für Mathematik <sekr.mathematik(a)univie.ac.at>
Subject: MathKoll. am 15.02./Prof. Warwick Tucker
Mathematisches Kolloquium
EINLADUNG
zu einem
VORTRAG
von
Prof. Dr. Warwick Tucker
(Dept. of Math., Uppsala University, Sweden)
mit dem Thema:
''The Lorenz attractor exists''
Abstract:
Four decades ago, the meteorologist Edward Lorenz introduced a simplified
model of atmospheric dynamics in his now famous article "Deterministic
Non-periodic Flow" published in the Journal of Atmospheric Sciences. The
simple system of differential equations produced amazingly complicated
solutions. One stunning property was that solutions starting very close
together were separated at an exponential rate. This gave rise to the
concept of the "butterfly effect", and seriously undermined the idea of a
deterministic world. Another feature of the system was that almost all
solutions tended to an invariant set on which they moved in a non-periodic
fashion.
For over 35 years Lorenz' equations defied all attempts at proving that they
really exhibit a so called "strange attractor". In this talk, I will present
a proof of this fact, produced during my graduate studies at Uppsala
University. By using a combination of pure and applied mathematics, it is
possible to prove that the equations do indeed give rise to a strange
attractor. Moreover, the attractor is robust, i.e., all nearby systems will
display similar strange attractors. The proof has two main ingredients:
rigorous numerics - which produces information about the global behaviour of
the system, and normal form theory - which deals with subtle local
properties of the solutions.
This work was described in Nature (by Ian Stewart), and won several prizes,
e.g. the European Mathematical Society Prize, and the R. E. Moore Prize for
Applications of Interval Analysis.
Zeit: Mittwoch, 15. Februar 2006,
15.45 Uhr (Kaffeejause), anschlieszend 16.15 Uhr Vortrag
Ort: Fakultaet fuer Mathematik der Universitaet Wien, Nordbergstr. 15,
Seminarraum C 2.09
Harald Rindler
Arnold Neumaier
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Wed, 08 Feb 2006 12:14:05 +0100
From: Monique JEANBLANC <Monique.Jeanblanc(a)univ-evry.fr>
Subject: EVRY RISK MEASURE
Une conférence de deux jours (6 et 7 juillet 2006) est organisée par
l'université d'EVRY sur le thème
MESURES DE RISQUE
Les orateurs ayant confirmé leur participation sont
Nicole El Karoui,
Hans Follmer,
Jocelyne Bion Nadal,
Freddy Delbaen,
Stanislas Uryasev,
Michel Crouhy,
Fabio Maccheroni,
Marco Frittelli
Rose Anne Dana
Contactez Valérie Picot valerie(a)univ-evry.fr pour vous inscrire. Les
frais d'inscription comportent les repas de midi du jeudi et du
vendredi.
Cette conférence est soutenue par le groupe AMAMEF
Les organisateurs
Nadiane Bellamy nadine.bellamy(a)univ-evry.fr
Laurent Denis laurent.denis(a)univ-evry.fr
Stéphane Crépey stephane.crepey(a)univ-evry.fr
Monique Jeanblanc monique.jeanblanc(a)univ-evry.fr
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 6 Feb 2006 17:56:12 -0000
From: "Norberg,R" <R.Norberg(a)lse.ac.uk>
Subject: Lectureship at LSE
Dear Colleague,
If you should happen to know a suitable potential applicant then,
please, forward this.
Lecturer in Statistics
Applicants should have a first rate track record in research in
statistics or stochastic modelling in any area of statistics but
knowledge of computational statistics would be looked upon favourably.
Strengths of the Department are: time series, theoretical statistics and
probability, actuarial and financial mathematics, social statistics and
industrial statistics.
The closing date for receipt of applications is 10 March 2006
Further details are at
http://www.lse.ac.uk/collections/recruitment/jobsAtLSE/CurrentVacancies.htm…
Details about the department are at www.lse.ac.uk/collections/statistics
Information about the new MSc Risk and Stochastics and staff teaching
and conducting it are at
http://www.lse.ac.uk/collections/statistics/study/prospective/MScRiskandSto…
Thanks
R Norberg
Professor Ragnar Norberg
Department of Statistics
London School of Economics
Houghton Street
London WC2A 2AE
Tel +44 (0) 20 7955 6030
R.Norberg(a)lse.ac.uk
http://stats.lse.ac.uk/norberg/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 06 Feb 2006 15:07:08 -0800
From: pims <pims(a)pims.math.ca>
Subject: PIMS-CMM Frontiers in Mathematics and Economics
The Pacific Institute for the Mathematical Sciences is pleased to
announce the Summer School Frontiers in Mathematics and Economics, at
the University of British Columbia, July 10-31, 2006
http://www.pims.math.ca/science/2006/06ssfme/
Please also find the attached poster for the summer school.
[attachment removed by admin; info available at above URL]
The summer school brings together graduate students, postdoctoral
fellows and young faculty members from business schools, economics,
mathematics and operations research with leading economists and
mathematicians. It exposes students in business administration and
economics to mathematical models and methods that they will find useful
in their research, and graduate students and young researchers in
mathematics and operations research to new mathematical problems arising
from economic theory.
The main focus of the summer school is a set of four courses, each
taught by world leaders in the corresponding discipline. All courses are
accompanied by introductory tutorials and a series of seminar presentations.
1. Topic: Dynamic Contract Theory and Corporate Finance
Lecturer: Jean-Charles Rochet (Professor of Mathematics and
Economics, U. Toulouse I)
2. Topic: Equilibrium: Theory and Computation
Lecturers: Kenneth L. Judd (Senior Fellow, Hoover Institution on
War, Revolution and Peace),
R. Tyrrell Rockafellar, (Professor of Mathematics, U. Washington),
Roger Wets (Professor of Mathematics, UC, Davis)
3. Topic: Information and Markets
Lecturer: William R. Zame (Professor of Mathematics and Economics,
UC, Los Angeles)
4. Topic: The mathematical Structure of Quality Pricing
Lecturer: Ivar Ekeland (Professor of Mathematics and Economics, UBC)
Please forward this message to the members in your Economics Department
and Business School if possible.
Today, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Mo, 30.01.2006 Gabriel Maresch (TU Wien)
Hartman measurability and unique mean values
Mo, 30.01.2006 Henryk Zaehle (Allianz PKV-AG, München)
Heat equation with strongly inhomogeneous noise
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 23.01.2006 Markus Petermann (Converium)
11:00 in seminar room 105 (7th floor)
Measures of Risk and Run-off of Portfolios
Tu, 24.01.2006 Susanne Klöppel (ETH Zurich)
16:30 in seminar room 107 (6th floor)
Utility based good deal bounds
We, 25.01.2006 Half-Day Workshop
on Credit Risk and Risk Transfer
http://www.fam.tuwien.ac.at/events/wwtf2006/
(Freihaus Hörsaal 3, 2pm to 6pm)
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
Liebe Fam-ily,
Mag. Kocher ist Geschaeftsfuehrer der öst. Bundesfinanzierungsagentur,
mit der wir ein CD-Modul planen.
Ich empfehle allen den Besuch des sicherlich interessanten Vortrags.
LG WS
---------- Forwarded message ----------
Date: Tue, 17 Jan 2006 18:19:36 +0100
From: Hardy Hanappi TU Vienna <hanappi(a)econ.tuwien.ac.at>
Subject: Einladung zum Gastvortrag am 19.1.06, 14h
Liebe Kolleginnen und Kollegen !
Im Rahmen unseres Dissertantenseminar findet
demnächst wieder ein interessanter Vortrag statt
zu dem ich hiermit herzlichst einlade:
Der Vortrag von unserem externen Gast, Dr. Paul
Kocher, zum Thema "Das Schuldenmanagement des
Staates: Finanzierungsstrategien und Risken für
den öffentlichen Haushalt" findet am Donnerstag
den 19.1.2006 um 14 h s.t. statt.
Details auf der Homepage des Seminars :
http://www.vwl.tuwien.ac.at/hanappi/Lehre/L026HH05.html
Mit herzlichen Grüßen
Hardy Hanappi
Univ.-Prof. Dr. Hardy Hanappi
Jean Monnet Chair for Political Economy of European Integration
Head of Economics, Institute for Mathematical Methods in Economics
University of Technology Vienna
Argentinierstrasse 8/ 105-3
A-1040 Vienna, Austria
http://www.vwl.tuwien.ac.at/hanappi/
FAM-ily Financial and Actuarial Mathematics
at Vienna University of Technology, Austria
Timetable
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 17.01.2006
Irina Slinko (Stockholm School of Economics)
"On Finite Dimensional Realizations of the
Two Country Interest Rate Models"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------
Further Events of FAM:
"Half-Day Workshop
on Credit Risk and Risk Transfer"
Wednesday, January 25, 2006, 2pm to 6pm
http://www.fam.tuwien.ac.at/events/wwtf2006/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Wed, 11 Jan 2006 12:02:27 +0100
From: VGSF-U.Walser <office(a)vgsf.ac.at>
To: Ulli Walser <ulrike.walser(a)vgsf.ac.at>
Subject: Invitation to apply to VGSF PhD Program - scholarship
Dear Colleague,
please find attached an invitation to apply for scholarships and
admission to the PhD program of the Vienna Graduate School of Finance
(VGSF).
We would be very grateful if you could forward this information to
students who are looking for an opportunity to obtain a PhD in Finance
with financial support allowing them to cover their costs of living in
Vienna. Also, I would appreciate if you could post the attached pdf
document at your department.
The VGSF offers a high-quality PhD program preparing students for an
academic career. As a joint venture of three established academic
institutions, the VGSF draws on a well-connected local faculty with very
diverse research interests. In addition, internationally leading
scholars affiliated with other academic institutions are teaching in our
program.
On our homepage www.vgsf.ac.at you will find the curriculum as well as
information about faculty, students and application details.
Thank you for your support,
Josef Zechner
Speaker of the VGSF
Professor of Finance at the University of Vienna
Contact:
VGSF
Dorothea Grimm
Administrative Manager
c/o University of Vienna
Bruenner Strasse 72
1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Mail: vgsf(a)vgsf.ac.at
[ attachment VGSF_inv06.pdf removed by admin since information is ]
[ available on-line at http://www.vgsf.ac.at ]
Dear Friends,
the Financial and Actuarial Mathematics Group
wishes everyone a prosperous New Year.
In 2006 the FAM-group plans 2 workshops and
numerous talks within the new Christian Doppler Laboratory:
"Half-Day Workshop
on Credit Risk and Risk Transfer"
Wednesday, January 25, 2006, 2pm to 6pm
http://www.fam.tuwien.ac.at/events/wwtf2006/
"Final Workshop
of the Research Training Network
Evolution Equations for Deterministicand Stochastic Systems"
June 5 to June 8, 2006
http://www.fam.tuwien.ac.at/events/rtn-workshop/
7 talks of young researchers in January 2006:
http://www.fam.tuwien.ac.at/events/
Christian Doppler Laboratory
"Portfolio Risk Management (PRisMa)"
http://prisma.fam.tuwien.ac.at/
For events in 2005 our webpages are updated:
"Workshop on Portfolio Risk Management (PRisMa 2005)"
http://www.fam.tuwien.ac.at/prisma2005/
Now you can find more information to the talks,
e.g. presentation slides, related publications, ...
FAM goes public:
"Von A wie Aktie bis S wie Sterbewahrscheinlichkeit"
http://www.fam.tuwien.ac.at/public/
This pages are in German language:
You can find simulations, games, and a lot of interesting
information and explanations which were presented on 8 posters
at the "Lange Nacht der Forschung" in October 2005.
To make all this activities possible, we sincerly thank our sponsors
(CDG, WWTF, FWF, ÖNB, EU, BA-CA), all persons collaborating with us, as well
as our dedicated colleagues within the research group FAM.
Walter Schachermayer Uwe Schmock
Head of Department Head of Research Group
--
Financial & Actuarial Mathematics Group: http://www.fam.tuwien.ac.at/
FAM @ TU Vienna, Wiedner Hauptstraße 8 / e105, A-1040 Vienna, Austriaaa
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 6 Jan 2006 10:26:41 +0000 (GMT)
From: Sam Howison <howison(a)maths.ox.ac.uk>
Subject: Position at Oxford
Dear Colleague
We are filling a faculty position at Oxford in Mathematical Finance;
details are available at the web address below:
http://www.maths.ox.ac.uk/notices/vacancies/institute/lecturer11.shtml
This is an exciting time for Mathematical Finance at Oxford as we are
about to advertise a Chair in the subject as well as the current vacancy.
I would be grateful if you would bring this position to the attention of
any potential candidates.
Best wishes for 2006
Sam Howison
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
Wednesday, 04.01.2006, 16:30, Sem 107
Andreas Hula (TU Wien)
"Nonarchimedean Functional Analysis"
The talk will give a general view of functional analysis
over nonarchimedean fields. The main focus will be on
differences and similarities to the archimedean case.
Eventually the nonarchimedean spectral theorem can be
treated too.
The talk will be in german.
---
For further talks and events
(6 talks and a half-day workshop in january)
see:
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 22 Dec 2005 14:57:57 -0000
From: Sarah Doberska <SDoberska(a)cepr.org>
Subject: Call for Papers: Spring Meeting of the Adam Smith Asset Pricing (
ASAP) Workshop; London School of Economics, 17 March 2006
Call for Papers: Deadline 30 January 2006
Spring Meeting of the Adam Smith Asset Pricing (ASAP) Workshop
London School of Economics, 17 March 2006
Organizers: Tarun Ramadorai (University of Oxford and CEPR), Raman
Uppal (London Business School and CEPR) and Dimitri Vayanos (London
School of Economics and CEPR)
On behalf of the organizers, I am writing to invite you to submit a paper to
the spring 2006 meeting of the Adam Smith Asset Pricing (ASAP) Workshop,
which will be hosted by the Financial Markets Group at the LSE. The
Workshops aim to increase interaction between people on all continents of
our planet who share an interest in asset pricing theory and empirical work,
and to give young researchers an opportunity to present their research and
get early feedback on their work.
Four to six papers will be selected for presentation at the Workshop, with
25 minutes for presentation, 15 minutes for a discussant, and 20 minutes for
a general discussion. The papers for the workshop will be selected by the
organizers.
Authors whose papers are accepted will be notified by Monday 6 February,
2006. There is no funding available for travel or accommodation, but the FMG
will provide lunch.
If you would like to attend the workshop and/or submit a paper to be
presented at the workshop, please complete and return the attached
application form by 30 January 2006. If you would like to submit a paper,
please email it to me ( SDoberska(a)cepr.org <mailto:SDoberska@cepr.org> ) by
the same date. Please do not send your papers directly to Tarun, Raman or
Dimitri!
We encourage you to forward this message to other people who may be
interested in participating in this workshop.
If you have any queries regarding this meeting, please do not hesitate to
contact us on +44 20 7878 2900.
Yours sincerely
Sarah Doberska
Meetings Assistant
CEPR
90-98 Goswell Road
London
EC1V 7RR
T: +44 20 7878 2900
F: +44 20 7878 2999
http://www.cepr.org
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20051222T1715.doc
Type: Microsoft Office Document
Size: 76800
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 15 Dec 2005 11:26:57 -0300 (UYT)
From: Ernesto Mordecki <mordecki(a)cmat.edu.uy>
Subject: communications ICAM
Dear Collegues:
Time to submission of communications to ICAM 2006
is ending. We have two submissions (see below).
I think it is wise to wait a little more.
I asked for two collegues for submission here in the region,
and would like to know if you can help us to complete
the 4 or 5 communications, suggesting to some
collegues or students to participate.
There is information about support in
http://icam2006.cmm.uchile.cl/index.php
Best regards,
Ernesto
-------------------------------------
Pennanen Teemu -- Teemu . Pennanen @ hse . fi
Title:
Nonlinear price processes
Abstract:
This paper presents a stochastic model for trading in double auction
markets where the marginal cost of buying is a
nondecreasing function of the number of shares bought. The model admits a
generalized version of the fundamental theorem of
asset pricing.
------------------------------------------
\title{Convex Hedging in Incomplete Markets\\ and Generalizations}
\author{Birgit Rudloff, \\Martin-Luther-University Halle-Wittenberg, Germany}
In incomplete financial markets not every contingent claim can be
replicated by a self-financing strategy. The risk of the resulting
shortfall can be measured by convex risk measures. The dynamic
optimization problem of finding a self-financing strategy that
minimizes the convex risk of the shortfall can be split into a
static optimization problem and a representation problem. The
optimal strategy consists in superhedging the modified claim
$\widetilde{\varphi}H$, where $H$ is the payoff of the claim and
$\widetilde{\varphi}$ is the solution of the static optimization
problem, the optimal randomized test.
\\
In this talk, we will deduce necessary and sufficient optimality
conditions for the static problem using convex duality methods. We
deduce the dual problem and prove the validity of strong duality.
The solution of the static optimization problem turns out to be a
randomized test with a typical $0$-$1$-structure.
\\
The results can be generalized to solve the hedging problem for a
more general class of risk measure. Furthermore, we can apply
these results to the problem of testing compound hypothesis. This
extends previous results.
\end{document}
----------------------------------------------------------
Ernesto Mordecki
http://www.cmat.edu.uy/~mordecki mordecki(a)cmat.edu.uy
Postal Address: Facultad de Ciencias. Centro de Matematica
Igua 4225, C.P. 11400, Montevideo, Uruguay
Tel: (598 2) 525 25 22 Int. 122 Fax: (598 2) 522 06 53
-----------------------------------------------------------
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 13.12.2005 Paolo Guasoni (Boston University)
Consistent Prices and Face-lifting Pricing under Transaction
Costs (open abstract)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Sun, 11 Dec 2005 12:50:35 -0500
From: Paul Feehan <feehan(a)rci.rutgers.edu>
Reply-To: director(a)finmath.rutgers.edu
Subject: Math finance postdoctoral position at Rutgers University
Dear Professor Schachermayer,
I would like to bring the September 2006 launch of our master's in
mathematical finance program to your attention. A description of our
program and the faculty involved is available at
http://www.finmath.rutgers.edu
Subject to budget constraints, we hope to have one non-tenure-track
assistant professor position available for a recent PhD recipient
specializing in mathematical finance, probability theory, or stochastic
processes. This would be an attractive position because of the
opportunities presented by the new program at Rutgers and the proximity
of our campus to major financial centers in New Jersey and New York and
research groups at Princeton, Columbia, and NYU.
I would be grateful if you could please direct any candidates you
believe would be suitable to our Positions Available page for
application instructions,
http://www.math.rutgers.edu/positions/position.html
and suggest that they notify either myself or Professor Dan Ocone
(ocone(a)math.rutgers.edu) when they submit their application. I encourage
potential candidates to apply as soon as possible. Please feel free to
forward this email to anyone you think might be interested.
Best regards,
Paul Feehan
--
Director
Mathematical Finance Option
Department of Mathematics
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019
Telephone: (732) 445-3864
Fax: (732) 445-5530
Email: director(a)finmath.rutgers.edu
-------- Original Message --------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 05 Dec 2005 18:57:07 +0200
From: METE SONER <msoner(a)ku.edu.tr>
Subject: Position in MathFin in Bilkent
Dear Friends
Attached is a job announcement in Bilkent University in Ankara. Most
of you know the university but for the benefit of the others, Bilkent is
the first private university in Turkey and an excellent one. They would
like to establish a research group in mathematical finance. They and I
also would appreciate it if you let those you might be interested.
with best wishes,
Mete
------------------
Bilkent University
New Position in Mathematical Finance
The Faculty of Business Administration at Bilkent University seeks
applications from qualified candidates to fill a new position in
Mathematical Finance. Expertise in stochastic calculus,
continuous-time finance, and/or financial optimization, demonstrated by
a suitable publication record, is required. Rank is open and salary
will be commensurate with experience and publication record.
Bilkent University is a private, not-for-profit, research-intensive
university in Ankara, Turkey. The language of instruction is English.
Bilkent attracts students of the highest caliber. It has 10,000
undergraduate and 1,000 graduate students, and a teaching staff of
1,000. Faculty members come from 40 different countries and most are
trained in leading North-American schools.
The Faculty of Business Administration has over 30 faculty members, and
is a full-service faculty offering Bachelor, MBA, MSc, and PhD programs,
as well as Executive Education. The regular teaching load is 4 courses
per year, with a maximum class size of 50 in the undergraduate program
and 35 in the MBA program
Bilkent offers excellent research, teaching, and computing facilities.
Faculty members are provided with research and teaching assistants,
provision for international travel, health and other benefits, and
rent-free furnished housing on campus, where the suburban location
offers a pleasant living environment. There is also an excellent
international school(with grades pre-K to 12) for those faculty members
with families. For more information on Bilkent's programs and
facilities, visit http://www.bilkent.edu.tr/.
The closing date for applications is January 31, 2006. Resumes should
be mailed to Prof. Erhan Erkut, Dean, Faculty of Business
Administration,Bilkent University, Ankara 06800, Turkey, or e-mailed to
erkut(a)bilkent.edu.tr.
-------- Original Message --------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 5 Dec 2005 17:26:47 +0800 (HKT)
From: Zhou Xun-Yu <xyzhou(a)se.cuhk.edu.hk>
Subject: Academic Positions in Mathematical Finance/Financial
Engineering available at Chinese Univ of Hong Kong
Dear Colleagues,
The Dept of Systems Engineering and Engineering Management (SEEM) at
The Chinese University of Hong Kong has several positions open (mainly
at the junior level; but consideration will be given for exceptionally
outstanding senior persons as well) in the field of Mathematical
Finance/Financial Engineering, as well as in a few other areas.
A job advertisement is attached. Please forward it to your
colleagues/students/friends who might be interested in the positions.
Salaries and other benefits of these positions are one of the most
competitive in the world. On the other hand, the dept has very strong
groups in Mathematical Finance/Financial Engineering, and related fields
such as Stochastic Control, Supply Chain/Logistics, and Operations Research.
The profiles of the faculty members of the dept include multiple
positions on the editorial board of the premier journals in the related
fields,such as Mathematical Finance, Operations Research, Management
Science,SIAM Journal on Optimization, and IEEE Transactions on Automatic
Control,and winners of prestigious awards, such as the 1999 Franz
Edelman Award and the 2003 SIAM Outstanding Paper Prize. There are two
IEEE fellows and one INFORMS fellow in the dept.
Best regards,
Xun Yu Zhou
-------------------------------
Ad. content for teaching posts:
The Department of Systems Engineering and Engineering Management (SE&EM)
at the Chinese University of Hong Kong invites applications for the
following positions:
1. Assistant Professor / Associate Professor in the fields of (1)
Financial Engineering, (2) Logistics and Supply Chain Management, (3)
Optimization and Operations Research or related areas. The positions are
on fix-term contracts up to 3 years from January / September 2006, with
prospect for contract renewal or reappointment on a longer term basis,
subject to budget and mutual agreement.
2. Assistant Professor / Associate Professor / Professor on a visiting
basis, from January / September 2006, renewable subject to budget and
mutual agreement, in the fields of (1) Financial Engineering, (2)
Information Systems (3) Logistics and Supply Chain Management, (4)
Optimization and Operations Research or related areas.
Candidates for all the positions above should have earned doctorate
degrees and have outstanding academic records and firm commitment to
both excellent teaching and research. Salaries for the respective
levels of appointment will be highly competitive. Starting salary and
level of appointment will be commensurate with qualifications and
experience. Eligible appointees may also be entitled to other generous
benefits such as housing allowance, annual leave, medical care, incoming
passage allowance and contract-end gratuity. Applications including the
curriculum vitae and names of at least three referees (with email and
postal address, telephone and fax numbers) should be sent to:
Chairman
Department of Systems Engineering & Engineering Management
Room 609, William M.W. Mong Engineering Building
The Chinese University of Hong Kong
Shatin, N.T.
Hong Kong.
Tel: +852 2609 8313
Fax: +852 2603 5505
Email: recruit(a)se.cuhk.edu.hk
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 6. Dezember 2005, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 8 (Nöbauer Hörsaal):
Dr. Johanna Neslehova
RiskLab, ETH Zurich
"Modeling Dependence of Non-Continuous Random Variables
and Compound Poisson Processes"
http://www.fam.tuwien.ac.at/vr/20051206.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Gen.-Dir. 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/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 29 Nov 2005 21:16:52 -0000
From: Igor Evstigneev <igor.evstigneev(a)manchester.ac.uk>
Subject: research position in Mathematical Finance/Financial Economics
Dear Colleagues,
I would like to bring to your attention an opening of a research
position in Mathematical Finance/Financial Economics at the Economics
Department of the University of Manchester:
http://www.socialsciences.man.ac.uk/economics/about/vacancies.htm .
Please forward this announcement to those colleagues who fit the
profile described below and might be interested in the position.
The appointment will be made to Post-Doctoral Fellow or Research
Fellow, according to the experience and relevant qualifications of the
successful candidate. The position is established under the support
of Samuel Gratrix Fund to pursue research in Mathematical Finance or
Financial Economics. The research will be focused on the following
areas:
(a) random dynamical systems and models of financial markets
(evolutionary finance, growth theory);
(b) interactions-based models in economics and finance;
(c) new approaches to asset pricing in markets with frictions.
An ideal candidate for the position is a mathematician having research
experience and publications in Mathematical Finance or Financial
Economics, with a preferred background in one of the following fields:
(1) probability and dynamical systems;
(2) probability and control (stochastic control and optimization,
stochastic games);
(3) probability and functional analysis.
The period of employment is for two years, with the possibility of
extension for a third year. The annual salary will be in the range of
GBP 20 000 to GBP 30 000, depending on the experience and
qualifications of the candidate. The starting date is 1 March 2006 or
as soon as possible thereafter. The closing date for applications is 6
January 2006.
There are no teaching duties associated with this position.
For a formal position announcement and job specification, please see
the website indicated above. Informal enquiries can be addressed to
igor.evstigneev(a)manchester.ac.uk .
Sincerely,
Professor Igor Evstigneev
Chair in Mathematical Economics
Economics Department
University of Manchester
Oxford Road
Manchester M13 9PL
UK
Tel.: (+)44-161-2754275
Fax: (+)44-161-2754812
E-mail: igor.evstigneev(a)manchester.ac.uk
WWW: http://les1.man.ac.uk/ses/staff/evstigneev/
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 29.11.2005 Mesrop Janunts (Institut für Mathematik, TU Berlin)
"Duality methods for portfolio optimization"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 22.11.2005 Walter Fisher
(IHS Institute for Advanced Studies, Vienna)
Relative Wealth and Endogenous Employment:
A Short- and Long-Run Analysis
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 15.11.2005 Birgit Rudloff (Martin-Luther-Universität Halle-Wittenberg)
Convex Hedging in Incomplete Markets and Generalizations
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
----------------------------------------------------------------------
FAM-jobs:
FAM @ TU Wien has an attractive job opportunity for
** PhD students and PostDocs **
within the first Christian-Doppler-Laboratory
in collaboration with a bank (BA-CA):
http://www.fam.tuwien.ac.at/jobs/20051102.php
----------------------------------------------------------------------
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 8. November 2005, 16:30, TU Wien, Nöbauer Hörsaal (FH 8):
Univ.Prof. Dr. Damir Filipovic
Mathematisches Institut, LMU München
"Equilibrium and optimality for monetary
utility functions under constraints"
http://www.fam.tuwien.ac.at/events/vr/20051108.php
Wir dürfen Sie weiters auf eine eintägige Vortragsveranstaltung am 16.
November an der Universität Wien hinweisen (siehe Anhang unten).
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Gen.-Dir. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. W. Schachermayer
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
----------------------------------------------------------------------
EINLADUNG
---------
Workshop on
OPERATIONAL RISK MANAGEMENT (ORM05)
http://www.univie.ac.at/crm/orm05/
Mittwoch, 16. November 2005
Elise-Richter-Saal der Universität Wien
Programm
--------
Paul Embrechts, ETH Zürich
Quantitative Models for Operational Risk:
Extremes, Dependence and Aggregation
Jack King, Universität Wien
Operational Risk - Organisational Theory or Financial Mathematics
Radoslaw Zwizlo, FMA
Operationales Risiko aus der Sicht der Finanzmarktwirtschaft
Veranstalter
------------
Instituts für Statistik und Decision Support Systems (Universität Wien)
http://www.univie.ac.at/statistics/
Wissenschaftlicher Vereins INFORM
(Insurance, Financial and Operational Risk Management)
http://www.inform.ac.at/
Österreichische Gesellschaft für Operations Research (ÖGOR)
http://www.oegor.at/
---------- Forwarded message ----------
From: Walter Schachermayer + Frank Oertel
---------- Forwarded message ----------
From: "Takis Konstantopoulos"
Date: Tue, October 25, 2005 10:49 am
Dear all, the 'numdam' site ( http://www.numdam.org/ )
has published ALL volumes of the famous
Se'minaire de probabilite's de Strasbourg
from 1967 to 2002. It is a wonderful resource for anyone interested in
Probability.
http://www.numdam.org/numdam-bin/browse?j=SPS&sl=0
Regards,
Takis
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 25 Oct 2005 09:46:25 +0300
From: mfinance <mfinance(a)cam.wits.ac.za>
Subject: Position in Mathematical Finance
Dear Colleague
We would be very grateful if you would alert potential candidates to
the following position in Mathematical Finance in the School of
Computational & Applied Mathematics at the University of the
Witwatersrand, Johannesburg, described below.
The closing date for applications is 31 December, 2005.
Yours sincerely,
David Taylor
UNIVERSITY OF THE WITWATERSRAND, JOHANNESBURG
School of Computational & Applied Mathematics
Permanent Senior Lecturer/Lecturer/Associate Lecturer Position in
Mathematical Finance
Applications are invited for a permanent position in
MathematicalFinance at the University of the Witwatersrand,
Johannesburg, to betaken up with effect from 1 February 2006 or as
soon as possiblethereafter.
Candidates for the Lecturer or Senior Lecturer position should have
aPhD and, in the case of the Senior Lectureship, an established
trackrecord of research in some area of financial mathematics.
Candidatesfor the Associate Lecturer position should have an MSc and
beengaged in PhD studies. Applications are encouraged from
candidateswith a background in stochastic calculus or numerical
mathematics,but this is not a prerequisite. We are also keen to
attract applicantswho are already established applied mathematicians
and who wish tochange their academic focus.
The appointee to this permanent post in the School of Computational
&Applied Mathematics will be expected to maintain an activeprogramme
of research, and to play a significant role in all aspects ofthe
organisation and teaching of financial mathematics at all levels.
The School of Computational & Applied Mathematics has a history
ofteaching and research in Mathematical Finance dating back to
1989.The Programme in Advanced Mathematics of Finance is the
pre-eminent financial mathematics degree in South Africa. Graduates
areemployed worldwide in leading financial institutions. It has
hadnumerous research collaborations and funding agreements with
localand international investment banks.
The appointment will be made at the appropriate point on theAssociate
Lecturer, Lecturer or Senior Lecturer scale. Furtherparticulars of the
post, including information about remuneration, maybe obtained from
Prof David Taylor at mfinance(a)cam.wits.ac.za +27-11-717-6149 (fax).
More information can be found on our website:
http://www.cam.wits.ac.za/mfinance
Information on living in South Africa can be found on:
http://www.safrica.info
To apply, please submit a covering letter, detailed CV with names
andcontact details of three referees & certified copies of degrees to:
Mrs Kalpana Patel,
Human Resources Manager
Faculty of Science
Wits University
Private Bag 3
Wits 2050
South Africa
The closing date for the receipt of completed applications
is 31stDecember 2005.
Equality of opportunity is University policy
Prof David R Taylor
Co-ordinator, Mathematics of Finance Programme
School of Computational & Applied Mathematics
University of the Witwatersrand
PO WITS, 2050
South Afrika
http://www.cam.wits.ac.za/mfinance/
(+27)-11-717-6110 (tel); (+27)-11-717-6149 (fax)
Timetable
Tu, 25.10.2005 Uwe Schmock (FAM, TU Vienna)
Presentation of the New Christian Doppler Laboratory on
Portfolio Risk Management
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
--------------------------------------------------------------------
Vortragsreihe aus Finanz- und Versicherungsmathematik
Tu, 08.11.2005 Damir Filipovic homepage (LMU München)
16:30, FH 8
Equilibrium and optimality for monetary utility functions
under constraints (joint with Michael Kupper)
http://www.fam.tuwien.ac.at/events/vr/20051108.php
--------------------------------------------------------------------
Workshop on
Operational Risk Management (ORM05)
http://www.univie.ac.at/crm/orm05/
--------------------------------------------------------------------
------------------------------------------------------------------------
Tuesday, 18.10.2005
Seminarroom 107, Freihaus TU Wien
Hans Buehler (Deutsche Bank London und TU Berlin)
"Variance Swap Market Models"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
Thursday's Seminar (winter term 2005/06):
This seminar follows the book:
Cedric Villani: "Topics in Optimal Transportation"
It takes place at the Math-Department of UniVie:
Nordbergstrasse 15, 7th floor, room C 714.
For further information, please write an e-mail to
Josef Teichmann <jteichma(a)fam.tuwien.ac.at>
------------------------------------------------------------------------
The Scientific Association for Insurance, Financial and Operational Risk
Management (INFORM - http://www.inform.ac.at/) invites you to the
Workshop on
Operational Risk Management (ORM05)
http://www.univie.ac.at/crm/orm05/
------------------------------------------------------------------------
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 10 Oct 2005 12:46:04 -0700 (PDT)
From: Jaksa Cvitanic <cvitanic(a)hss.caltech.edu>
Subject: quantitative economics/finance position at Caltech
(...)
The Division of Humanities and Social Sciences at Caltech has
advertised a tenure-track position in Economics/Finance. The Social
Sciences part of the division consists of faculty members most of
which are involved in multi-disciplinary research with strong
mathematical/statistical components.
For details, see
http://www.hss.caltech.edu/jobs/econad
-----------------------
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
seminars within one week
Tu, 11.10.2005 Miklos Rasonyi (Hungarian Academy of Sciences)
Convergence of utility prices to the superreplication price
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Wed, 05 Oct 2005 10:50:09 -0400
From: Ferna R. Hartman <fh0d(a)andrew.cmu.edu>
Subject: Tenure-Track Position for Mathematical Finance
Dear Colleagues:
Please assist me in disseminating the announcement of the
following position. Thank you. -- Steve Shreve
Tenure-Track Position in Mathematical Finance
Department of Mathematical Sciences
Carnegie Mellon University
The Department of Mathematical Sciences expects to make a tenure-track
appointment in Mathematical Finance at the Assistant or Associate Professor
level, beginning September 2006. Applicants should have a strong record of
academic research in mathematics, knowledge of probability theory,
experience with finance applications, and demonstrated teaching ability.
Applicants should send a vita, list of publications, a statement
describing current and planned
research, and arrange to have at least three letters of recommendation sent
to:
Math Finance Appointments
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA 15213.
The deadline for application is January 18, 2006.
Carnegie Mellon is an Affirmative Action/Equal Opportunity Employer and
encourages applications from women and minorities.
dear colleagues,
next thursday, october 6, 2005, the joint seminar of peter markowich and
walter schachermayer starts with a first meeting at 16.30 in seminarraum
107, 6th floor, green tower. during this first meeting we shall fix the
future talks, the dates and the places. the topic of the seminar is cedric
villani's book on optimal transportation (where copies will be provided
after the first meeting): this is field between pde-theory and probability
theory with highly challenging and interesting questions.
best regards. josef & walter
Josef Teichmann
Institute of mathematical methods in Economics
Department of Financial and Actuarial Mathematics
University of Technology Vienna
Wiedner Hauptstrasse 8-10
A-1040 Vienna
Austria
http://www.fam.tuwien.ac.at/~jteichma
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 20 Sep 2005 13:17:01 +0200
From: obrovski(a)ai.tuwien.ac.at
To: AkademikerInnen der TU Wien
Subject: Marie Curie Stipendienaktionen
Sehr geehrte KollegInnen,
das Außeninstitut und die FFG-EIP laden Sie zur
Informationsveranstaltung "EU ForscherInnen Mobilität Marie Curie
Individualstipendien im 6. EU Rahmenprogramm" herzlich ein.
Bei dieser Veranstaltung über Marie Curie Stipendienaktionen im 6.
Rahmenprogramm
am Di., 18. Oktober 2005 von 13:30 - 15:30h
erhalten Sie Informationen über Fördermöglichkeiten für junge
IndividualforscherInnen.
Die Programme zur Unterstützung von Forschungsaufenthalten einzelner
ForscherInnen umfassen klassische Forschungsstipendien, Fördermaß-
nahmen zur beruflichen Reintegration nach längeren Auslandsaufent-
halten und Wissenschaftspreise. Das Mobilitätsportal stellt eine
Informationsplattform für ForscherInnen auf europäischer Ebene dar und
bietet die Möglichkeit individueller Registrierung. Im Rahmen eines
Auslandsaufenthaltes auftretende steuer- und sozialversicherungs-
rechtliche Fragen sind in praktischer Hinsicht von entscheidender
Bedeutung.
Programm:
13:30 h Begrüßung:
Vizerektor O.Univ.Prof. Franz RAMMERSTORFER, TUW (angefragt)
13:40 h EU Fördermöglichkeiten für IndividualforscherInnen:
Mag. Daniela PAST, FFG-EIP
14:30 h Das Mobilitätsportal für ForscherInnen an der TU Wien
Job-Börse für WissenschafterInnen:
DI Siegfried HUEMER, TUW EU Forschungsmanagement Unit
14:45 h Steuer- und sozialversicherungsrechtliche Aspekte für mobile
ForscherInnen:
Dr. Verena OBROVSKI, TUW EU Forschungsmanagement Unit
15:00 h Erfahrungsbericht eines Marie Curie Stipendiaten
15:15 - 15:30h Abschluss-Diskussion
Moderation: DI Siegfried HUEMER, TUW EU Forschungsmanagement Unit
e-Anmeldung: http://www.ai.tuwien.ac.at/eufpm/anm-mc05okt.htm
FFG-EIP Europäische und Internationale Programme:
http://www.bit.ac.at/training_main.htm
Außeninstitut: http://www.ai.tuwien.ac.at
Wir freuen uns, Sie bei dieser wichtigen Veranstaltung begrüßen zu dürfen.
Mit besten Grüßen
Dr. Verena Obrovski DI Siegfried Huemer
--------------------------------------------------
Dr. Verena Obrovski
Außeninstitut - EU Forschungsmanagement Unit
TU Wien
Gusshausstraße 28/0155
A-1040 WIEN
tel: +43 1 58801 41558
fax: +43 1 58801 41599
Obrovski(a)ai.tuwien.ac.at
http://www.ai.tuwien.ac.at
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 15 Sep 2005 15:13:22 +0200
From: Michael Oberguggenberger <Michael.Oberguggenberger(a)uibk.ac.at>
Subject: Ausschreibung
(...) [note: German, see below]
Research position available:
The research project
"Mathematical methods for damage detection in bridge monitoring"
offers a research position for a mathematician or statistician with
very good expertise in MATLAB.
Research area: Scientific development of statistical time series
methods for bridge monitoring and their implementation in MATLAB. The
research takes place at the University of Innsbruck in collaboration
with an industrial partner and is sponsored by the Austrian Research
Promotion Agency.
Requirements: Ph.D.-doctorate, capability to carry out independent
research and development, knowledge of statistical time series
techniques.
Project duration: 15 months, starting date 01/10/2005 (or as soon as
possible thereafter).
Submission of application with CV, description of previous work
experience and scientific publications in electronic form to
---------------------------------------------------------------------
Forschungsprojektstelle:
Für das FFG-Projekt
"Mathematisches Verfahren beim Brückenmonitoring zur
Schadensfrüherkennung"
suchen wir eine(n) Mathematiker(in) oder Statistiker(in) mit sehr
guten Kenntnissen in MATLAB.
Arbeitsbereich: Wissenschaftliche Entwicklung von Methoden der
statistischen Zeitreihenanalyse für Brückenmonitoring und deren
Implementierung in MATLAB. Das Projekt wird an der Universität
Innsbruck in Zusammenarbeit mit einem Industriepartner durchgeführt
und wird von der Österreichischen Forschungsförderungsgesellschaft
unterstützt.
Anstellungserfordernisse: Doktorat, Fähigkeit zu selbständiger
Forschungs- und Entwicklungsarbeit, Kenntnisse aus der statistischen
Zeitreihenanalyse.
Projektdauer: 15 Monate, Anstellung ab sofort möglich.
Bewerbungen mit Lebenslauf, Unterlagen über bisherige Tätigkeit und
wissenschaftliche Veröffentlichungen sind elektronisch einzureichen
bei:
a.o. Univ.-Prof. Dr. Michael Oberguggenberger
Institut für Technische Mathmatik, Geometrie und Bauinformatik
Leopold-Franzens-Universität Innsbruck
Technikerstr. 13
A-6020 Innsbruck, Österreich
Tel: ++43 (0)512 507 6824
Fax: ++43 (0)512 507 2941
E-Mail: michael.oberguggenberger(a)uibk.ac.at
sowie bei
Univ.-Prof. Dr. Alexander Ostermann
Institut für Mathematik
Leopold-Franzens-Universität Innsbruck
Technikerstr. 25
A-6020 Innsbruck, Österreich
Tel: ++43 (0)512 507 6823
Fax: ++43 (0)512 507 2990
E-Mail: alexander.ostermann(a)uibk.ac.at
Sehr geehrte Damen und Herren,
die Forschungsgruppe Finanz- und Versicherungsmathematik ladet Sie
herzlich zu einer eintägigen Vortragsveranstaltung am Montag,
den 26. September 2005 (9 bis 17 Uhr), an der TU Wien ein:
PRisMa 2005 - One-Day Workshop on Portfolio Risk Management
http://www.fam.tuwien.ac.at/events/prisma2005/
Programm (9-17 Uhr):
Prof. Dr. Saul Jacka
(Department of Statistics, University of Warwick)
"(Partial) Hedging for Coherent Risk Measures"
Dr. Michael Kupper
(Operations Research & Financial Engineering, Princeton Univ.)
"Dynamic Monetary Utility Functions"
Giovanni Puccetti
(Department of Mathematics for Decisions, University of Firenze)
"Bounds for Functions of Multivariate Risks"
Dr. Riccardo Gusso
(Department of Applied Mathematics, University of Venice)
"Urn-Based Credit Risk Models for Portfolios of Dependent Risks"
Dr. Jörn Sass
(Research Group "Financial Mathematics", Johann Radon Institute
for Computational and Applied Mathematics (RICAM))
"Reducing the Risk of Optimal Portfolio Policies"
Dr. Hansjörg Albrecher
(Department of Mathematical Sciences, University of Aarhus
and Department of Mathematics A, Graz University of Technology
"Ruin Estimates for an Insurance Portfolio with Dependent Risks"
Teilnahme und Registrierung:
Die Teilnahme ist gratis. Für die Anmeldung schreiben Sie bitte
ein kurzes E-mail an Sandra.Trenovatz(a)fam.tuwien.ac.at.
Ort: TU Wien, Hauptgebäude, Karlsplatz 13, 1040 Wien
Hörsaal "HS 16 Karl von Terzaghi Hörsaal" (Stiege I, 3. Stock)
Zeit: Montag, 26. September 2005.
Wir würden uns freuen, Sie beim Workshop begrüssen zu dürfen.
Mit freundlichen Grüssen,
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
----------------------------------------------------------------------
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 8. November 2005, 16:30, TU Wien, Nöbauer Hörsaal (FH 8):
Univ.Prof. Dr. Damir Filipovic
Mathematisches Institut, LMU München
"Equilibrium and optimality for monetary
utility functions under constraints"
http://www.fam.tuwien.ac.at/events/vr/20051108.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Gen.-Dir. Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. W. Schachermayer
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
----------------------------------------------------------------------
Sandra Trenovatz, FAM @ TU Wien, http://www.fam.tuwien.ac.at/vr/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 9 Sep 2005 09:46:31 +0200
From: Martine Verneuille <Martine.Verneuille(a)inria.fr>
Subject: European Conference on Numerical Methods in Finance (Amamef)
Dear Colleague;
We are organizing a conference on Numerical Methods in Finance in the
framework of the European network Amamef (Advanced Mathematical Methods
in Finance)
(see http://www.iac.rm.cnr.it/amamef/ ).
This congress will be held in Rocquencourt, at INRIA, February 1-3,
2006.
There will be 6 plenary sessions and sessions of contributed talks.
The main topics and objectives of the congress can be found in the
attached pdf file. The webpage of the conference will soon be created at
the address: http://www-rocq.inria.fr/mathfi/Amamef.html
The financial support of the ESF and Amamef has made possible to
organize this workshop free of charge. There are no registration costs.
Nevertheless the number of participants is limited to 150. Therefore, we
encourage participants to pre-register well in advance. The confirmation
of registration will be sent by January 1, 2006.
The registration form and practical information will soon be available
on the conference web site.
At this time we invite you to participate in this congress and we are
now receiving proposals for contributed talks.
If you are interested in participating with a contributed talk, please
send an e-mail to Arturo.Kohatsu-Higa(a)inria.fr with a
detailed abstract of maximum 2 pages, filling the attached format for
contributed talks.
We hope to be able to give a quick reply at your proposal but all
submissions will be evaluated at the latest by January 1, 2006.
We sincerely hope that you are interested in participating and look
forward to receiving your contribution,
Sincerely yours,
The Organizing Committee
Arturo Kohatsu-Higa
Damien Lamberton
Agnes Sulem
--
------------------
Martine Verneuille
Assistante des projets
Digiplante-Mathfi-Maxplus
Metalau-Scilab-Sosso2-Sydoco
REI-Rocq.
Inria-Rocquencourt
78153 Le Chesnay cedex
Tel. 0139635481
Fax. 0139635786
Email. Martine.Verneuille(a)inria.fr
------------------------------------------------
[attachments removed by admin; see webpage or contact sender]
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 5 Sep 2005 15:51:12 +0100
From: Heinz Geyer <hgeyer(a)ta-consult.com>
Subject: Junior Quant Analyst - Fund Management - London
Dear WALTER,
The salary numbers involved in this search are quite modest but we are
looking to fill this entry-level position for a good client and are
therefore going the extra mile.
Our client, the London branch of a Global Money Management Firm, is
looking for a
Junior Quantitative Analyst - Assistant Fund Manager
The role of the successful candidate will be to support a small and
successful fixed income fund management team (with particular emphasis
on corporate bonds).
Duties will include the following among others:
- maintenance of valuation spread sheets
- provision of performance data
- preparation of client presentations
- development and programming of new analytics and valuation models
The successful candidate will have a strong numerical degree (PhD is
optional) and good programming skills.
The role may be of special interest for someone who has just completed
an internship but for one reason or another has not yet succeeded in
getting a full-time position.
Location London. Salary circa Pound Sterling 35-45000 plus benefits.
Sincerely yours,
Heinz Geyer
Temple Associates
+(44)20-8343 7785
www.ta-consult.com/Geyer.htm
hgeyer(a)ta-consult.com
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
seminars within one week
Tu, 06.09.2005 Umut Cetin homepage (London School of Economics, UK)
Modelling liquidity effects in discrete time
(joint work with Chris Rogers)
Th, 08.09.2005 Thorsten Schmidt homepage (Universität Leipzig)
Credit Risk - Incomplete Information
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------
PRisMa 2005 - http://www.fam.tuwien.ac.at/prisma2005/
One-Day Workshop on Portfolio Risk Management
(Vienna, 2005-09-26)
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 30.08.2005 Mihai Sirbu (Columbia University, NY)
Risk-Tolerance Wealth Processes and Sensitivity Analysis of
of Utility Based Prices (joint work with D. Kramkov)
Th, 01.09.2005 Beatrice Acciaio (University of Perugia, Italy)
Optimal Risk Sharing and Mean-Variance Principle
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/