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Vortragsreihe Finanz- und Versicherungsmathematik
by Sandra Trenovatz 07 Nov '05

07 Nov '05

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/

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Seminaire de probabilites de Strasbourg (fwd)
by Andreas Schamanek 01 Nov '05

01 Nov '05

---------- 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

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Position in Mathematical Finance @ U of Witwatersrand, Johannesburg (fwd)
by Andreas Schamanek 25 Oct '05

25 Oct '05

---------- 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)

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reminder, this week's seminars
by Sandra Trenovatz 24 Oct '05

24 Oct '05

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/ --------------------------------------------------------------------

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reminder, this week's seminars
by Sandra Trenovatz 17 Oct '05

17 Oct '05

------------------------------------------------------------------------ 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/ ------------------------------------------------------------------------

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quantitative economics/finance position at Caltech (fwd)
by Andreas Schamanek 11 Oct '05

11 Oct '05

---------- 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 -----------------------

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reminder, this week's seminars
by Sandra Trenovatz 10 Oct '05

10 Oct '05

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/

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Tenure-Track Position for Mathematical Finance (fwd)
by Andreas Schamanek 06 Oct '05

06 Oct '05

---------- 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.

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PDE Seminar Vorbesprechung
by Josef Teichmann 30 Sep '05

30 Sep '05

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

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Marie Curie Stipendienaktionen (fwd)
by Andreas Schamanek 21 Sep '05

21 Sep '05

---------- 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

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Ausschreibung: Mathematisches Verfahren beim Brueckenmonitoring (fwd)
by Andreas Schamanek 21 Sep '05

21 Sep '05

---------- 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

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Workshop on Portfolio Risk Management (PRisMa 2005)
by Sandra Trenovatz 19 Sep '05

19 Sep '05

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/

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European Conference on Numerical Methods in Finance (Amamef) (fwd)
by Andreas Schamanek 12 Sep '05

12 Sep '05

---------- 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]

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Junior Quant Analyst - Fund Management - London (fwd)
by Andreas Schamanek 05 Sep '05

05 Sep '05

---------- 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

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reminder, this week's seminars
by Sandra Trenovatz 05 Sep '05

05 Sep '05

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)

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reminder, this week's seminars
by Sandra Trenovatz 29 Aug '05

29 Aug '05

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/

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Positions in Statistics, U of Manchester, England (fwd)
by Andreas Schamanek 23 Aug '05

23 Aug '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 23 Aug 2005 01:04:14 +0100 (BST) From: Goran Peskir <goran(a)maths.manchester.ac.uk> Subject: Positions in Statistics School of Mathematics, The University of Manchester, England ------------------------------------------------------------ Please bring the following two positions to the attention of anyone who might be interested: --> Chair in Statistics --> Lecturer/Senior Lecturer in Statistics For details see http://www.man.ac.uk/news/vacancies/academic.html#EPS200 ===============

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Konferenzankuendigung
by FAM-operator 13 Jul '05

13 Jul '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 07 Jul 2005 15:38:22 +0200 From: Edith Rosta <edith.rosta(a)tuwien.ac.at> Subject: Konferenzankuendigung Sehr geehrte Frau Kollegin! Sehr geehrter Herr Kollege! Vom 20. bis 27. Juli 2005 findet in Wien eine Tagung über „Convex Geometrym and High Dimensional Phenomena“ als 1. Jahrestagung des EU-Programms über hochdimensionale Phänomene in den Räumen der Technischen Universität in den Freihausgründen statt. Details zur Tagung sind der Homepage http://www.dmg.tuwien.ac.at/phd/ zu entnehmen. Das genaue Programm ist eine Woche vor Tagungsbeginn auf der Homepage abrufbar. Besucher zu Vorträgen sind herzlich willkommen. Mit freundlichen Grüßen Peter M. Gruber Monika Ludwig Vitali Milman Matthias Reitzner Carsten Schütt

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reminder, this week's seminars
by Sandra Trenovatz 11 Jul '05

11 Jul '05

Timetable Tuesdays and Thursdays, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 12.07.2005, __16:00__ s.t. Peter Grandits Optimal Expected Exponential Utility of Dividend Payments in a Brownian Risk Model (joint work with F. Hubalek, W. Schachermayer and M. Zigo) Tu, 14.07.2005, 16:30 s.t. Pavel Grigoriev t.b.a. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 13 Jun '05

13 Jun '05

Timetable Th, 16.06.2005, 16:30, Seminar room 107 Jürgen Hartinger (Graz University of Technology) Rare Events - Monte Carlo and Quasi-Monte Carlo Methods (joint work with Dominik Kortschak) Recently, there has been much interest in developing Monte Carlo methods for estimating rare event probabilities. The reason seems to be two-fold: The topic is of major interest in areas such as credit and insurance risk or telecommunication networks and presents a challenge from mythological point of view as naive methods lead to ineligible variances for the estimates. After an overview on existing methods in a Monte Carlo setting, in this talk we focus on theoretical and empirical aspects of (randomized) QMC methods in rare event sampling. Mo, 20.06.2005, 16:15 in seminar room 104 Reinhold Kainhofer Quasi-Monte Carlo Methoden -- Am Schnittpunkt von numerischer Analysis, Zahlentheorie und Finanzmathematik Vortragsreihe: Wissenswertes der Mathematik, http://info.tuwien.ac.at/goldstern/wissen/ For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 06 Jun '05

06 Jun '05

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 07.06.2005 Grigory Temnov, St. Petersburg State University Risk models with stochastic premium income. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Wittgenstein Abschluss hearing
by Walter Schachermayer 02 Jun '05

02 Jun '05

Ich wuerde mich freuen, wenn Ihr zu der folgenden oeffentlichen Präsentation der Ergebnisse meines Wittgensteinpreis-Programms kommen könnt: Hearing/Abschlussevaluierung des Wittgensteinpreises, Donnerstag, 9. Juni 2004, 9:00-11:00, Freihaus Hörsaal 8, gelber Bereich, 2. Obergeschoss, TU Wien, Freihaus, Wiedner Hauptstrasse 8, 1040 Wien. Herliche Gruesse Walter Schachermayer

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Oekonometrisches Seminar (fwd)
by Andreas Schamanek 19 May '05

19 May '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 19 May 2005 11:44:01 +0200 (CEST) From: Manfred Deistler Subject: Oekonometrisches Seminar (fwd) Sehr geehrte InteressentInnen! am Montag, 23. Mai 2005 (13:30 bis 15:00 Uhr) findet im Seminarraum 105 A (Argentinierstraße 8, 1. Stock) der Votrag von Prof. Guy Cohen (Erwin Schrödinger Institut) mit dem Titel "Extensions of the Menchoff-Rademacher theorem with applications to ergodic theory" statt. Beiliegend finden Sie das Abstract. Mit freundlichen Grüßen Manfred Deistler [attachment removed and saved to below URL by admin] URL : http://www.fam.tuwien.ac.at/listsdata/20050519T1650.pdf Type: PDF document, version 1.2 Size: 21540 Nicole Gruber Institute for Mathematical Methods in Economics Research Unit: Econometrics and System Theory Argentinierstrasse 8 1040 Vienna Tel: +43 1 58801 11911 Fax: +43 1 58801 11999 e-mail: nicole.gruber(a)tuwien.ac.at

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Call for Papers for the 2006 Stochastic Modeling Symposium (fwd)
by Andreas Schamanek 12 May '05

12 May '05

---------- Forwarded message ---------- Date: Thu, 12 May 2005 10:40:16 -0400 From: CIA Secretariat de l'ICA <root(a)actuaries.ca> Subject: Call for Papers for the 2006 Stochastic Modeling Symposium Call for Papers for the 2006 Stochastic Modeling Symposium The Canadian Institute of Actuaries (CIA) and its co-sponsors (Actuarial Foundation of Canada, the Risk Management Section and the Investment Section of the Society of Actuaries) would like to invite you to submit papers to the 2006 Symposium on Stochastic Modeling taking place in Toronto on April 3 and 4, 2006. The overall theme for the symposium is "Practical Actuarial Applications of Stochastic Models" and the Call for Papers focus will be on the following topics: 1. Use of stochastic models in valuation of assets and liabilities, 2. Use of stochastic models in enterprise risk management, and 3. Use of stochastic models in credit risk management. The papers submitted in response to the Call for Papers will be considered for the 2006 Stochastic Modeling Symposium. For more details, please access the link to the symposium below. http://www.actuaries.ca/publications/2005/205022e.pdf For more information, please contact Gilbert Lacoste, Chairperson of the Stochastic Modeling Organizing Committee at Gilbert.Lacoste(a)sunlife.com

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reminder, this week's seminars
by Sandra Trenovatz 03 May '05

03 May '05

Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. seminars within one week Tu, 03.05.2005 Luciano Campi A hedging theorem under transaction costs For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 25 Apr '05

25 Apr '05

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 28.04.2005 Peter Friz Statistical Laboratory, University of Cambridge Levy's Area under Conditioning and Applications For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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seminars within one week
by Sandra Trenovatz 11 Apr '05

11 Apr '05

Timetable Tu, 12.04.2005, 17:00, Sem 107 ^^ Christian Bayer An elementary proof of Tchakaloff's Theorem (about a joint work with J. Teichmann) http://www.fam.tuwien.ac.at/events/

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thursday's seminar / changes
by Sandra Trenovatz 06 Apr '05

06 Apr '05

The announced talk of Peter Friz will be held on 28th of April. This thursday Josef Teichmann will hold a talk about a joint work with Barbara Forster and Eva Luetkebohmert: Tu, 07.04.2005, 16:30, Seminarraum 107 (TU FH, Turm A, 6. Stock) Josef Teichmann (FAM @ TU Vienna) "Calculation of Greeks with jumps" (joint work of B. Forster, E. Luetkebohmert, J. Teichmann) We show partial integration results for jump diffusions in a very traditional way, i.e. without applying partial integration on Poisson spaces. The key result is to find a bound for the p-norm of the inverse of the Malliavin derivative. Tu, 28.04.2005 Peter Friz (Statistical Laboratory, University of Cambridge) 16:30, Seminarraum 107 (TU FH, Turm A, 6. Stock) "Levy's Area under Conditioning and Applications" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Bourse De Recherche 2005-2006 (fwd)
by Andreas Schamanek 06 Apr '05

06 Apr '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 5 Apr 2005 15:14:34 +0200 From: Traore Fanda <Fanda.Traore(a)ensae.fr> Subject: BOURSE DE RECHERCHE 2005-2006 BOURSES DE THESE Le CREST (Centre de Recherche en Economie et Statistique) dispose de 7 bourses de recherche. Celles-ci, d'un montant mensuel d'environ 1 326 EUR, peuvent être attribuées soit pour la préparation d'une thèse (durée de deux ans éventuellement renouvelable un an), ou en vue de terminer une thèse déjà très avancée (durée d'un an). Elles concernent : - soit d' anciens élèves de l'ENSAE et de l'ENSAI qui souhaitent mener leur recherche au CREST ou dans un organisme extérieur (université, centre de recherche ou d'études, français ou étranger). - soit des étudiants d'universités ou d'écoles françaises ou étrangères, qui souhaitent mener leur recherche dans le cadre d'un laboratoire du CREST. Aucune condition de nationalité n'est exigée des candidats. Les bourses sont attribuées de façon prioritaire à des thèmes de recherche liés aux orientations des différents laboratoires. Les dossiers de candidature sont à retirer sur le site du CREST www.crest.fr <http://www.crest.fr> , où vous trouverez aussi toutes les informations concernant les divers thèmes de chaque laboratoire. Les dossiers de candidature doivent parvenir avant le 15 Mai 2005. <<annonceboursesfrancais.doc>> [attachment removed and saved to below URL by admin] URL : http://www.fam.tuwien.ac.at/listsdata/20050406T1043.doc Type: Microsoft Office Document Size: 27648

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reminder, this week's seminars
by Sandra Trenovatz 05 Apr '05

05 Apr '05

Timetable seminars within one week Tu, 05.04.2005 Dietmar Pfeifer (Carl von Ossietzky Universität Oldenburg) 16:30, FH 6 (TU FH, Turm A, 2. Stock) Copula change-point detection and dynamic copula models for multivariate high-frequency data in finance (Vortragsreihe aus Finanz- und Versicherungsmathematik) Tu, 07.04.2005 Peter Friz (Statistical Laboratory, University of Cambridge) 16:30, Seminarraum 107 (TU FH, Turm A, 6. Stock) Levy's Area under Conditioning and Applications For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Einladung zu einem Vortrag (fwd)
by Andreas Schamanek 04 Apr '05

04 Apr '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 04 Apr 2005 10:56:13 +0200 From: Gerhard Hanappi <hanappi(a)pop.tuwien.ac.at> Subject: Einladung zu einem Vortrag Liebe Kolleginnen und Kollegen! Attached eine Einladung zu einem interessanten Vortrag von Professor Hollingsworth (vom IWM / Ökonomie mitorganisiert) zum Thema Why Some Research Organizations Make Major Discoveries But Most Make None am nächsten Freitag. Mit freundlichen Grüßen Hardy Hanappi Univ-Prof.Mag.Dr. Hardy Hanappi Jean Monnet Professor für Politische Ökonomie der Europäischen Integration Leiter der Forschungsgruppe Ökonomie, Institut für Wirtschaftsmathematik Technische Universität Wien Argentinierstr. 8 A-1040 Wien, Österreich Tel. +43 1 58801 175 55, Fax. +43 1 58801 175 99 Email: hanappi(a)pop.tuwien.ac.at http://www.vwl.tuwien.ac.at/hanappi/ [attachment removed by admin since it is available online at http://www.econ.tuwien.ac.at/AussendungSASE.pdf ]

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Statistische Kolloquien: Zum Gedenken an Leopold Schmetterer (fwd)
by Andreas Schamanek 17 Mar '05

17 Mar '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 17 Mar 2005 16:59:05 +0100 From: Christine Binder <Christine.Binder(a)univie.ac.at> Subject: Statistische Kolloquien Einladung Kolloquium zum Gedenken an Prof. Leopold Schmetterer (1919 - 2004) Ort: Österreichische Akademie der Wissenschaften, Sitzungssaal, Ignaz-Seipel Platz 2, 1010 Wien Montag, 4. April 2005 15:15 - 15:30 Begrüßung 15:30 - 16:15 Klaus Krickeberg: Neue mathematisch-statistische Anwendungen von Gesundheitsregistern. 16:15 - 17:00 Johann Pfanzagl: Was ist ein "optimaler" Schätzer ? * 17:00 - 17:30 Pause 17:30 - 18:15 Herbert Heyer: Hypergruppen in der Analysis und Wahrscheinlichkeitstheorie. * * Vortrag im Rahmen des Arbeitskreises "Statistische Kolloquien" der ÖSG. Dienstag, 5. April 2005 15:15 - 15:30 Begrüßung 15:30 - 16:15 Helmut Strasser: Statistik als Gegenstand mathematischer Forschung. 16:15 - 17:00 Jean-Baptiste Hiriart-Urruty: Some open problems in nonlinear analysis and optimisation. 17:00 - 17:30 Pause 17:30 - 18:15 Walter Schachermayer: Anwendung der Wahrscheinlichkeitstheorie auf Finanzmathematik. Diese Veranstaltung wird durch die Österreichische Akademie der Wissenschaften, die Gemeinde Wien und das Institut für Statistik der Universität Wien unterstützt. I. Bomze Moderator des Arbeitskreises "Statistische Kolloquien"

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reminder, this week's seminars
by Sandra Trenovatz 14 Mar '05

14 Mar '05

Timetable Tuesdays and Thursdays, 16:30-18:00. Tu, 15.03.2005 Alexandra Dias (Credit Suisse and ETH Zurich) 16:30, FH 6 Copula change-point detection and dynamic copula models for multivariate high-frequency data in finance Vortragsreihe aus Finanz- und Versicherungsmathematik Th, 17.03.2005 Dmitry Rokhlin (Rostov State University, Russia) 16:30, Seminarraum 107 On some problems of no-arbitrage: constructive criteria in the case of finite discrete time and the Kreps-Yan theorem For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 28 Feb '05

28 Feb '05

Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Th, 03.03.2005: Daniel Dvorak An Extension of Panjer's Recursion For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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lectureship at UCL (deadline 25.2.!) (fwd)
by Andreas Schamanek 24 Feb '05

24 Feb '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 24 Feb 2005 11:47:33 +0000 (GMT) From: Josef Hofbauer <jhofb(a)math.ucl.ac.uk> To: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> Subject: lectureship at UCL 2 Lectureships in Mathematical Economics/ Mathematical Finance Because of the overwhelming popularity of the joint courses in Economics, the Departments of Mathematics and Statistical Science wish to make two lecturer appointments from October 2005. The appointees will be expected to teach basic first and second year modules in Economics. Applicants should also have demonstrated considerable research potential in some branch of Mathematics/Statistical Science. Salary will be according to experience on the Lecturer B scale from £30,319 to £38,213 inclusive of London Allowance. Please send a full CV and details of three referees and current salary to Prof D G Larman, Head of the Department of Mathematics, University College London, Gower Street, London, WC1E 6BT telephone: +44 (0)20 7679 2855; fax +44 (0)20 7383 5519; e-mail: d.larman(a)ucl.ac.uk. Please also return the Equal Opportunities Form found on the Further Particulars page of the Mathematics Department website. Further particulars (which should be read prior to sending an application), as well as general information about UCL can be found on our websites: http://www.ucl.ac.uk/maths/ http://www.ucl.ac.uk/Mathematics/Adverts/MathEconPosts05/MathEconAdvert.html The closing date for receipt of applications is Friday, 25 February 2005.

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[FAM-news] Developments in Quantitative Finance, 4-8 July 2005 (fwd)
by Andreas Schamanek 21 Feb '05

21 Feb '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> I remind that I am organizing a week on "Fundamentals" from april 25 - 29. Walter ---------- Forwarded message ---------- Date: Mon, 21 Feb 2005 09:31:56 +0000 From: Victoria Henderson <vhenders(a)princeton.edu> Subject: Developments in Quantitative Finance, 4-8 July 2005 Dear collegues, This is a brief reminder that the closing date for applications to attend the INI conference is next Monday 28th Jan. We have generous EU and Nomura funding to assist phd students, postdocs and young researchers and senior researchers who are EU nationals but working outside the EU. Please remind your collegues and students to apply. Best regards Vicky Henderson David Hobson Stan Pliska Chris Rogers [quote signs removed from the following text by admin#fam.tuwien.ac.at] Dear collegues, Please find below the announcement for the INI conference "Developments in Quantitative Finance" to be held in Cambridge this July. We have generous funding from the EC and Nomura for this event, so will be able to fund local expenses of students, young participants and Europeans working outside the EU. The official website for the conference can be found : http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html where there is an application form. The deadline is 28th February. There are also more details about funding categories and accomodation options on a second website : http://www.bath.ac.uk/~masdgh/INI/conference.html Please accept our apologies if you receive multiple announcements - we want to advertise widely. Best wishes, Vicky Henderson David Hobson Stan Pliska Chris Rogers ------------------------------------------------------------ Isaac Newton Institute for Mathematical Sciences, Cambridge, UK Quantitative Finance: Developments, Applications & Problems (4 - 8 July 2005) Supported by the European Commission, Sixth Framework Programme Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and NOMURA in association with the Newton Institute programme entitled Developments in Quantitative Finance (24 January to 22 July 2005) Organisers: V Henderson (Princeton), D Hobson (Bath), S Pliska (Illinois), C Rogers (Cambridge). Theme of Conference: The objective of this conference is to bring together academics from various fields, including mathematicians, but also researchers from economics and finance, together with industry practitioners, to discuss the latest developments in the theory of mathematical finance, the application of this theory to current issues facing the industry and to identify the substantive problems confronting academic researchers and finance professionals. Many individual themes within quantitative finance are covered elsewhere in the programme, and this conference will aim to promote the developments in those areas to a wider audience, whilst simultaneously providing a forum for the discussion of advances in other areas within the field. Invited Speakers: Y Ait-Sahalia (Princeton), P. Bank (Columbia), M. Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M. Davis (Imperial), D. Duffie* (Stanford), R Frey (Leipzig), S Hodges (Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini (Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M. Monoyios (Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet (Toulouse), S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar (Princeton) and M. Zervos (Kings). *to be confirmed Location & Cost: The Conference will take place at the Newton Institute and accommodation for participants will be provided in single study bedrooms with shared bathroom at Wolfson Court. The conference package, costing 440GBP, includes accommodation, breakfast and dinner from dinner on Sunday 3 July to breakfast on Saturday 9 July 2005, and lunch and refreshments during the days that lectures take place. Self-supporting participants are very welcome to apply. Further Information and Applications Forms are available from the WWW at: http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html Completed application forms should be sent to Tracey Andrew at the address below, or via email to: t.andrew(a)newton.cam.ac.uk Closing Date for the receipt of applications is 28 February 2005

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reminder, this week's seminars
by Sandra Trenovatz 21 Feb '05

21 Feb '05

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. seminars within one week Tu, 22.02.2005 Stefan Ankirchner Enlargement of filtrations, continuous Girsanov-type embeddings and utility maximization of insiders For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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SCOR-Preis fuer Aktuarwissenschaften in Verbindung mit der Universitaet Ulm 2005 (fwd)
by Marco Antoniazzi 17 Feb '05

17 Feb '05

-------- Original Message -------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 16 Feb 2005 18:05:03 +0100 From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de> To: zwiesler(a)mathematik.uni-ulm.de Subject: SCOR-Preis für Aktuarwissenschaften in Verbindung mit der Universität Ulm 2005 SCOR-Preis für Aktuarwissenschaften in Verbindung mit der Universität Ulm 2005 Sehr geehrte Kolleginnen und Kollegen, zum nunmehr neunten Mal stiftet das Rückversicherungsunternehmen SCOR Deutschland, Tochtergesellschaft der französischen SCOR-Gruppe, die zu den Top Ten unter den internationalen Rückversicherern zählt, 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 beiliegenden Ausschreibungen an geeignete Interessenten weiterzugeben. Mit freundlichen Grüßen Hans-Joachim Zwiesler Die Preisträger 2004 waren: Michael Merz (Universität Tübingen): "Credibility-Theorie - Das Konzept der orthogonalen Projektion zur Bestimmung von Credibility-Schätzern in diskreter und kontinuierlicher Zeit" Florian Helms (Technischen Universität München): "Estimating LTC Premiums using GEE's for Pseudo Values" Gregor Mummenhoff (Universität Ulm): "Bewertung von Versicherungsrisiken mittels des Äquivalens-Nutzen-Prinzips" [ PDF attachment can be found at http://www.fam.tuwien.ac.at/listsdata/scor05.pdf ]

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reminder, this week's seminars
by Sandra Trenovatz 14 Feb '05

14 Feb '05

Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 15.02.2005 Walter Schachermayer Optimal Design of Risk Exchange for Cash-Invariant Risk Measures Th, 17.02.2005 Reinhold Kainhofer Zur Erstellung der österreichischen Rententafeln AVÖ2005R For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 24 Jan '05

24 Jan '05

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 25.01.2005 Eva Lütkebohmert (Department for Probability Theory and Statistics, University of Bonn) "Hypoellipticity in Infinite Dimensions for the Jump Diffusion Case" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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27.1.05 WTFS (fwd)
by Andreas Schamanek (on the road) 21 Jan '05

21 Jan '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 20 Jan 2005 10:45:26 +0100 From: Sylvie Hansbauer <sylvie.hansbauer(a)univie.ac.at> Subject: 27.1.05 WTFS siehe attached die Ankündigung am 27. 1. 05 WTFS mfg Sylvie Hansbauer [attachment converted to plain text by admin since it contained only text; see below] Wirtschaftstheoretisches Forschungsseminar der Universität Wien gemeinsam mit dem Institut für Höhere Studien Please notice the venue (Main Building, Lecture Room 28) and the time (4:15 pm)! Venue: Hauptgebäude, Universität Wien, Hs. 28 27. 01. 2005 16:15 Reinhard Selten (Universität Bonn) The Emergence of Simple Languages in an Experimental Coordination Game 17:45 Herakles Polemarchakis (Brown University) An Argument for Positive Nominal Interest Abstracts (soweit vorhanden) befinden sich im Anschluss bzw. umseitig. Die Papiere (soweit vorhanden) finden Sie auf unserer Internetseite http://www.univie.ac.at/vwl/Seminars/seminarsindex.html Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begrüßt. Nächster Termin: 10.3.2005 mit Vorträgen von Aleksander Berentsen (Universität Basel) und Giacomo Corneo (FU Berlin) Gerhard Orosel Abstracts G. Bloise and H. M. Polemarchakis "An Argument for Positive Nominal Interest" In a dynamic economy, such as an economy of overlapping generations, money provides liquidity and is dominated as a store of value. A central bank that sets the nominal rate of interest and distributes its profit to shareholders as dividends is traded on the asset market. Nominal rates of interest that tend to zero, but do not vanish, eliminate equilibrium allocations that do not converge to a Pareto optimal allocation.

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FAM-news
by Sandra Trenovatz 17 Jan '05

17 Jan '05

FAM-Seminar Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Nicolas Victoir (Oxford University) A Short Introduction to Rough Paths and Applications to Numerical Analysis A short introduction to Rough Paths will allow us to present the algorithm "Cubature on Wiener space", which offers a new way of approximating weakly SDEs. The method consists of replacing the Wiener measure by a linear combination of Dirac measures, which means that our solution is approximated by a weighted average of solution of ordinary differential equations. We give some applications to Option pricing. http://www.fam.tuwien.ac.at/events/

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Fwd: Position available
by Marco Antoniazzi 21 Dec '04

21 Dec '04

From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 21 Dec 2004 12:32:59 +0000 (GMT) From: Sam Howison <howison(a)maths.ox.ac.uk> To: Sam Howison <howison(a)maths.ox.ac.uk> Subject: Position available Dear Colleague The Mathematical Finance Group at Oxford has just advertised a postdoctoral research position in Mathematical Finance, the Nomura Junior Research Fellowship. It consists of a postdoctoral position in the Nomura Centre for Quantitative Finance (www.maths.ox.ac/ociam/ncqf) within the Mathematics Department, combined with a Junior Research fellowship at Wadham College, and is funded by a generous benefaction from the Nomura group. The Fellow will be expected to carry out research in mathematical finance, and will have many opportunities to interact with researchers at Nomura's London offices. The post is for two years, renewable for a third. We aim to make a high-level appointment and would be grateful if you would bring this opportunity to the attention of any suitable candidates. Further details are on http://www.maths.ox.ac.uk/notices/vacancies/institute/nomura.shtml The closing date is 31 January 2005. Sam Howison %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Tel: +44 1865 270500 270506 (messages) 270515 (FAX) Mathematical Institute 24-29 St Giles Oxford OX1 3LB UK

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Tenure track position in Stochastic Analysis/Mathematical Finance (fwd)
by Andreas Schamanek 21 Dec '04

21 Dec '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 20 Dec 2004 17:58:11 -0500 From: John Chadam <chadam(a)imap.pitt.edu> Subject: Tenure track position in Stochastic Analysis/Mathematical Finance Dear Colleague This is to let you know that this year we will be interviewing candidates for a tenure stream position at the Assistant Professor level in the area of Stochastic Analysis/Mathematical Finance. Details of the position, along with information about the application procedures, can be found on the Mathematics Department web site www.math.pitt.edu as well as on the AMS and SIAM job postings. For your convenience a copy of the ad is attached. We will begin looking at completed applications on January 3, 2005 and continue the interviewing process until the position is filled. I should be grateful if you were to pass this information on to potential applicants. Candidates should have an outstanding track record of pure or applied research in some area of financial mathematics. Yours sincerely John Chadam My apologies if you get this message more than once ! [MS Word attachment converted to plain text by admin, see below] Stochastic Analysis/Mathematical Finance The Mathematics Department of the University of Pittsburgh invites applications for a tenure-track position in Stochastic Analysis/Mathematical Finance to begin in the Fall Term 2005, pending budgetary approval. The appointment is at the Assistant Professor level. We seek excellence in teaching and research so applicants should demonstrate substantial research accomplishment and dedication to teaching. Send a vita, three letters of recommendation, a research statement and evidence of teaching accomplishments to: Search Committee in Stochastic Analysis, Department of Mathematics, University of Pittsburgh, Pittsburgh, PA 15260. Review of completed files will begin on January 3, 2005 and continue until the position is filled. The University of Pittsburgh is an Affirmative Action, Equal Opportunity Employer. Women and members of minority groups under-represented in academia are especially encouraged to apply.

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Workshop on Stochastic Analysis
by Stefan Geiss 21 Dec '04

21 Dec '04

Workshop on Stochastic Analysis (First Announcement) Wednesday 18 - Saturday 21, May 2005 Department of Mathematics and Statistics University of Jyvaeskylae, Finland The workshop is the closing workshop of the National Visitors Program in Mathematics 2004-2005: New Techniques in Applied Stochastics. It is intended to bring together researchers and graduate students interested in Stochastic Analysis and its applications. Among the invited speakers are: Fabrice Baudoin (University Toulouse 3) Hans-Juergen Engelbert (University Jena) Peter Imkeller (Humboldt-University Berlin) Antti Kupiainen (University of Helsinki) David Nualart (University of Barcelona) Timo Seppalainen (University of Wisconsin-Madison) Lutz Weis (University of Karlsruhe) Conference page : www.math.jyu.fi/research/stoch/ Conference place: Hankasalmi next to Jyvaeskylae, www.revontuli.fi Contact : stoch-analysis(a)maths.jyu.fi The details for the registration and traveling will be soon available on the conference page. WELCOME Stefan Geiss Goran Hognas Esko Valkeila -------------------------------------------------------

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Announcement: IME 2005, Que'bec (fwd)
by Andreas Schamanek 14 Dec '04

14 Dec '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 13 Dec 2004 15:35:51 -0500 From: IME 2005 Organizing Committee <info(a)IME2005.ULAVAL.CA> Reply-To: vincent.goulet(a)ACT.ULAVAL.CA To: IME2005-PARTICIPANT(a)LISTES.ULAVAL.CA Subject: Announcement: IME 2005, Québec Dear colleague, The École d'actuariat of Université Laval will host the 9th International Congress on Insurance: Mathematics and Economics on July 6-8, 2005. The Congress will feature invited talks by Andrew Cairns (Heriot-Watt University, Scotland), Jan Dhaene (Katholieke Universiteit Leuven, Belgium) and Gordon Willmot (University of Waterloo, Canada). Prior to the Congress, the École d'actuariat also hosts two days of Short Courses of six hours each on two different topics. In one course, Jan Beirlant (Katholieke Universiteit Leuven, Belgium) will speak on "Extreme Value Analysis and Applications to Reinsurance". In the other course, Gordon Willmot (University of Waterloo, Canada) will speak on the "Analysis of the Insurer's Surplus and Related Quantities". These courses should appeal to researchers and practitioners alike. Over the past eight years, the IME Congress has established itself as one of the main actuarial conferences worldwide. The Congress provides researchers --- actuaries and non-actuaries --- with the opportunity to present their latest work in the general area of Actuarial Science. Topics covered are relevant to the aims and scope of the international journal "Insurance: Mathematics and Economics". More information is available in the attached Call for Papers. In 2005, the Congress and Short Courses will be held in historic Québec during the lively International Summer Festival. The old quarter of Québec was declared a world heritage site by UNESCO in 1985. This is the only fortified city in North America. The host of the Congress, École d'actuariat, distinguishes itself by its comprehensive specialized degree in Actuarial Science. The ten Faculty members are active in fields of Actuarial Science such as Risk Theory, Life and Non-Life Insurance, and Pension Mathematics. The École d'actuariat also hosted the 36th Actuarial Research Conference in 2001. For registration in the Congress and all related information, see the web site http://ime2005.ulaval.ca/ We look forward to seeing you in Québec next summer! Best regards, Vincent Goulet, on behalf of the IME 2005 Organizing Committee === IME 2005 Organizing Committee === Vincent Goulet (Chairperson), Claire Bilodeau (Vice-Chairperson), Hélène Cossette, Michel Jacques, Andrew Luong, Étienne Marceau === IME 2005 Scientific Committee === Étienne Marceau (Chairperson), Hélène Cossette, Michel Denuit, José Garrido, Hans U. Gerber, Marc J. Goovaerts, Michel Jacques, Rob Kaas, Sheldon X. Lin, Andrew Luong, Elias Shiu. === Contact === Vincent Goulet Email: info(a)ime2005.ulaval.ca Phone: (+1) 418-656-5736 Fax: (+1) 418-656-7790 [attachment removed by admin, information available on webpage]

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Einladung zum Vortrag v. Prof. Ping Chen (fwd)
by Andreas Schamanek 09 Dec '04

09 Dec '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 09 Dec 2004 14:45:21 +0100 From: Gerhard Hanappi <hanappi(a)pop.tuwien.ac.at> Subject: Einladung zum Vortrag v. Prof. Ping Chen Liebe Kollegin, lieber Kollege! Hiermit möchte ich Sie auf einen Vortrag eines von mir eingeladenen Professors der Fudan Universität in Shanghai hinweisen. Professor Ping Chen spricht zum Thema >From Microfoundations to Evolutionary Macrodynamics Montag 13.12.04, 17.30-19.30, HS 18 Hauptgebäude, TU Wien Professor Ping Chen hat als ausgebildeter Physiker zunächst mit dem Nobelpreisträger Prigogine in Europa zusammengearbeitet, danach eine Professur in Austin (Texas) angenommen und ist letztlich seit Herbst dieses Jahres Head of Economics (Schwerpunkt Evolutionary Economics) an der Fudan Universität in China. Weitere Details, CV und neuere Papers des Vortragenden finden Sie unter http://www.vwl.tuwien.ac.at/hanappi/event041213.html Mit besten Grüßen Hardy Hanappi

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reminder, this week's seminars
by Sandra Trenovatz 29 Nov '04

29 Nov '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Th, 02.12.2004 Irene Klein (Uni Wien) No Market Free Lunch and Large Financial Markets (part 2) For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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DLS2005: Dynamic Models of Implied Volatility (fwd)
by Andreas Schamanek 22 Nov '04

22 Nov '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 22 Nov 2004 12:19:06 +0100 From: Oliver Blaskowitz <blaskowitz(a)wiwi.hu-berlin.de> Subject: DLS2005: Dynamic Models of Implied Volatility Dear Madams, Dear Sirs, CASE - Center for Applied Statistics and Economics - an interdisciplinary research center of Humboldt-Universität zu Berlin announces the Distinguished Lecture Series 2005 - "Dynamic Models of Implied Volatility" ( Prof. Stewart Hodges, PhD, Warwick University ) on January 27 and 28, 2005, at Deutsche Bank in Berlin. The course outline: 1. Stylised facts 2. Insights from theory 3. Insights from empirical studies 4. Insights and puzzles related to exotic options Abstract: Understanding the dynamics of the implied volatility surface is important for tasks such as hedging derivatives, measuring risk exposures, valuing exotic options and trading volatility. The literature related to these topics has expanded dramatically over the last few years. This series of lectures will attempt a comprehensive survey. We start from the main observed regularities in the shape and dynamics of implied volatility surfaces. We then review what theory can tell us. For example, about how implied volatility is related to local volatility, and about the shape and dynamics of the surface under alternative models. Armed with this theory, we take a more discerning look at the empirical literature, and also consider the nature of risk premia in volatility markets. Finally, we address situations in which model specification is critical, and we take stock of what we know and what remains to be discovered. Fee: The fees for researchers / professionals are 200,- / 400,- Euro (excluding VAT). Further information you find on http://www.case.hu-berlin.de or in the flyer attached to this mail. If you have any more questions about the course and the enrolment procedure, don't hesitate to contact us. Yours sincerely Prof. Dr. Wolfgang Härdle (+49 - 30 - 2093 - 5630) Oliver Blaskowitz (+49 - 30 - 2093 - 5705) Ying Chen (+49 - 30 - 2093 - 5807) Enzo Giacomini (+49 - 30 - 2093 - 5623) [ attachment removed by admin, file apparently available at ] [ http://www.case.hu-berlin.de/DLS2005/DLS2005.pdf (185 kB) ]

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reminder, this week's seminars
by Sandra Trenovatz 22 Nov '04

22 Nov '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. seminars within one week Tu, 23.11.2004 Josef Teichmann Calculation of the Greeks by Cubature Formulas II Th, 25.11.2004 Irene Klein (Uni Wien) No Market Free Lunch and Large Financial Markets (part 1) The above seminars are also announced via the FAM-news mailing list, one of the public mailing lists maintained by FAM. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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