---------- 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
===============
---------- 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
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/
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/
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/
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
---------- 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]
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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
---------- 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
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/
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/
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/
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/
---------- 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]
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Type: Microsoft Office Document
Size: 27648
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/
---------- 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 ]
---------- 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"
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/
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/
---------- 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.
---------- 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
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/
-------- 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 ]
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/
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/
---------- 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.
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/
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
---------- 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.
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
-------------------------------------------------------
---------- 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]
---------- 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
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/
---------- 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) ]
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/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 19 Nov 2004 08:29:18 -0600
From: srpliska <srpliska(a)uic.edu>
Subject: Google Announces 'Google Scholar' for academic research
For your information:
Story
http://www.thestandard.com/internetnews/000628.php
Link
http://scholar.google.com
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
seminars within one week
Th, 18.11.2004 Michel Verschuere (Risk Analyst, Luminus Hasselt and FAM@TU)
Optimal forward investment in power markets
other future seminars
Th, 25.11.2004 Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 1)
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/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 15 Nov 2004 12:37:38 -0800 (PST)
From: Lane Hughston <lane_hughston(a)yahoo.com>
Subject: Positions at King's College London
Dear Colleague
Positions at King's College London
This is to let you know that there are two permanent positions now
available in financial mathematics at King's College London. One is a
Lectureship in Financial Mathematics, and the other is a new Professorship
in Financial Mathematics. Both posts are based in the Department of
Mathematics. Details of these posts, along with information about the
application procedures, can be found on the Mathematics Department
website:
http://www.mth.kcl.ac.uk
The deadline for applications is 31 January 2005. I should be grateful if
you were to pass this information on to potential applicants
(or consider applying yourself, if that is appropriate ! ). Candidates
should (of course) have an outstanding track record of pure or applied
research in some area of financial mathematics. Please feel free to
contact me (Lane.Hughston(a)kcl.ac.uk) or Dr Mihail Zervos
(Mihail.Zervos(a)kcl.ac.uk) in connection with any informal enquiries.
Yours sincerely
Lane Hughston
My apologies if you get this message more than once !
=====
Professor Lane P. Hughston
Chair in Financial Mathematics
Department of Mathematics, King's College London
The Strand, London WC2R 2LS, UK
office 0207 848 2855
mobile 07768 710677
home 0207 639 0302
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
From: Sabine Grob <grob(a)wiiw.ac.at>
Subject: [Noeg-l] wiiw Seminar International Economics
Date: Mon, 15 Nov 2004 14:36:59 +0100
Dear Colleagues,
We apologize for the previous announcement with a wrong date.
The next wiiw Seminar in International Economics
will be this week:
Friday, November 19th, 2004 at 1 pm
wiiw Seminarraum, Oppolzergasee 6, 1010 Wien, 2nd floor
Felix Eschenbach
Sciences Po, Paris
Financial Sector Competition, International Trade in Financial Services,
and Economic Growth
joint paper with Joseph Francois (Erasmus University Rotterdam)
Abstract:
We explore dynamic linkages between financial/banking sector openness,
financial sector competition, and growth. We first develop a model
highlighting links between long-run economic performance and services
trade, through scale economies and market and cost structures in the
financial services sector. This is followed by an econometric exercise
based on data for 130 countries for the 1990s. Our results point to a
strong positive relationship between financial sector competition
/performance and financial sector openness (meaning foreign bank
access to domestic markets), and between growth and financial sector
competition/performance. They also point to the presence of scale
economies in the sector.
Keywords: financial services trade, service trade and imperfect
competition, trade in services and growth, financial competition
JEL codes: F40, F13, F43, G15
We cordially invite to this talk!
Julia Wörz
Sabine Grob
The Vienna Institute for International Economic Studies (wiiw)
Wiener Institut für Internationale Wirtschaftsvergleiche (wiiw)
A-1010 Vienna, Oppolzergasse 6
( Tel: +43 1 533 66 10 - 40, 4 Fax: +43 1 533 66 10 - 50
, e-mail: grob(a)wiiw.at
wiiw Homepage: www.wiiw.at
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 10 Nov 2004 16:51:45 +0100
From: ESI Secretary <secr(a)esi.ac.at>
To: seminars(a)doppler.thp.univie.ac.at
Action: ANNOUNCE
Title: Workshop: "Stochastic processes from physics and biology"
Speaker: for information please see
http://www.esi.ac.at/activities/Stochastic2004.html
Date: 2004-11-26
Time: 9:00
Duration:
Location: ESI lecture hall
Invited_by: A. Wakolbinger
--
The Erwin Schroedinger
International Institute for Mathematical Physics
Boltzmanngasse 9
A-1090 Vienna
phone: +43-1-4277-28282
fax: +43-1-4277-28299
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 10 Nov 2004 15:19:00 -0000
From: Lyons T J Prof <tlyons(a)maths.ox.ac.uk>
Subject: Position in Mathematical Finance - Oxford
Dear Colleague
Re: Position in Mathematical Finance - Oxford
Oxford University has just announced a Lectureship in Mathematical Finance,
based in the Mathematical Institute, and I am writing to ask for your help
in bringing it to the attention of any strong potential candidates. The post
arises out of the success of our part-time Masters course in Mathematical
Finance, and the teaching duties will be largely on that programme. Please
note that the closing date is 30th November 2004.
We attract outstanding graduate students in finance, have a thriving and
substantial Masters programme with core funding from the European financial
sector, and have a strong and diverse group of faculty working in the area.
An important goal in making this appointment will be to capitalise on these
strengths and help develop Oxford as a leading centre for the subject in
Europe; it is essential that the appointee is able to contribute at a high
academic level.
Details of the post are on
http://www.maths.ox.ac.uk/notices/vacancies/institute/lecturer7.shtml
Note that a substantial supervision fee is paid for supervising part-time
masters students, and there is the opportunity to undertake up to 30 days of
consultancy per year without loss of salary.
We will be happy to try to answer any other questions you may have.
Best regards
Sam Howison - howison(a)maths.ox.ac.uk
Terry Lyons - tlyons(a)maths.ox.ac.uk
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 10 Nov 2004 11:25:52 +0100
From: Helmut Strasser <Helmut.Strasser(a)wu-wien.ac.at>
Subject: Statistics and Decisions, Contents
Sehr geehrte Fachkollegen !
Wie Sie sicher seit geraumer Zeit wissen, ist die von Prof. Plachky
gegründete und jahrelang herausgegebene Zeitschrift "Statistics and
Decisions" seit 2003 mit einem neuen Editorial Board ausgestattet. Details
zum Editorial Board, zur Herausgeberpolitik und zum veränderten Layout
finden Sie auf der Homepage der Zeitschrift:
http://www.oldenbourg.de/verlag/statistics-international/
Ich möchte Sie auf diesem Weg dazu ermuntern, bei der Veröffentlichung Ihrer
Arbeiten und von Arbeiten Ihrer Mitarbeiter die Zeitschrift "Statistics and
Decisions" in betracht zu ziehen. Zu Ihrer Information sende ich Ihnen
nachstehend die Inhalte der Hefte seit dem Herausgeberwechsel. Sie sehen
daraus, dass die veröffentlichten Arbeiten hinsichtlich des inhaltlichen
Spektrums im Bereich der Mathematischen Stochastik weit gestreut sind.
Zahlreiche prominente Kollegen haben uns bereits ihr Vertrauen geschenkt und
Arbeiten in "Statistics and Decisions" veröffentlicht.
Ich hoffe, dass diese Information Ihr Interesse findet.
Mit besten Grüssen, Helmut Strasser.
**********************************************************************
Helmut Strasser
o.Univ.Prof., Dr.phil.
----------------------------
Member of the Austrian Academy of Sciences
Editor of Statistics and Decisions
---------------------------
Department of Statistics and Mathematics
Vienna University of Economics and Business Administration
A-1090 Vienna, Augasse 2-6
---------------------------
Phone: +43+1+31336 5051 (5050)
Fax: +43+1+31336 734
Email: Helmut.Strasser(a)wu-wien.ac.at
WWW: http://matrix.wu-wien.ac.at/homepage/helmutstrasser
***********************************************************************
Eine Reihe von Editoren der Zeitschrift haben durch Publikation einer
persönlichen Arbeit zum gelungenen Neustart beigetragen: L. Rüschendorf, W.
Schachermayer, A. van der Vaart (forthcoming), L. Devroye, A. N. Shiryayev,
A. Janssen, F. Liese, M. Nussbaum, W. Wefelmeyer.
Weitere Autoren und Titel finden Sie nachstehend:
Volume 22, Issue 2:
P. Dencker, F. Liese: Local maximin properties of tests in Gaussian shift
experiments.
J. Fehrenbach, L. Rüschendorf: Markov chain algorithms for Eulerian
orientations and 3-colourings of 2-dimensional Cartesian grids.
D. Ferger: A two-dimensional Cramer-von Mises test for the two-sample
problem with dispersion alternatives.
P. Guasoni, W. Schachermayer: Necessary conditions for the existence of
utility maximizing strategies under transaction costs.
Volume 22, Issue 1:
E. Belitser: On asymptotic expansion of pseudovalues in nonparametric median
regression.
A.S. Dalalyan, Y.A. Kutoyants: On second order minimax estimation of
invariant density for ergodic diffusion.
L. Heinrich, F. Pukelsheim, U. Schwingenschlögl: Sainte-Lague's chi-square
divergence for the rounding of probabilities and its convergence to a stable
law.
H. Peng, A. Schick: Estimation of linear functionals of bivariate
distributions with parametric marginals.
A.N. Shiryaev: A remark on the quickest detection problems.
Volme 21, Issue 4:
A. Janssen: Which power of goodness of fit tests can really be expected:
intermediate versus contiguous alternatives.
Y. Sheena and A.K. Gupta: Estimation of the multivariate normal covariance
matrix under some restrictions.
A. Steland: Jump-preserving monitoring of dependent time series using pilot
estimators.
S.T. Garren: Improved estimation of medians subject to order restrictions in
unimodal symmetric families.
Volume 21, Issue 3:
M. Jähnisch, M. Nussbaum: Asymptotic equivalence for a model of independent
non identically distributed observations.
A.A. Gushchin, E. Valkeila: Approximations and limit theorems for likelihood
ratio processes in the binary case.
R. Kühne, L. Rüschendorf: Optimal stopping and cluster point processes.
L. Wang: Limit theorems in change-point problems with multivariate
long-range dependent observations.
Volume 21, Issue 2:
T. Sottinen, E. Valkeila: On arbitrage and replication in the fractional
Black-Scholes pricing model.
J. Forrester, W. Hooper, H. Peng, A. Schick: On the construction of
efficient estimators in semiparametric models.
A. Korostelev: The Bahadur risk in probability density estimation.
J. Rahnenführer: On preferences of general two-sided tests with applications
to Kolmogorov-Smirnov-type tests.
K. Pötzelberger: Estimating the dimension of factors of diffusion processes.
M. Revyakov: Ranking of populations in parameter's modulus.
Volume 21, Issue 1:
Ioannis Karatzas: A note on Bayesian detection of change-points with an
expected miss criterion.
Luc Devroye, Dominik Schaefer, Laszlo Györfi, Harro Walk: The estimation
problem of minimum mean squared error.
Hans M. Dietz, Yury A. Kutoyants: Parameter estimation for some
non-recurrent solutions of SDE.
Jeannette H.C. Woerner: Variational sums and power variation: a unifying
approach to model selection and estimation in semimartingale models.
Yuzo Maruyama: A robust generalized Bayes estimator improving on the
James-Stein estimator for spherically symmetric distributions.
Wolfgang Schmid, Yarema Okhrin: Tail behaviour of a general family of
control charts.
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 5 Nov 2004 11:19:03 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
To: RICAM-All <ricam-all(a)ricam.oeaw.ac.at>
Subject: [Ricam-all] RICAM-Kolloquium
Prof. Albrecht Irle
Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel
Dienstag, 9. November, 15:30 Uhr, HS 5
Optimal Stopping Problems in Mathematical Finance
Abstract: Optimal stopping theory has again become an active area of
research, one of the reasons being their importance for pricing American
options. In this talk two new methods for finding optimal stopping rules
are described. The first method is discrete in nature and may be used to
construct algorithms of simulation type. The second method pertains to
diffusion processes and uses suitable martingales. Applications to
mathematical finance are described.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz, Austria
E-mail: Annette.Weihs(a)oeaw.ac.at
Tel: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
http://www.ricam.oeaw.ac.at
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20041105T1422.pdf
Type: PDF document, version 1.2
Size: 207335
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 27 Oct 2004 11:17:18 +0100
From: Andrew Cairns <A.Cairns(a)ma.hw.ac.uk>
To: Andrewc(a)ma.hw.ac.uk
Subject: ANNOUNCEMENT: conference/workshop
Dear Colleagues,
I have appended below a short announcment of a workshop
on quantitative finance and insurance that will be held in
Edinburgh in 2005.
Please forward this announcement to any colleagues that
you think might be interested.
For further details please see the draft workshop website at
http://www.ma.hw.ac.uk/~andrewc/workshop/
To give me an idea of numbers, persons hoping to
attend and/or give a talk should e-mail me at A.Cairns(a)ma.hw.ac.uk
Yours sincerely,
Andrew Cairns
Heriot-Watt University, Edinburgh
Workshop on the Interface between Quantitative Finance and Insurance
Dates: 4-8 April, 2005
A satellite workshop of the Quantitative Finance programme of the
Isaac Newton Institute, January - June 2005.
Organised jointly by:
Heriot-Watt University, Edinburgh
The International Centre for Mathematical Sciences, Edinburgh
The Isaac Newton Institute, Cambridge
Organising Committee:
Andrew Cairns (Heriot-Watt University)
Claudia Klueppelberg (Technical University of Munich),
Susan Pitts, Chris Rogers (University of Cambridge)
General Summary
This workshop aims to discuss leading-edge research on the interface
between insurance, pensions and quantitative finance. It is intended that
the meeting will concentrate on two closely linked themes. First,
all insurance companies and pension plans are subject to a degree
of financial and economic risk as well as their traditional
insurance risks. Considerable research in the international actuarial
community is ongoing which attempts to model and manage these risks.
Much of this research is building upon existing knowledge in financial
mathematics. Equally, though, the specific problems being encountered
are throwing back new challenges for financial mathematicians.
This introduces us to the second theme. Namely the issue of securitisation
of insurance risks. This presents many new challenges which
require a combination of financial mathematics, mathematical
economics and good contract design.
Workshop Themes
A: Stochastic asset models for life insurance and pensions
B: Fair value, solvency testing and capital adequacy
C: Long-term risks: pricing and risk assessment
D: Dependence modelling, extreme-value theory, Levy processes
and their application in insurance problems
E: Optimal stochastic control and optimal hedging problems in insurance
F: Issues relating to specific contracts and securitisation of insurance
risks
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Th, 28.10.2004
Philippe Clement (TU Delft)
R-Boundedness and Operator-valued Multipliers
In this lecture we shall introduce the notion of R-bounded family of
operators in a Banach space. Recently many new results in the theory of
operator-valued multipliers (of Marcinkiewicz, Mihlin or Schur type) have
been obtained by using this new notion of boundedness. Connections with the
problem of Lp-maximal regularity for abstract differential equations in
Banach spaces will also be considered.
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
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Date: Sun, 17 Oct 2004 20:38:21 -0700
From: Edwin Perkins <perkins(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
(...)
POSTDOCTORAL FELLOWSHIPS IN PROBABILITY
UNIVERSITY OF BRITISH COLUMBIA, CANADA
Applications are invited for one or more postdoctoral fellowships in
probability theory in the Mathematics Department, University of British
Columbia, Vancouver, Canada. Positions are for two years (subject to
review after one year) starting no later than September 1, 2005. Salary
is $47,500 Canadian per annum. Postdoctoral fellows teach one 13-week
course each year. Applicants should have, or expect to receive, a PhD in
mathematics, and should show excellent potential in research and teaching.
The Department has a very active probability group, with permanent faculty
in a wide variety of areas. For details see
http://www.math.ubc.ca/Research/probab.html. There is a Period of
Concentration in Probability and Statistical Mechanics, sponsored by the
Pacific Institute for the Mathematical Sciences, for the period 2004-2006.
This incorporates an extensive array of research activities; see
http://www.pims.math.ca/CRG/probability/overview.html.
The city of Vancouver is cosmopolitan and culturally rich, and is set in
an outstanding natural area.
Applicants should send a curriculum vitae and list of publications, and
arrange for three letters of reference to be sent to Professor Gordon
Slade at slade(a)math.ubc.ca. The deadline for applications is December 1,
2004. Applications received after this date may also be considered.
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From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
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Date: Mon, 11 Oct 2004 14:29:16 +0200
From: Nicole Gruber <oek(a)eos.tuwien.ac.at>
Subject: Ökonometrisches Seminar
Sehr geehrte InteressentInnen,
am Montag, 18. Oktober 2004 (13:15 bis 14:45 Uhr) hält Herr Dr. Thomas
Ribarits einen Vortrag mit dem Titel: "Neue Parametrisierungen für
lineare Zeitreihenmodelle: der stationäre und der kointegrierte Fall"
Ort: Seminarraum 105A (Argentinierstraße 8, 1. Stock).
Abstract:
Im Vortrag betrachten wir die Maximum Likelihood Schätzung von linearen
dynamischen Systemen in Zustandsraumdarstellung. Zur Schätzung muß vorab
die Modellklasse geeignet parametrisiert werden. Wir stellen neue
Parametrisierungen vor: 'separable least squares data driven local
coordinates' (slsDDLC). SlsDDLC basiert einerseits auf der Grundidee von
DDLC, einer Parametrisierung, die in (McKelvey et al., 2004) eingeführt
wurde. Andererseits fußt slsDDLC auf der Anwendung der 'separable least
squares Methodologie', d.h. slsDDLC wird zur Optimierung einer geeignet
konzentrierten Likelihoodfunktion verwendet. Dies bedeutet natürlich
auch eine verminderte Zahl von zu schätzenden Parametern im
nichtlinearen Likelihood-Optimierungsproblem.
Die Anwendung der Parametrisierungen auf die Maximum Likelihood
Schätzung von stationären Zeitreihenmodellen wird illustriert.
Simulationsstudien zeigen, daß die Verwendung von slsDDLC deutliche
numerische Vorteile im Vergleich zu traditionellen Parametrisierungen,
aber auch zu DDLC, aufweist.
Schließlich wird die Anwendung auf die Schätzung kointegrierter
Zeitreihenmodelle besprochen. Die in (Johansen, 1995) behandelte VAR
(vektor-autoregressive) Modellierung von kointegrierten Prozessen wird
verallgemeinert und slsDDLC wird für die Schätzung des neu eingeführten
Zustandsraum-Fehlerkorrekturmodells verwendet.
Schlagworte: Multivariate Zeitreihenanalyse, Zustandsraummodelle,
Parametrisierungen, stationäre Prozesse, Kointegration.
Mit freundlichen Grüßen
Manfred Deistler
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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From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
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Date: Fri, 8 Oct 2004 13:40:19 -0700
From: Edwin Perkins <perkins(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
Subject: 2005 Summer School in Probability June 6-30, U. British Columbia
As part of our PIMS Collaborative Research Group in Probability and
Statistical Physics we will again be running two advanced graduate
courses at UBC in the summer of 2005. The lectures in 2005 will take
place from June 6 to June 30 and be given by Yuval Peres, U
Cal. Berkeley, and Gordon Slade, UBC. The course descriptions are
below. We plan these to be official courses at UBC and so graduate
students at universities in W. Canada can receive credit for them
through the Western Deans Agreement. There will be total of 30 hours
of lectures in each course. Support for these courses comes from the
Pacific Institute for the Mathematical Sciences and the Department of
Mathematics at UBC.
Those interested in attending these courses (graduate students, pdf's
, faculty members) are encouraged to sign up asap at our website
http://www.pims.math.ca/science/2005/ssprob/ as there will be limited
space in the lecture rooms.
There will be some financial support available for a limited number of
graduate students and postdoctoral fellows who would like to attend.
This will basically cover the cost of a dorm room for the duration of
the course. Applications for support should consist of a brief letter
of application, a cv of the prospective student/pdf and a letter from
the applicant's supervisor all of which may be emailed to
ssprob(a)pims.math.ca. Plain text is preferred. The deadline for
applications for financial support is Dec. 31. It would help us
greatly with planning if you could let us know of your interest before
Oct. 31 at the above address.
If you have queries about the courses please check our website at
http://www.pims.math.ca/science/2005/ssprob/ or send questions to
Gordon Slade at slade(a)math.ubc.ca.
Sincerely, David Brydges and Ed Perkins.
For summer 2005 the courses will be given by Yuval Peres and Gordon Slade,
and will run from 6 June 2005 - 30 June 2005
-----------------------------------------------------------------
Yuval Peres (Math 610D)
Title: Mixing for Markov Chains and Spin Systems
Instructor: Yuval Peres, UC Berkeley
Given an aperiodic irreducible Markov chain on a finite state space,
the rate at which it approaches its stationary distribution is
intensively studied by mathematical physicists, computer scientists
and probabilists. The key insight is that as we consider running the
chain for longer times, we should also be considering chains on larger
spaces. Two celebrated families of chains that still pose mysteries
are random walks on the symmetric group (card shuffles) and
"Glauber dynamics" of spin systems; canonical examples for
the latter are the Ising model and graph colorings.
Planned topics:
* Markov chains and electrical networks: a brief primer.
* Probabilistic methods: coupling and strong uniform times.
* Mixing via spectral gap and isoperimetric inequalities.
* Expanders via random constructions and zigzag products.
* The Ising model and the random cluster model.
* The Ising model on trees, and its interpretations in
mathematical genetics and noisy computation.
* Glauber dynamics for spin systems.
* Correlation inequalities and their implications for mixing.
* Cover times and lamplighter groups.
* Exact sampling via coupling from the past.
Three areas, teeming with unsolved problems, that we will explore:
* Connections between mixing in time and space for spin systems
* Comparison of updates at random locations and systematic scans
* The cutoff phenomenon for distance to stationarity
Gordon Slade (Math 609D)
``The lace expansion and its applications"
Abstract:
Several superficially simple mathematical models, such
as the self-avoiding walk and percolation, are paradigms
for the study of critical phenomena in statistical mechanics.
It remains a major challenge for mathematical physics
and probability theory to obtain a mathematically rigorous
understanding of the scaling theory of these models at
criticality. The lace expansion has become a powerful tool for
the analysis of the critical scaling of a number of models above
their upper critical dimensions, including the self-avoiding walk, lattice
trees, lattice animals, oriented and non-oriented percolation, and the
contact process. Results include proof of existence of critical exponents,
with mean-field values, and construction of the scaling limit.
For lattice trees and critical percolation, the scaling limit
is described in terms of super-Brownian motion.
The lectures will provide an introduction to the lace expansion
and several of its applications. No previous exposure to the lace
expansion will be assumed, and necessary background will be
provided.
Lecture notes for the course are available at
http://www.math.ubc.ca/~slade/sf_v1.ps.gz
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From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
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Date: Wed, 06 Oct 2004 13:37:41 +0200
From: Damir Filipovic <filipo(a)math.ethz.ch>
To: Damir.Filipovic(a)mathematik.uni-muenchen.de
Subject: W2-professor position at LMU Munich
Dear Colleague,
please find attached the announcement (in German) of an open
W2-professor position available in the Mathematics Institute at the
Ludwig-Maximilians University Munich.
I would be very grateful if you could pass this advert on to anyone you
think may be interested in this position.
Yours sincerely,
Damir Filipovic
Mathematics Institute
Ludwig-Maximilians University Munich
Germany
Email: Damir.Filipovic(a)mathematik.uni-muenchen.de
(FYI: I am with LMU Munich since October 2004. Formerly with ETH Zurich
and Swiss Federal Office of Private Insurance)
[attachment removed and saved to below URI by admin]
URI : http://www.fam.tuwien.ac.at/local/listarchs/data/20041006T1416.pdf
Type: PDF document, version 1.4
Size: 25872
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From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
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Date: Wed, 6 Oct 2004 09:59:28 +0200 (METDST)
From: Christian Schmeiser <schmeise(a)deana.math.tuwien.ac.at>
Subject: Pauli Colloquium, WK seminar
============================================
WISSENSCHAFTSKOLLEG "DIFFERENTIAL EQUATIONS"
============================================
http://deana.math.tuwien.ac.at/
Dear colleagus:
There are two talks in this week's Pauli colloquium and WK seminar:
Location: WPI seminar room, Nordbergstrasse 15, 7th floor
Date: Oct. 7, 2004
15:00 Martin Wechselberger Calcium signals in excitable
(Ohio State Univ.) and non-excitable cells
16:00 Luis Caffarelli On Obstacle Problems for
(University of Texas Fractional Powers of the Laplacian
at Austin)
Best regards, Christian Schmeiser
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From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
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Date: Fri, 1 Oct 2004 15:10:51 +0200 (CEST)
From: Reinhard Winkler <reinhard.winkler(a)tuwien.ac.at>
To: Abonnenten für Wissenswertes: ;
Subject: Wissenswertes, Programm fürs Wintersemester 2004/05
Wissenswertes aus der Mathematik
Vorträge im Wintersemester 2004/05
2004-10-18
Hellmuth Stachel (TU Wien):
Starr oder beweglich -- die entscheidende Rolle der Geometrie
2004-11-08
Wolfgang Wertz (TU Wien):
Fraktale und Zufall
2004-11-22
Arnold Beckmann (TU Wien):
Aussagenlogik - eine Trivialität?
2004-11-29
Gabriel Maresch (TU Wien):
Mittelbare Gruppen
2004-12-13
Peter Raith (Uni Wien):
Topologische Entropie für stückweise monotone Abbildungen
2005-01-10
Gustav Feichtinger (TU Wien):
Dynamik und Kontrolle epidemischer Prozesse
2005-01-24
Christa Binder (TU Wien):
Platonische und archimedische Körper -- Entwicklung der Definition
Die Vorträge finden jeweils am
Montag um 16.00 s.t.(!)
im Seminarraum 104 der TU (1040 Wien, Wiedner Hauptstr. 8-10 "Freihaus",
grüner Bereich, 5.Stock) statt. Als Rahmen für eine Sitzung sind etwa 90
Minuten geplant. Einzelne Vorträge können aber auch kürzer sein;
insbesondere dann, wenn eine längere Diskussion zu erwarten ist.
Wie auch in den letzten Semestern bitten wir darum, das Programm an
Interessierte, die noch nicht auf unserer Liste stehen, weiterzuleiten.
Wir werden demnächst einen Ausdruck des Programms an unsere
"Kontaktpersonen" an den einzelnen Instituten schicken und bitten darum,
diesen allen Institutsmitgliedern zugänglich zu machen.
(Eine Postscriptdatei mit dem Programm ist auch auf der Homepage
der "Wissenswerten" Reihe zu finden.)
Martin Goldstern und Reinhard Winkler
http://www.tuwien.ac.at/goldstern/wissen/