- FAM-news - TU FAM Mailing lists

Google Announces 'Google Scholar' for academic research (fwd)
by Andreas Schamanek 21 Nov '04

21 Nov '04

---------- 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

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reminder, this week's seminars
by Sandra Trenovatz 17 Nov '04

17 Nov '04

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/

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Positions at King's College London (fwd)
by Andreas Schamanek 16 Nov '04

16 Nov '04

---------- 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

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[Noeg-l] wiiw Seminar International Economics (fwd)
by Andreas Schamanek 15 Nov '04

15 Nov '04

---------- 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

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ESI: Workshop: "Stochastic processes from physics and biology" (fwd)
by Andreas Schamanek 11 Nov '04

11 Nov '04

---------- 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

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Position in Mathematical Finance - Oxford (fwd)
by Andreas Schamanek 10 Nov '04

10 Nov '04

---------- 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

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Statistics and Decisions, Contents (fwd)
by Andreas Schamanek 10 Nov '04

10 Nov '04

---------- 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.

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[Ricam-all] RICAM-Kolloquium (fwd)
by Andreas Schamanek 05 Nov '04

05 Nov '04

---------- 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

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ANNOUNCEMENT: conference/workshop (fwd)
by Andreas Schamanek 31 Oct '04

31 Oct '04

---------- 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

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fam-news
by Sandra Trenovatz 27 Oct '04

27 Oct '04

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/

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Postdoc Fellow In Probability, U. of British Columbia (fwd)
by Andreas Schamanek 18 Oct '04

18 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- 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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Oekonometrisches Seminar (fwd)
by Andreas Schamanek 11 Oct '04

11 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- 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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2005 Summer School in Probability June 6-30, U. British Columbia (fwd)
by Andreas Schamanek 11 Oct '04

11 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- 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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W2-professor position at LMU Munich (fwd)
by Andreas Schamanek 06 Oct '04

06 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- 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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Pauli Colloquium, WK seminar (fwd)
by Andreas Schamanek 06 Oct '04

06 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- 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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Wissenswertes, Programm fuers Wintersemester 20 04/05 (fwd)
by Andreas Schamanek 01 Oct '04

01 Oct '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- 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/

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wtfs 7. Okt (fwd)
by Andreas Schamanek 13 Sep '04

13 Sep '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Fri, 10 Sep 2004 14:00:18 +0200 From: Sylvie Hansbauer <sylvie.hansbauer(a)univie.ac.at> Subject: wtfs 7. Okt Wirtschaftstheoretisches Forschungsseminar der Universität Wien gemeinsam mit dem Institut für Höhere Studien und der Nationalökonomischen Gesellschaft 07.10.2004: 16.00 s.t.: Charalambos D. ALIPRANTIS (Purdue University) Some Applications of Riesz Spaces to Economics, Finance and Econometrics 17.30 s.t.: Jim MALLEY (University of Glasgow and CESifo) Electoral Uncertainty, Fiscal Policies and Growth: Theory and Evidence from Germany, the UK and the US Nächster Termin: 21.10.04 mit Vorträgen von Robert Nuscheler (WZ Berlin) und Roland Strausz (FU Berlin) Abstracts (soweit vorhanden) finden Sie im Anschluss/umseitig. Die Papiere zu den Vorträgen liegen auf http://www.univie.ac.at/Wirtschaftswissenschaften/events/WS0304/economicthe… Die Vorträge finden im Institut für Wirtschaftswissenschaften, Hohenstaufengasse 9, A-1010 Wien statt. Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begrüßt. Prof. Gerhard Orosel Abstracts Charalambos D. ALIPRANTIS (Purdue University) Some Applications of Riesz Spaces to Economics, Finance and Econometrics Investors often wish to insure themselves against the payoff of their portfolios falling below a certain value. One way of doing this is by purchasing an appropriate collection of traded securities. However, when the derivatives market is not complete, an investor who seeks portfolio insurance will also be interested in the cheapest hedge that is marketed. Such insurance will also be interested in the cheapest hedge that is marketed. Such insurance will not exactly replicate the desired insured-payoff, but it is the cheapest that can be achieved using the market. Analytically, the problem of finding a cheapest insuring portfolio is a linear programming problem. The present paper provides an alternative portfolio dominance approach to solving the minimum-premium insurance portfolio problem. This affords remarkably rich and intuitive insights to determining and describing the minimum-premium insurance portfolios. Jim MALLEY (University of Glasgow and CESifo) Electoral Uncertainty, Fiscal Policies and Growth: Theory and Evidence from Germany, the UK and the US In this paper we study the link between elections, fiscal policy and economic growth/fluctuations. The set-up is a dynamic stochastic general equilibrium model of growth and endogenously chosen fiscal policy, in which two political parties can alternate in power. The party in office chooses jointly how much to tax and how to allocate its total expenditure between public consumption and production services. The main theoretical prediction is that forward-looking incumbents, with uncertain prospects of re-election, find it optimal to follow relatively shortsighted fiscal policies, and that this lowers economic growth. The model is estimated using quarterly data for Germany, the UK and the US from 1960 to 1999. Our econometric results provide clear support for the main theoretical prediction. They also give plausible and significant estimates for the productivity of public production services, the weight which households place on public consumption services relative to private consumption and the time discount rate. Moreover, we find that changes in electoral uncertainty produce the longest lasting fluctuations in the European economies followed by the US.

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Stellenausschreibung: IBF, Univ. Innsbruck
by Andreas Schamanek 06 Sep '04

06 Sep '04

Anmerkung: Bewerbungsfrist 3 Wochen ab 15. September 2004. ---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- From: Michael Hanke <Michael.Hanke(a)uibk.ac.at> Date: Mon, 6 Sep 2004 14:11:50 +0200 Subject: Stellenausschreibung Wissenschaftliche/r Mitarbeiter/in im Forschungs- und Lehrbetrieb (halbbeschäftigt), Institut für Betriebliche Finanzwirtschaft ab sofort auf 4 Jahre. Voraussetzungen: Abgeschlossenes Universitätsstudium, Fachrichtung: Wirtschaftswissenschaften, Mathematik o.ä. Erwünscht: Kenntnisse in Risikomanagement, quantitative Methoden in der Finanzwirtschaft, Optionsbewertung, Programmierkenntnisse. Aufgabenbereich: Unterstützung der Institutsmitarbeiter in Forschung und Lehre, eigenständige Forschung (Dissertation), Verwaltungsarbeiten. Etwaige Rückfragen bitte an Michael.Hanke(a)uibk.ac.at Beste Grüße, Michael Hanke -- Prof. Dr. Michael Hanke University of Innsbruck Department of Finance Universitaetsstrasse 15 6020 Innsbruck, Austria Phone: (+43)5125077552, Fax: (+43)5125072846

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Re: Pressemeldung zum Tod von Prof. Schmetterer (fwd)
by Andreas Schamanek 30 Aug '04

30 Aug '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> (...) -----Ursprüngliche Nachricht----- Von: Wolfgang Kerber [mailto:kw@zbp.univie.ac.at] Gesendet: Freitag, 27. August 2004 16:55 Im Anhang schicke ich Ihnen die Nachricht von Prof. Rindler über den Tod von Prof. Schmetterer. MlG W. Kerber -----Ursprüngliche Nachricht----- Von: Wolfgang L. Reiter [mailto:wolfgang.reiter@univie.ac.at] Gesendet: Freitag, 27. August 2004 12:14 Betreff: Pressemeldung zum Tod von Prof. Schmetterer Soeben hat mich folgende Pressemeldung zum tragischen Tod von Prof. Leopold Schmetterer erreicht. Bei einem gemeinsamen Spaziergang stuerzte die Frau von Prof. Schmetterer ungluecklich in eine Grube, Leopold Schmetterer, der bekanntlich ja praktisch blind ist, wollte ihr helfen, hielt ein Auto an und kam nicht mehr zurueck. Wolfgang Reiter Anfang der weitergeleiteten E-Mail: > Von: Peter Schmitt <peter.schmitt(a)univie.ac.at> > Datum: Mit, 25. Aug 2004 19:43:16 Europe/Vienna > Betreff: [Institut] Pressemeldung zum Unfall > > Ich habe folgende Meldung gefunden: > > Burgenland > Eisenstadt (APA) - > 24.08.2004 23:12 > Zwei Tote bei unbeschranktem Bahnübergang > Bei der Kollision eines Klein-Lkw mit einem Personenzug der > Raab-Ödenburg-Ebenfurter Eisenbahn sind am Dienstag Nachmittag in Gols > (Bezirk Neusiedl am See) zwei Menschen ums Leben gekommen. Der > 75-jährige Fahrzeuglenker, ein Weinbauer aus Mönchhof, starb ebenso an > der Unfallstelle wie sein 85-jähriger Beifahrer, ein Wiener. > > Das Unglück ereignete sich auf einem unbeschrankten, mit > Andreaskreuzen gesicherten Bahnübergang. Der Lenker des Klein-Lkw > hatte noch knapp vor der Eisenbahnkreuzung angehalten, wollte dann > aber kurz vor Herannahen des Zuges übersetzen. Das Fahrzeug wurde von > der Raaberbahn voll erfasst. > > Rotes Kreuz, Notarztwagen und der Notarzthubschrauber "Christophorus > 3" waren rasch an der Unfallstelle, den beiden Fahrzeuginsassen konnte > nicht mehr geholfen werden. Der Lokführer und die sechs Passagiere des > Zuges blieben unverletzt. > > -- > Peter Schmitt > Peter.Schmitt(a)UniVie.ac.at (...) Nachricht von Prof. Rindler über den Tod von Prof. Schmetterer: Leopold Schmetterer Prof. Leopold Schmetterer ist gestern Nachmittag (24. August 2004) bei einem tragischen Unfall ums Leben gekommen. Er befand sich in einem PKW, der auf einem unbeschrankten Bahnübergang in Gols von einem Zug erfasst wurde. Den Verlust für die österreichische Mathematik und Statistik kann ich momentan nicht beschreiben. Gestern noch beantragte ich einen Fakultätsvortrag zu Ehren seines 85. Geburtstages im November. Persönlich verliere ich mit ihm ein großes, unerreichtes Vorbild und einen väterlichen Freund. Von der Tochter von Prof. Schmetterer habe ich soeben noch einen besonders tragischen Umstand erfahren: Bei einem gemeinsamen Spazier- gang stürzte die Frau von Prof. Schmetterer unglücklich in eine Grube, er - bekanntlich ja praktisch blind - wollte ihr helfen, hielt ein Auto an und kam nicht mehr zurück. Vermutlich wollte man zu rasch Hilfe holen. Harald Rindler

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Artikel in Standard zum Bild der Mathematik (fwd)
by Andreas Schamanek 26 Aug '04

26 Aug '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 26 Aug 2004 11:39:00 +0200 (CEST) From: Prof. Heinz W. Engl <heinz.engl(a)jku.at> liebe kolleg(inn)en, der "standard" ist derzeit sehr mathematik-freundlich. am kommenden montag erscheint wieder ein kurzer artikle zum bild der mathematik in der öffentlichkeit. mit besten grüßen heinz engl --------------------------------------------------------------------------- Prof.Dr.Heinz W. Engl E-Mail: heinz.engl(a)jku.at Institut fuer Industriemathematik secretary: doris.nikolaus(a)jku.at Johannes-Kepler-Universitaet Phone:+43-(0)732-2468...,ext.9219 or 8693, Altenbergerstrasse 69 secretary: ext.9220 A-4040 Linz Fax:ext. 8855 Oesterreich / Austria home phone: +43-(0)732-245518 World Wide Web: http://www.indmath.uni-linz.ac.at/ and Johann Radon Institute for Computational and Applied Mathematics (RICAM), Austrian Academy of Sciences; http://www.ricam.oeaw.ac.at EMail: heinz.engl(a)oeaw.ac.at Mobile Phone: +43-(0)664-5209029 Mobile Fax: +43-(0)664-5274338 ---------------------------------------------------------------------------

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MathFinance.de Newsletter (fwd)
by Andreas Schamanek 16 Aug '04

16 Aug '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 12 Aug 2004 12:41:29 +0200 From: Ernst Eberlein <eberlein(a)stochastik.uni-freiburg.de> To: Members of the Bachelier Finance Society <> Subject: Newsletter Dear Member of the Bachelier Finance Society, At the General Assembly of the Society which was held during the Third World Congress in Chicago the issue of newsletters was discussed. Uwe Wystup, who is editing the MathFinance Newsletter has agreed to make it available for members of the Society. To register for the MathFinance Newsletter, which is available on the internet at http://www.mathfinance.de, please visit http://www.mathfinance.de/Newsletter/register/ . MathFinance.de provides information about jobs, events, books, software, papers and resources whenever it is related to mathematical finance. Your contributions are welcome, please mail them to uwe.wystup(a)mathfinance.de With best regards Ernst Eberlein Executive Secretary -- Prof. Dr. Ernst Eberlein Department of Mathematical Stochastics University of Freiburg Eckerstrasse 1 D-79104 Freiburg Germany e-mail: eberlein(a)stochastik.uni-freiburg.de Tel. ++49/761/203-5660 FAX ++49/761/203-5661

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FAM-news
by Sandra Trenovatz 16 Aug '04

16 Aug '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 17.08.2004 Pavel Grigoriev Representation of "dilatation monotonous" or "co-monotonic additive" risk measures (capacities) (with J.Leitner) We study the special class of coherent risk measures which satisfy an additional property called "dilatation monotonicity" (monotonicity with respect to taking conditional expectations over arbitrary sub sigma algebras). This property appears to be natural for at least 2 reasons: First, the conditioned random gain is "more determined" than the original one and so it should be less risky; second, all risk measures which are consistent with respect to utility maximization over all utility functions are dilatation monotonous. In particular, we proved that the dilatation monotonicity is equivalent to so-called "co-monotonic additivity". In the case of atomless probability space the dilatation monotonicity implies the risk measure is also law invariant. Among the other results we characterized the extreme points of the set of scenario probabilities for dilatation monotonous coherent risk measures. http://www.fam.tuwien.ac.at/events/

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mathematics special in 'der standard'
by Andreas Schamanek 09 Aug '04

09 Aug '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 9 Aug 2004 13:46:32 +0200 (CEST) From: Prof. Heinz W. Engl <heinz.engl(a)jku.at> dear colleagues the newspaper "standard" has devoted a whole page to mathematics today. also ricam is mentioned. best regards heinz engl

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FWF Newsletter: Hinweise zu 2 Presseinfos, ESF-Call, Offene Stellen (fwd)
by Andreas Schamanek 03 Aug '04

03 Aug '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ... mit speziellem Hinweis auf O'Neill. Walter ---------- Forwarded message ---------- Date: Thu, 29 Jul 2004 13:24:18 GMT From: FWF Newsletter <mailinglist(a)fwf.ac.at> Subject: Hinweise zu 2 Presseinfos, ESF-Call, Offene Stellen Inhalt: 1. Brian O'Neill, EURYI-Award Gewinner 2004 2. Translational-Research-Programm fast 10-fach ueberzeichnet 3. Neuer ESF-Call: Scientific Programmes in the Social Sciences 4. FWF-Reorganisation: Personalsuche - drei ReferatsleiterInnen ---------------------------------------------------------------- Liebe Leserin, lieber Leser, Die European Young Investigators Awards 2003/2004 (EURYI-Awards) - eine von der ESF durchgefuehrte Initiative der EUROHORCS - sind vergeben. 25 junge SpitzenforscherInnen haben sich in einem zweistufigen Auswahlverfahren gegen 752 AntragstellerInnen aus aller Welt durchgesetzt. Einer von diesen 25, der US-Amerikaner Brian O'Neill, wird am IIASA (International Institute for Applied Systems Analysis) in Laxenburg bei Wien in den naechsten fuenf Jahren mit seinem Team das Forschungsprojekt 'Demography, uncertainty, and learning in integrated assessment models of climate change' durchfuehren. O'Neills Preis ist mit rund 1 Mio. Euro dotiert. Der Call für die EURYI-Awards 2004/2005 wird im September 2004 veroeffentlicht. Details koennen Sie nachlesen unter: http://www.fwf.ac.at/de/press/euryi_award.html Das Forschungsprojekt von Brian O'neill finden Sie kurz beschrieben unter: http://www.fwf.ac.at/de/press/oneill_abs.html ---------------------------------------------------------------- Die Resonaz auf das Ende Mai 2004 erstmalig ausgeschriebene Programm des Wissenschaftsfonds zur Foerderung der Wissenschaften an der Schnittstelle zwischen Grundlagenforschung und angewandter Forschung (Translational Research) uebertraf selbst sehr optimistische Erwartungen. Die "FWF-Aktie Translational Research" ist fast zehnfach ueberzeichnet - 43 Mio. EUR Antragsvolumen stehen einem Foerderungsvolumen von 4,5 Mio. EUR gegenueber. Lesen Sie mehr dazu unter http://www.fwf.ac.at/de/press/translational_research.html ---------------------------------------------------------------- Neuer ESF-Call: Scientific Programmes in the Social Sciences Dieser Call der ESF foerdert Vernetzungsaktivitaeten von WissenschafterInnen oder Forschungsgruppen auf europaeischer Ebene fuer den Zeitraum von 4-5 Jahren. Die Ziele sind: Wissensaustausch- und transfer, Entwicklung neuer Methoden und Techniken, Ausbildung von NachwuchswissenschaftlerInnen, Zusammenfuehrung und Koordination nationaler Programme sowie Schaffung interdisziplinaerer Plattformen. Die Einreichfrist endet am 1. November 2004. Kontakt: Falk Reckling Email: reckling(a)fwf.ac.at Telefon: +43-1-505 67 40 DW 43 Detailinformationen zu diesem Call der ESF finden Sie unter: http://www.esf.org/esf_article.php?language=0&activity=5 &domain=5&article=438&page=1133 ---------------------------------------------------------------- Im Zuge der Reorganisation des Wissenschaftsfonds sind unter anderem drei Positionen fuer Referatsleitungen ausgeschrieben. Detaillierte Informationen finden Sie dazu unter: http://www.fwf.ac.at/de/aktuelles_detail.asp?N_ID=133 beziehungsweise unter der Web-Adresse: http://www.derstandard.at/ Suchbegriff in der Volltextsuche: Wissenschaftsfonds Mit den besten Gruessen Ihr FWF-Website-Team ------------------------------------------------------------ (...) ------------------------------------------------------------ FWF Der Wissenschaftsfonds Austrian Science Fund Weyringergasse 35 1040 Wien Tel.: +43-1-505 67 40-0 Fax: +43-1-505 67 39 office(a)fwf.ac.at http://www.fwf.ac.at

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Hammurabi-Preis 2005, 1st call (fwd)
by Andreas Schamanek 30 Jun '04

30 Jun '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 30 Jun 2004 16:03:58 +0200 From: Michael Theil <theil(a)wu-wien.ac.at> Subject: Hammurabi-Preis 2005, 1st call Sehr geehrte Kolleginnen und Kollegen, ich möchte Sie auf die Ausschreibung des Hammurabi-Preises 2005 aufmerksam machen. Die Einreichfrist läuft bis 30.9.2004. Die Ausschreibung finden Sie auf den WWW-Seiten des Instituts http://www.wu-wien.ac.at/wwwu/institute/versich/tafel.html unter dem Punkt "Aktuelles". Beste Grüße, Ihr Michael Theil *************************************************** ao. Univ.-Prof. Mag. Dr. Michael Theil Institut für Versicherungswirtschaft / Wirtschaftsuniversität Wien Institute of Risk Management and Insurance / Vienna University of Economics and Business Administration A-1090 Wien, Augasse 2-6 Tel. (+ 43-1) 31336 4947, Fax (+ 43-1) 31336 90 4947 e-mail: theil(a)wu-wien.ac.at http://www.wu-wien.ac.at/usr/versich/theil/local.html

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reminder, this week's seminars
by Sandra Trenovatz 28 Jun '04

28 Jun '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). Tu, 29.06.2004 Giovanni Cesari Counterparty Credit Exposure for Exotic Derivatives Vortragsreihe aus Finanz- und Versicherungsmathematik For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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IHS Public Lecture: Herakles Polemarchakis: Pareto Improving Taxes
by Andreas Schamanek 25 Jun '04

25 Jun '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 24 Jun 2004 16:09:21 +0200 From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at> To: NOEG_VT: ; Subject: Invitation to IHS Public Lecture ÖFFENTLICHER GASTVORTRAG PUBLIC LECTURE Monday, 28 June, 2004 Institut für Höhere Studien 1060 Wien, Stumpergasse 56 4:00 p.m., HS II Herakles Polemarchakis Brown University, Providence Pareto Improving Taxes ABSTRACT In economies with externalities, competitive equilibria are constrained suboptimal: commodity taxes lead to a Pareto improvement after prices adjust and markets clear. The argument extends to economies with strategic interactions, incomplete asset markets or asymmetric information. The constrained suboptimality of competitive allocations provides foundations for a theory of economic policy in market economies. With: J. D. Geanakoplos, Yale University __________________________________________________________________ Bakk. phil. Beatrix Pawelczak Institute for Advanced Studies and Scientific Research Stumpergasse 56, 1060 Wien, Austria Tel: +43-(01)-59991-145 Fax: +43-(01)-59991-163 e-mail: pawelcza(a)ihs.ac.at www: http://www.ihs.ac.at

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reminder, this week's seminars
by Sandra Trenovatz 07 Jun '04

07 Jun '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 seminars within one week Tu, 08.06.2004 Michel Verschuere Risk management in immature electricity markets For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Ausschreibung Juniorprofessur Versicherungswirtschaft / Uni Ulm (fwd)
by Andreas Schamanek 24 May '04

24 May '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 24 May 2004 13:53:58 +0200 From: Hans-Joachim Zwiesler <h.zwiesler(a)ifa-ulm.de> Subject: Ausschreibung Juniorprofessur Versicherungswirtschaft an der Uni Ulm Liebe Kolleginnen und Kollegen, beiliegend schicke ich Ihnen die Ausschreibung einer Juniorprofessur in Versicherungswirtschaft (offizielle Veröffentlichung: 3. Juni 2004) mit der Bitte, die Ihnen bekannten, geeigneten Nachwuchswissenschaftler/innen darauf aufmerksam zu machen und ihnen eine Bewerbung nahe zu legen. Bei der Stelle handelt es sich um eine Juniorprofessur, die wir extern besetzen wollen und die nach 5 bis 6 Jahren - eine positive Beurteilung des Stelleninhabers vorausgesetzt - in eine ordentliche Professur überführt werden könnte. Gedacht ist die Stelle für eine/n exzellente/n, promovierte/n (oder in der Endphase der Promotion befindliche/n) Nachwuchswissenschaftler/in im Versicherungsbereich, wobei wir den Kreis hier bewusst weit ziehen. Ich denke, dass die Universität Ulm ein sehr attraktives Umfeld bietet, und würde mich freuen, wenn sich aus Ihrem Bereich geeignete DoktorandInnen bewerben würden. Bitte beachten Sie den Bewerbungsschluss: 5. Juli 2004 Für nähere Rückfragen stehe ich jederzeit gerne zur Verfügung. Vielen Dank und herzliche Grüße Ihr H.-J.Zwiesler [attachment removed and saved to below URI by admin] URI : http://www.fam.tuwien.ac.at/local/listarchs/data/20040524T1423.pdf Type: PDF document, version 1.3 Size: 51115

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reminder, this week's seminars
by Sandra Trenovatz 24 May '04

24 May '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 seminars within one week Tu, 25.05.2004 Daniel Straumann Parameter estimation in conditionally heteroscedasric time series models. Th, 27.05.2004 Fulvio Pegoraro Pricing and Inference with Mixtures of Conditionally Normal Processes For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Oekonometrisches Seminar: Juergen Franke (fwd)
by Andreas Schamanek 17 May '04

17 May '04

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Mon, 17 May 2004 13:42:21 +0200 From: Nicole Gruber <oek(a)eos.tuwien.ac.at> Subject: Ökonometrisches Seminar Liebe Kolleginnen und Kollegen, am 24. Mai 2004 (13:00 bis 14:30 Uhr) hält Herr Prof. Dr. Jürgen Franke (Universität Kaiserslautern) einen Vortrag mit dem Titel "Nichtparametrische Zeitreihenmodelle auf der Grundlage neuronaler Netze und Anwendungen bei der Risikoquantifizierung und Portfoliomanagement". Ort: HS 14 (Karlsplatz 13, Stiege 3, 3. Stock) Mit freundlichen Grüßen Nicole Gruber 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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reminder
by Sandra Trenovatz 17 May '04

17 May '04

Timetable Dienstag, 18. Mai 2004, 16:30, TU Wien, Freihaus Hörsaal 6: Prof. Anna Rita Bacinello Full Professor, University of Trieste (Italy) "Modelling the Surrender Conditions in Equity-Linked Life Insurance" http://www.fam.tuwien.ac.at/vr/20040518.php http://www.fam.tuwien.ac.at/vr/ http://www.fam.tuwien.ac.at/events/ ------------------------------------------------------------------ Ankündigung eines Vortrags eines Lektors unseres Instituts: Dienstag, 25. Mai 2004, 18 Uhr, Wirtschaftskammer, Wiedner Hauptstr. 63, 1040 Wien Mag. Christoph Krischanitz arithmetica und Lektor an der TU Wien "Eigenkapitalsteuerung und Risikomanagement in Versicherungsunternehmen" Abstract und Anmeldung unter http://www.fam.tuwien.ac.at/events/vr/20040525.pdf Dieser Vortrag wird von der Österreichischen Gesellschaft für Versicherungsfachwissen organisiert. ------------------------------------------------------------------

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today's seminar
by Sandra Trenovatz 06 May '04

06 May '04

there is _no_ seminar today. the talk of lutz von grafenstein will be on another day, which is not fixed jet. best regards, sandra trenovatz http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 03 May '04

03 May '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 04.05.2004 Dirk Tasche Konzentrationssensitive Kapitalanforderungen für Kreditrisiken Vortragsreihe aus Finanz- und Versicherungsmathematik Tu, 06.05.2004 Lutz von Grafenstein Power markets and HJM-methodology 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 19 Apr '04

19 Apr '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). seminars within one week Tu, 20.04.2004 Gallus Steiger (ETH Zürich) On the optimal martingale measure for exponential utiity indifference pricing (open abstract) Th, 22.04.2004 Luciano Campi Hedging for an insider in incomplete markets For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Vortragsreihe: Wissenswertes der Mathematik: Mo, 19.04.2004 Uwe Schmock (16.00 im Seminarraum 104) Einführung in die Kreditrisikomodellierung, http://info.tuwien.ac.at/goldstern/wissen/

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reminder, this week's seminars
by Sandra Trenovatz 14 Apr '04

14 Apr '04

TU FH, Turm A, 6. Stock, Seminarraum 107. Th, 15.04.2004, 16:30 - 17:30 Karel Janecek (student of D. Kramkov applying for a RICAM-position) title of talk was not sended. Th, 15.04.2004, 17:30 Bulat Khaydarov Market Liquidity and Its Effect on Portfolio Risk http://www.fam.tuwien.ac.at/events/

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

29 Mar '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 30.03.2004 Carlo Sgarra homepage An exact analytical solution for discrete Barrier Options obtained via a Wiener-Hopf Factorization For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ © by Financial and Actuarial Mathematics, TU Vienna, 2002-2004

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seminars this week
by Sandra Trenovatz 15 Mar '04

15 Mar '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107. Tu, 18.03.2004 Mesrop Janunts Duality methods for portfolio optimization http://www.fam.tuwien.ac.at/events/

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Talk by Dr. Daniel Straumann (RiskLab, ETH Zurich)
by Uwe Schmock 09 Mar '04

09 Mar '04

Time: Monday, 15. March 2004 from 13.00 to 14.30 Location: Seminarraum 105a (Mehrzweckraum), Argentinierstr. 8, 1. Floor Speaker: Dr. Daniel Straumann (RiskLab, ETH Zurich) Title: Estimation in Conditionally Heteroscedastic Time Series Models Abstract: This talk deals with the estimation in certain conditionally heteroscedastic time series models, such as e.g. GARCH, asymmetric GARCH or EGARCH. By exploiting the techniques of stochastic recurrence equations, we develop a general and unifying limit theory for the maximum-likelihood estimator (MLE) and quasi-maximum likelihood estimator (QMLE) in a certain parametric class of conditionally heteroscedastic time series models. This generalizes and clarifies work of Lumsdaine (1996) and Berkes et al.(2003). We furthermore discuss the issue of misspecification in the MLE and the behavior of the QMLE in the presence of a heavy-tailed noise distribution. A second part of the thesis studies the asymptotic behavior of the classical Whittle estimator when it is applied to the squares of GARCH(1,1). We focus on the case of an unconditional distribution with an infinite 8th moment and thereby generalize results by Giraitis and Robinson (2001). A copy of Dr. Straumann's recent Ph.D. thesis on this topic is in my office. With best regards, Uwe Schmock

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talk this week
by Sandra Trenovatz 09 Mar '04

09 Mar '04

Timetable TU FH, Turm A, 6. Stock, Seminarraum 107 (map). Th, 11.03.2004 ---> 17:00-18:00 <--- Umut Cetin: An Alternative Proof of Fundamental Theorem of Asset Pricing with Proportional Transaction Costs I'll try to give a, somewhat rigorous, sketch of the proof of the fundamental theorem in the setting of Jouini and Kallal (1995) using arguments from utility maximization. http://www.fam.tuwien.ac.at/events/

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PostDoc Fellow in Financial Math. (McMaster University)
by Andreas Schamanek 24 Feb '04

24 Feb '04

---------- Forwarded message ---------- Date: Mon, 23 Feb 2004 16:51:07 -0500 From: Matheus Grasselli <grasselli(a)math.mcmaster.ca> Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS Dear Colleagues Tom Hurd and I are pleased to announce the following opening for a Postdoc position within our group at McMaster University. We would ask you to forward this message to any strong candidates you might think would be interested in applying for it. Best regards, Matheus Grasselli Assistant Professor and Sharcnet Chair in Financial Mathematics Dept. of Math & Stats - McMaster University grasselli(a)math.mcmaster.ca - 905 525 9140 x 23406 www.math.mcmaster.ca/grasselli ************************************************************************ POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS Applications are invited for a postdoctoral fellowship position in financial mathematics in the Department of Mathematics & Statistics. This fellowship provides an opportunity to spend up to two years engaged in research, with a limited amount of teaching, and is particularly suitable for a talented young mathematician who has recently completed the Ph.D. degree. McMaster University is located 65 km from downtown Toronto, the financial heartland of Canada. The Department of Mathematics and Statistics is home to PhiMAC, the Financial Mathematics Lab at McMaster, a group of faculty, postdoctoral fellows and graduate students working in financial mathematics (please see http://www.math.mcmaster.ca/phimac/) for more information. The appointee will be expected to participate in PhiMAC seminars and meetings. The Fellowship is open to candidates of any nationality and selection will be based upon the candidate's research potential. McMaster is committed to Employment Equity and encourages applications from all qualified candidates, including aboriginal peoples, persons with disabilities, members of visible minorities and women. Starting July 1, 2004 or thereafter, the stipend will be CAD 40,000 per annum plus a CAD 2,000 grant per annum for research expenses. Applications will be accepted until the position is filled. Applications and three letters of reference should be sent immediately to: Dr. Matheus Grasselli and Dr. Tom Hurd Mathematics & Statistics McMaster University Hamilton, Ontario Canada, L8S 4K1 Matheus Grasselli Assistant Professor and Sharcnet Chair in Financial Mathematics Dept. of Math & Stats - McMaster University grasselli(a)math.mcmaster.ca - 905 525 9140 x 23406 www.math.mcmaster.ca/grasselli

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reminder, this week's seminars
by Sandra Trenovatz 23 Feb '04

23 Feb '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 24.02.2004 Pavel Grigoriev On low dimensional Case in the Fundamental Asset Pricing Theorem with Transaction Costs © by Financial and Actuarial Mathematics, TU Vienna, 2002-2004

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RA position in mathematical finance (fwd)
by Friedrich Hubalek 20 Feb '04

20 Feb '04

From: Mark Owen <mowen(a)ma.hw.ac.uk> Dear colleague, I would be very grateful if you could pass on on some information to members of your department about a newly advertised RA position at the department of Actuarial Mathematics and Statistics, Heriot-Watt University. This is a two year, EPSRC funded position, and would suit recent postdocs with a background in financial mathematics, functional analysis or stochastic analysis. More details can be found in the attached particulars or on my homepage: http://www.ma.hw.ac.uk/~mowen/ Many thanks indeed, Mark Owen. -- Dr. Mark P. Owen, School of Mathematical and Computer Sciences, Scott Russell Building, Heriot-Watt University, Riccarton, Edinburgh EH14 4AS, Scotland. School of Mathematical and Computer Sciences Department of Actuarial Mathematics and Statistics Post-Doctoral Research Fellowship in Financial Mathematics - `Optimal investment in semimartingale markets for the writer of a contingent claim'. -- Further Particulars Salary: £18,265 - £20,311 Applications are invited for a 24 month Post-Doctoral Fellowship in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University, funded by the EPSRC. The pro ject will be concerned with the existence of solutions to problems of optimal investment in general semimartingale models of financial markets, using a combination of martingale methods, convex duality, and functional analysis. Applicants should have a PhD in either financial mathematics, functional analysis or stochastic analysis. Due to the nature of the pro ject, a background in functional analysis would be advantageous. The candidate should have as a minimum, a basic knowledge of financial mathematics and the desire to work in this field. Opportunities are available for participation in international conferences. The aim of the project is to investigate optimal investment for an economic agent who wishes to maximise their expected utility of wealth from trading, in the framework of a general model of an incomplete semimartingale financial market. It is proposed to treat the case where the agent has written a European style contingent claim, with possibly unbounded payoff. This would extend previous work by the principal investigator, Dr M. Owen. One of the main goals of this pro ject will be to formulate a tractable (dual) optimisation problem within a locally convex topological vector space generated by pricing measures. In addition to this, properties of the optimal terminal wealth will be investigated, with the aim of relating it to an optimal wealth process or an optimal trading strategy. The Department of Actuarial Mathematics and Statistics is part of the School of Mathematical and Computer Sciences at Heriot-Watt University. The Department is one of the world's leading centres of research in actuarial and financial mathematics, and was awarded Grade 5 in the 2001 Research Assessment Exercise. Much useful information about the Department can be found in the Annual Reports on our website at http://www.ma.hw.ac.uk/ams.html. Further information is available from http://www.ma.hw.ac.uk/mowen/ or from Dr M. Owen (Tel: +44-(0)131 451 4366, email: M.P.Owen(a)ma.hw.ac.uk). It is expected that the Post-Doctoral Research Fellowship will start as soon as possible after 1 April 2004. For application details, please contact the Human Resources Office, Heriot-Watt University, Edinburgh EH14 4AS, tel/fax +44-(0)131 451 3475 (24 hours), hr(a)hw.ac.uk, quoting Ref 31/04/J. Closing date: 12 March 2004.

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FAM-reminder, this week's seminars
by Sandra Trenovatz 16 Feb '04

16 Feb '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). seminars within one week Tu, 17.02.2004 Umut Cetin A Very Simple Model for Liquidity Risk © by Financial and Actuarial Mathematics, TU Vienna, 2002-2004 For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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fam-news
by Sandra Trenovatz 27 Jan '04

27 Jan '04

ein weiterer vortrag an unserem institut, ausnahmsweise an einem mittwoch, dafür aber zur gewohnten zeit um 16:30. da der seminarraum 105 besetzt ist, findet der vortrag im besprechungszimmer des instituts 107 (freihaus, 6. stock, grüner bereich) statt. We, 28.01.2004 Alexander Uljanov Fondsgebundene Lebensversicherungen mit Mindestgarantie (in deutscher sprache) abstract siehe http://www.fam.tuwien.ac.at/events/

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reminder, this week's seminars
by Sandra Trenovatz 26 Jan '04

26 Jan '04

Timetable Tuesdays and Thursdays, 16:30-18:00 TU FH, Turm A, 6. Stock, Seminarraum 107 seminars within one week Mo, 26.01.2004 Josef Teichmann (16.00 im Seminarraum 118) Geometrie der Zinsen, Vortragsreihe: Wissenswertes der Mathematik Tu, 27.01.2004 Josef Teichmann Generalising the Hobson-Rodgers model Th, 29.01.2004 Alexander Schied Optimal investments for robust utility functionals 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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reminder, this week's seminars
by Sandra Trenovatz 19 Jan '04

19 Jan '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 seminars within one week Tu, 20.01.2004 Josef Teichmann Cubature on Wiener Space from the point of view of central limit theorems Th, 22.01.2004 Andreas Kull 'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU Vortragsreihe aus Finanz- und Versicherungsmathematik 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 12 Jan '04

12 Jan '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). seminars within one week Tu, 13.01.2004 Peter Friz Rough Path and Stochastic Analysis other future seminars Th, 22.01.2004 Andreas Kull 'Solvency II': Ein neues Aufsichtsmodell für die Versicherungswirtschaft in der EU Vortragsreihe aus Finanz- und Versicherungsmathematik, Mo, 26.01.2004 Josef Teichmann (16.00 im Seminarraum 118) Geometrie der Zinsen, Vortragsreihe: Wissenswertes der Mathematik Th, 29.01.2004 Alexander Schied Optimal investments for robust utility functionals For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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Post-doc at Carnegie Mellon (fwd)
by Andreas Schamanek 17 Dec '03

17 Dec '03

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 16 Dec 2003 18:57:30 -0500 (EST) From: Steven Shreve <shreve(a)matt.math.cmu.edu> Subject: Post-doc at Carnegie Mellon CARNEGIE MELLON UNIVERSITY Center for Computational Finance The Center for Computational Finance expects to appoint a post-doctoral fellow in mathematical finance, beginning in September 2004. This position will be funded by Morgan Stanley and the National Science Foundation, and is contingent upon approval of the National Science Foundation funding. Applicants should have a strong record of accomplishment in probability research and a serious interest in the applications of probability to finance. This will be a two-year appointment with no teaching duties. The recipient will be expected to make short visits to Morgan Stanley during the academic year, and Morgan Stanley is expected to offer an internship in the summer between the academic years. 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. For full consideration, applications should be received by January 12, 2004. All communications should be addressed to: Computational Finance Post-doctoral Committee, Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213. Carnegie Mellon University is an Affirmative Action/Equal Opportunity Employer -- Steven E. Shreve Department of Mathematical Sciences Carnegie Mellon University Pittsburgh, PA 15213-3890 shreve(a)cmu.edu http://www.math.cmu.edu/users/shreve Direct Telephone: 412-268-8484 Department Telephone: 412-268-2545 Fax: 412-268-6380

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Positions in Cambridge ... (fwd)
by Andreas Schamanek 17 Dec '03

17 Dec '03

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 16 Dec 2003 15:34:55 +0000 (GMT) From: Chris Rogers <L.C.G.Rogers(a)statslab.cam.ac.uk> Subject: Positions in Cambridge ... (...) There are currently two positions available at any point on the Lecturer scale in this department, one in math finance, the other in any area but with a preference for math finance. These are very attractive for a variety of reasons, which I'm happy to explain to anyone who is interested further after checking out http://www.statslab.cam.ac.uk/Vacancies/ Please bring to the attention of anyone you think may be suitable. Closing date 5th Jan 2004. Chris /////////////////////////////////////////////////////////////////// // Professor L C G Rogers Tel: +44 1223 766806 // // Statistical Laboratory Fax: +44 1223 337956 // // Wilberforce Road Web: www.statslab.cam.ac.uk/~chris // // Cambridge CB3 0WB, GB // ///////////////////////////////////////////////////////////////////

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