---------- Forwarded message ----------
Date: Thu, 04 Sep 2003 14:46:59 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position in mathematical finance
Please bring the following vacancy to the attention of qualified
individuals. The posting can also be found
at http://www.math.ubc.ca/Dept/jobs.htm
Tenure-track position in Mathematical Finance and Mathematical
Economics The Mathematics Department at the University of British
Columbia is seeking candidates for a tenure-track Assistant
Professorship, subject to funding, with a starting date of 1 July
2004. Exceptional candidates at the Associate Professor or Professor
level may be considered. Applicants must have an outstanding research
record in one or more of: computational methods in finance, stochastic
analysis applied to finance or economics, or optimization/control
applied to finance or economics.
The successful applicant is expected to interact with related groups
in the Mathematics Department and have demonstrated interest and
ability in teaching. The Mathematics Department has strong connections
with the Pacific Institute for the Mathematical Sciences (PIMS). The
salary will be commensurate with experience and research record.
Applicants should send a current CV including a list of publications,
statement of research and teaching interests, and should arrange for
three letters of reference to be sent directly to:
Chair, Departmental Committee on Appointments
Department of Mathematics
University of British Columbia
#121 - 1984 Mathematics Road
Vancouver, B.C. Canada V6T 1Z2
The deadline date for applications is November 24, 2003. The
University of British Columbia hires on the basis of merit and is
committed to employment equity. We encourage all qualified persons to
apply.
Ulrich Haussmann Tel: 604-822-3045
Department of Mathematics Fax: 604-822-6074
University of British Columbia email: uhaus(a)math.ubc.ca
121 - 1984 Mathematics Rd. URL:
Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus
------- Forwarded Message Follows -------
From: "taylor" <taylor(a)cam.wits.ac.za>
Subject: RESEND - APOLOGIES IF YOU RECEIVED THIS EARLIER
Date: Fri, 22 Aug 2003 15:08:32 +0200
Dear Colleague
We would be very grateful if you would alert potential candidates to
the following position in Mathematical Finance in the School of
Computational & Applied Mathematics at the University of the
Witwatersrand, Johannesburg, described below. The closing date for
applications is 31 October, 2003. Yours sincerely David Taylor
UNIVERSITY OF THE WITWATERSRAND, JOHANNESBURG
School of Computational & Applied Mathematics
Permanent Senior Lecturer/Lecturer Position in Mathematical Finance
Applications are invited for a permanent position in Mathematical
Finance at the University of the Witwatersrand - Johannesburg, to be
taken up with effect from 1 January 2004 or as soon as possible
thereafter.
Candidates should have a PhD and, in the case of the Senior
Lectureship, an established track record of research in some area of
financial mathematics. Applications are particularly encouraged from
candidates with a background in stochastic analysis, or some other
area of analysis. The appointee to this permanent post in the School
of Computational & Applied Mathematics will be expected to maintain an
active programme of research, and to play a significant role in all
aspects of the organisation and teaching of financial mathematics at
all levels.
The School of Computational & Applied Mathematics has a
history of involvement in Financial Mathematics dating back to 1992,
and the local finance community has been absorbing our graduates for
over ten years. We have also had numerous research collaborations and
funding agreements with local and international financial
institutions.
The appointment will be made at the appropriate point on the
Lecturer or Senior Lecturer scale. Further particulars of the post,
including information about remuneration, may be obtained from Prof
David Taylor at mfinance(a)cam.wits.ac.za or +27-11-717-6149 (fax). More
information can be found on our website: www.cam.wits.ac.za/mfinance
To apply, please submit a covering letter, detailed CV with names and
contact details of three referees & certified copies of degrees to:
Mrs Saajida Ooni,
Human Resources Officer,
Faculty of Science
Wits University
Private Bag 3
Wits 2050
South Africa
The closing date for the receipt of completed applications is 31st
October 2003.
Equality of opportunity is University policy
Prof David R Taylor
Mathematics of Finance Programme
Room SH1135
School of Computational & Applied Mathematics
University of the Witwatersrand
PO WITS, 2050
South Afrika
http://www.cam.wits.ac.za/mfinance/
(+27)-11-717-6110 (O); (+27)-11-403-9317(FAX)
Timetable
http://www.fam.tuwien.ac.at/events/
This Friday there are two talks from guests from Germany. Both applied for
the open position in our department.
Fr, 11.07.2003, 9:30, Sem 107
Juri Hinz (Eberhard-Karls Universität Tübingen, D)
''Modeling electricity auctions''
Fr, 11.07.2003, 14:30, Sem 107
Angelika Esser (Goethe University, Frankfurt, D)
''Modeling feedback effects with stochastic liquidity''
Abstracts:
Juri Hinz (Eberhard-Karls Universität Tübingen, D)
''Modeling electricity auctions''
The recent worldwide introduction of competition to electricity production
and trading raises a number of interesting problems concerning optimal
market design, risk estimation, and strategy optimization for power
producers. We address the last problem, discussing an auction model which
captures key features of real-time electricity trading. It turns out that,
under certain conditions, the expected total payment to electricity
producers is independent on particular auction type. This result is similar
to the revenue equivalence theorem for classical auctions and could help to
compare different electricity auction formats.
Angelika Esser (Goethe University, Frankfurt, D)
''Modeling feedback effects with stochastic liquidity''
We model the interactions between the trading activities of a large
investor, the stock price, and the market liquidity. Our framework
generalizes the model of Frey (2000) where liquidity is constant by
introducing a stochastic liquidity factor. This innovation has two
implications. First, we can analyse trading strategies for the large
investor that are affected by a changing market depth. Second, the
sensitivity of stock prices to the trading strategy of the large investor
can vary due to changes in liquidity. Features of our model are demonstrated
using Monte Carlo simulation for different scenarios. The flexibility of our
framework is illustrated by an application that deals with the pricing of a
liquidity derivative. The claim under consideration compensates a large
investor who follows a stop loss strategy for the liquidity risk that is
associated with a stop loss order. The derivative matures when the asset
price falls below a stop loss limit for the first time and then pays the
price difference between the asset price immediately before and after the
execution of the stop loss order. The setup to price the liquidity
derivative is calibrated for one example using real world limit order book
data so that one gets an impression about the order of magnitude of the
liquidity effect.
the talk from baudoin/teichmann/verschure is replaced by:
Tu, 24.06.2003
Robert Tompkins
Unconditional disturbances: a new approach to asset pricing
------------------------------------------------------------
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
Tu, 24.06.2003 Fabrice Baudoin, Josef Teichmann, Michel Verschuere
Stochastic control problems, viscosity solutions, and
applications to finance (7)
Th, 26.06.2003 Christoph Hummel (Converium, CH)
(Attention: this talk takes place at FH 3)
Tarifierung in der Kredit(rück-)versicherung
Vortragsreihe aus Finanz- und Versicherungsmathematik
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
The above seminars are also announced via the FAM-news mailing list, one of
the public mailing lists maintained by FAM.
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
seminars within one week
Tu, 10.06.2003 Michel Verschuere
Pricing Power Derivatives
We, 11.06.2003 Software-Firma SAS Austria 16:30-18:00, FH 2
Statistische Methoden und deren Umsetzung in der
Sachversicherung
Vortrag im Rahmen der Vorlesung
Schadensversicherungsmathematik 2
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable - Changes
The Talk announced on Thursday will be held on Friday at 9:45 in the
morning in the seminarroom 105 (in our department, Freihaus, 7th floor,
green area):
Fr, 16.05.2003
9:45-11:15
Sem 105
Martin Schaden (New York University)
The Distributions of Historic Stock Returns and Quantum Theory
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
seminars within one
week
Tu, 13.05.2003 Umut Cetin (Cornell
University)
Liquidity Risk and Arbitrage pricing Theory (open
abstract)
Th, 15.05.2003 Martin Schaden (New York
University)
The Distributions of Historic Stock Returns and
Quantum
Theory (open abstract)
http://www.fam.tuwien.ac.at/events/
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 25.03.2003 Peter Grandits
Some remarks on asymptotic ruin probabilities and investment
Th, 27.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (3)
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 (map).
Th, 20.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (2)
next week on tuesday:
Tu, 25.03.2003 Peter Grandits
Some remarks on asymptotic probabilities and investment
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
-----------------
Tu, 18.03.2003 Josef Teichmann
Generic evolutions of the term structure of interest rates (open abstract)
We provide a hypoellipticity result in the spirit of Paul Malliavin for the
HJM-equation. The result can be interpreted as an argument for the
necessity of finite dimensional realizations in interest rate theory.
-----------------
Th, 20.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (2)
Lecture notes on Nizar Touzi's homepage:
http://www.crest.fr/pageperso/lfa/touzi/pise02.pdfhttp://www.crest.fr/pageperso/lfa/touzi/touzi.htm
------------------
http://www.fam.tuwien.ac.at/events/
Tu, 21.01.2003 Josef Teichmann
Non-affine Term Structure Models
Th, 23.01.2003 Fabrice Baudoin,
!!! 15:00-16:30, FH HS 3 !!!
On the Markov property of radial motions
on a Riemannian manifold
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Also note the lectures on Computational Finance this week, organized by
the Institut fuer Angewandte und Numerische Mathematik, TU Wien:
==========================================
VIENNA LECTURES ON COMPUTATIONAL FINANCE
==========================================
am 20. und 21.01.2003
von Prof. Peter Kloeden
(J. W. Goethe Universitaet, Frankfurt am Main)
Titel: What are Stochastic Differential Equations (SDEs)?
Zeit: Montag 20. Jaenner 2003, 16:00 Uhr
Ort: SEM 115, Freihaus, Wiedner Hauptstrasse 8-10, 4. Stock (gruen)
Titel: Higher Order Numerical Methods for SDEs
Zeit: Dienstag 21. Jaenner 2003, 09:30 Uhr
Ort: SEM 105, Freihaus, Wiedner Hauptstrasse 8-10, 7. Stock (gruen)
Titel: Practical Issues Concerning the Use of Numerical Methods for SDEs
Zeit: Dienstag 21. Jaenner 2003, 16:15 Uhr
Ort: SEM 115, Freihaus, Wiedner Hauptstrasse 8-10, 4. Stock (gruen)
Abstract:
http://www.anum.tuwien.ac.at/~carsten/VLCompFin2003
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Th, 16.01.2003 Andreas Eckner; 16:30-17:15
Pricing Derivatives of American and Game Type in Incomplete
Markets (open abstract)
Th, 16.01.2003 Walter Schachermayer; 17:15-18:00
Optimization of Dividend Payments
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Tu, 17.12.2002 Eva Strasser
On the Duality Theorem of Utility Maximization
Th, 19.12.2002 Jacopo Zani; Banca IMI, Politecnico of Turin
Static Hedging of Barrier Options
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Today's seminar (Josef Teichmann, Cubature on Wiener Space, II) has to be
rescheduled slightly and will start at 17:00. We are sorry for any
inconveniences this might cause.
Tu, 26.11.2002 Josef Teichmann
Cubature on Wiener Space, II
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Tu, 19.11.2002 Josef Teichmann
Cubature on Wiener Space
Th, 21.11.2002 our seminar on "Coherent Risk Measures" continues
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Note: the talk originally planned for this Thursday has be rescheduled!
Tu, 12.11.2002 Igor Melichercik
Multi Stage Bond Portfolio Optimization under Model Risk
Th, 14.11.2002 Zoran Vondracek
Levy Processes and Pollaczek-Khintchin formula
Tu, 19.11.2002 Josef Teichmann
Cubature on Wiener Space
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Tu, 12.11.2002 Igor Melichercik
Multi Stage Bond Portfolio Optimization under Model Risk
Th, 14.11.2002 Josef Teichmann
Cubature on Wiener Space
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Unfortunately our seminar on "Coherent Risk Measures" has to be canceled
this Thursday (24.10.2002). It will continue next week.
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
dear fam-ily,
rainer muenz is discussing today in the peter weinberger's series
"streitgespraeche" about "wissenschaft und aussenpolitik". further
information can be found at http://www.tuwien.ac.at/streitgespraeche/
best regards, joandi
Josef Teichmann
Institut für Finanz- und Versicherungsmathematik
Technische Universität Wien
Wiedner Hauptstraße 8-10
A-1040 Wien
Austria
tel ++43/1/5880110514
fax ++43/1/5880110599
http://www.fam.tuwien.ac.at/~jteichma
Tu, 15.10.2002 Cristian Popa
Relaxation with measure-valued functions in problems of Best
Approximation
Th, 17.10.2002 Tanja Veza
Seminar on
"Coherent Risk Measures on General Probability Spaces"
ATTENTION: this talk takes place in Seminarraum 105
for further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Tu, 08.10.2002 Christoph Kühn
Zur Bewertung von Amerikanischen Optionen und Spieloptionen
in unvollständigen Märkten
Th, 10.10.2002 Rainer Münz
Alterung in Europa: Auswirkungen auf Kapitalmarkt und soziale
Sicherung,
Vortragsreihe aus Finanz- und Versicherungsmathematik
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
June 18, 2002
16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107
> Conditioned Stochastic Differential Equations -
> Applications to Finance
> FABRICE BAUDOIN (Universit´es Paris 6 et Paris 7)
Abstract:
(1) We generalize the notion of Brownian bridge. More precisely, we
study a standard Brownian motion for which a certain functional is
conditioned to follow a given law. Such processes appear as weak
solutions of stochastic differential equations that we call
conditioned stochastic differential equations. The link with the
theory of initial enlargement of filtration is made and after a
general presentation several examples are studied: the conditioning of
a standard Brownian motion (and more generally of a Markov
diffusion) by its value at a given date, and the conditioning of a
standard Brownian motion by its first hitting time of a given level.
(2) As an application, we introduce the notion of weak information on
a complete or incomplete market, and we give a "quantitative" value to
this weak information.
(3) As the end of the talk, we will go one step further by considering
a flow of information: as the price process is revealed, the weak
anticipation is updated.
> Time Table
Tuesdays and Thursdays, 16:30-18:00
Tu, 14.05.2002
> Peter Koenig (Attention: this talk takes place at FH HS 6)
Anlagemanagement von Pensionsfonds
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
Th, 16.05.2002
> Alfred Müller (Attention: this talk starts at 16:00
and takes place at FH HS 6)
Abhängigkeitsordnungen und ihre Anwendungen in der
Versicherungsmathematik
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/schedule/
Thursday, May 2, 2002, 16:30
TU Vienna, Wiedner Hauptstr. 8-10,
Freihaus, 6th floor, green section,
Seminar room 107
Michel Verschuere, Catholic University of Leuven, Belgium
"An Overview on the modelling of Electricity Markets"
Abstract: Recently, national electricity markets have been deregulated
in
several countries in order to make electric power a traded commodity.
We
give an overview of the particular features of electricity markets and
present some recently developed models.
---------- Forwarded message ----------
Date: Tue, 23 Apr 2002 21:27:29 +0200
From: Dr. Rudolf Taschner <Rudolf.Taschner(a)tuwien.ac.at>
To: <Undisclosed-Recipient:@iatms11.iatm.tuwien.ac.at;>
Subject: Wiener Vorlesung am 7. 5. 2002
"Die Frage nach dem Unendlichen hat wie keine andere Frage von jeher so
tief das Gemüt der Menschen bewegt. Das Unendliche hat wie kaum eine
andere Idee auf den Verstand so anregend gewirkt. Das Unendliche ist aber
auch wie kein anderer Begriff der Aufklärung bedürftig."
David Hilbert
Der Bürgermeister der
Bundeshauptstadt Wien
Dr. Michael Häupl
und der amtsführende
Stadtrat für
Kultur und Wissenschaft
Dr. Andreas Mailath-Pokorny
laden ein zu einer
Wiener Vorlesung
Dienstag
7. Mai 2002
19 Uhr
Univ.-Prof. Dr. Rudolf Taschner
spricht zum Thema
"Musil, Gödel, Wittgenstein und das Unendliche"
Lesung
Franz Robert Wagner
Moderation
Dr. Klaus Kastberger
Ort
Österreichische Nationalbibliothek, Prunksaal
Josefsplatz 1, 1010 Wien
Planung und
Koordination:
Univ.-Doz. Dr. H. Ch. Ehalt,
Kulturabteilung der Stadt Wien,
Wissenschafts- und Forschungsförderung,
Friedrich Schmidt-Pl.5
1082 Wien,
Telefon: (01) 4000
DW 88741, 88744
E-Mail.:
str(a)m07.magwien.gv.at
Rudolf Taschner, geb. 1953, 1976 Promotion sub auspiciis Praesidentis an
der Universität Wien. 1979 Gastaufenthalt an der Stanford University in
Kalifornien, 1981 Habilitation an der Technischen Universität Wien, wo er
Mathematik am Institut für Analysis und Technische Mathematik lehrt.
Verfasser einer Reihe von fachmathematischen Aufsätzen in renommierten
österreichischen, deutschen, schweizer und U.S.-amerikanischen
Zeitschriften, Autor mathematischer Sach- und mehrbändiger Lehr- und
Fachbücher, u.a. "Lehrgang der konstruktiven Mathematik", "Das Unendliche.
Mathematiker ringen um einen Begriff"
Franz Robert Wagner, geb. 1944, Schauspielausbildung am Konservatorium der
Stadt Wien, daneben Privatunterricht bei Julia Janssen, Fritz Lehmann, Boy
Gobert; Engagements u.a. bei den Wiener Festwochen, am Theater an der
Wien, am Staatstheater Oldenburg, am Schauspielhaus Düsseldorf, am Theater
in der Josefstadt. Sprechertätigkeit für den WDR, HR, NDR und den ORF
(u.a. "Universum").
2nd CONFERENCE IN ACTUARIAL SCIENCE AND FINANCE IN SAMOS SEPTEMBER 20-22,
2002, GREECE
The Department of Statistics & Actuarial Science of the
University of the Aegean is pleased to host the 2nd
Conference in Actuarial Science and Finance, to be held
in Samos, on September 20-22, 2002.
This event is jointly organized with the Katholieke
Universiteit Leuven (Department of Applied Economics and
Department of Mathematics) and the Universite catholique
de Louvain (Institute of Statistics and Actuarial research
group), Belgium.
The Conference allows the presentation of the latest works
in the area of actuarial science and finance. It is open
to all persons interested in actuarial science and finance,
be they from universities, insurance companies, banks,
consulting firms or regulatory authorities. The conference
aims to facilitate the contact and the communication between
the practicians and the researchers; a special session will
be devoted to different aspects of actuarial practice.
The main topics include
· Life, pension and health insurance
· Collective Risk Models, Dynamic Solvency Testing
· Claims Distributions and Statistics
· Nonlife insurance
· Extreme Value Theory and Applications
· Financial Risk Management
A number of sessions will explore the different aspects of
these areas.
There will 3 pre-conference short courses from
September 16-19, 2002:
· Extremes, with applications in insurance and finance,
by Professor J. Teugels
· Modelling of dependence, by Professor J. Dhaene
· Building projected lifetables to manage the longevity risk,
by Professor M. Denuit
Postgraduate students and young reseachers are specially
welcome.
For further information, please refer to
http://www.stat.ucl.ac.be/Samos2002/
<http://www.stat.ucl.ac.be/Samos2002/>
This tuesday's seminar starts 30 minutes earlier, i.e., it takes places
from 16:00 to 17:30, at the usual place, Seminarraum 107.
Tu, 23.04.2002
--------------
Fred Espen Benth, Merton's portfolio optimization problem and non-Gaussian
stochastic volatility
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Unfortunately the time of the talk had to be changed slightly:
Mo, 15.04.2002
--------------
Damir Filipovic, Affine Term Structure Models
09:30, HS 18 Czuber ( http://www.wegweiser.ac.at/tuwien/hoersaal/H18.html
)
Tu, 09.04.2002
--------------
Rama Cont, Methods for model calibration
Th, 11.04.2002
--------------
Freddy Delbaen, TBA
Note also: Next week there will be a talk on Monday:
Mo, 15.04.2002
--------------
Damir Filipovic, Affine Term Structure Models
10:00, place to be announced
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
28th Conference on
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Second Call for Papers
The 28th Conference on Stochastic Processes and their Applications.
Organized under the auspices of the Bernoulli Society for Mathematical
Statistics and Probability.
It will be held 1-5 July, 2002 at The University of Melbourne (Parkville
campus), Australia.
PROGRAM
The program consists of fifty-minute lectures delivered by invited
speakers and twenty-minute contributed talks by participants on various
topics related to stochastic processes and their
applications.
- topics include, (but are not limited to):
stochastic analysis, discrete random processes and randomised algorithms,
topics in limit theorems, Markov chain Monte Carlo, Markov processes,
random processes in
random environments, point processes,
- application areas such as:
stochastic processes in finance and insurance, stochastic processes in
physics, applications to telecommunications, time series, modelling in
biology and medicine.
The DEADLINE for receipt of abstracts is 3 May 2002.
Abstracts should be e-mailed as LaTeX source files created using a
template down loadable from the conference web site.
http://www.spa28.ms.unimelb.edu.au/
CONFERENCE
More information about the conference (including a list of confirmed
invited speakers, registration forms/fees, possible travel support [for US
participants only at the moment], accommodation options, sightseeing tours
etc) can be found at the above web site.
SPA28, Secretariat Contact:
Bronwen Hewitt, Conference Management, E-mail: bhewitt(a)unimelb.edu.au
Dominique Azzopardi, Conference Management, E-mail: dazzo(a)unimelb.edu.au
Fiona Mallon, Conference Management, E-mail: f.mallon(a)unimelb.edu.au
Old Physics Building, The University of Melbourne,
VIC 3010, Australia
Fax: (+61-3) 8344 6122
Tph: (+61-3) 8344 6389
This email message (including any file attachments transmitted with it) is
for the sole use of the individual or entity to whom it is addressed and
may contain confidential and privileged information. Any unauthorised
review, use, alteration, disclosure or distribution is prohibited. If you
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