Tu, 19.03.2002
--------------
Paul Embrechts, Vortragsreihe aus Finanz- und Versicherungsmathematik
Attention: this talk takes place at FH HS 6
Th, 21.03.2002
--------------
Michael Kirch, No-arbitrage bounds of option prices if asset prices are
piecewise constant
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
---------- Forwarded message ----------
Date: Thu, 14 Mar 2002 15:27:36 +0100 (MET)
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 14 Mar 2002 15:27:44 +0100
From: Nicole Gruber <oek(a)e119ws1.tuwien.ac.at>
Subject: Vorlesung Prof. Bernard Hanzon (2. Versuch)
Liebe Kolleg(Inn)en,
die Vorlesungen von Prof. Bernard Hanzon sind nun wie folgt angesetzt:
Finance Econometrics: beginnend am Montag, 18. 3. 2002 von 13:45 Uhr bis
15:00 Uhr am Institut für Ökonometrie
Systems Identification: beginnend am Donnerstag, 21. 3. 2002 von 13:00 Uhr
bis 14:00 Uhr am Institut für Ökonometrie
Interessenten sind herzlich willkommen
---------- Forwarded message ----------
Date: Thu, 14 Mar 2002 15:19:28 +0100 (MET)
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 14 Mar 2002 11:06:00 +0100 (CET)
From: Prof. Heinz W. Engl <engl(a)indmath.uni-linz.ac.at>
sehr geehrte kolleg(inn)en,
ich suche dringend wissenschaftliche mitarbeiter(inn)en für das
neugegründete kompetenzzentrum für industriemathematik. anforderungen:
mathematische modellierung mit differentialgleichungen (festkörper-,
strömungsmechanik), zugehörige numerik. eine stelle möglicherweise auch im
bereich der bildverarbeitung (kooperation mit prof.scherzer, innsbruck).
ich bitte sie, geeignete kandidat(inn)en darauf hinzuweisen (möglichst
rasche kontaktnahme, möglicher arbeitsbeginn 2.4.).
danke und beste grüße
heinz engl
------------------------------------------------------------------------------
Prof.Dr.Heinz W. Engl E-Mail: engl(a)indmath.uni-linz.ac.at
Institut fuer Industriemathematik secretary: nikolaus(a)indmath.uni-linz.ac.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/
Mobile Phone: +43-(0)664-5209029 Mobile Fax: +43-(0)664-5274338
Mobile EMail: heinz.engl(a)a1plus.at (use those only if you want to
reach me urgently "on the road")
------------------------------------------------------------------------------
MINI-WORKSHOP on STOCHASTIC ANALYSIS and FINANCE
Monday 27 - Tuesday 28, May 2002
Department of Mathematics and Statistics
University of Jyvaeskylae
The workshop is intended to bring together researchers and
graduate students interested in Stochastic Analysis and its
applications in Finance.
The event is supported by the Department of Mathematics and
Statistics of the University of Jyvaeskylae.
INVITED SPEAKERS
Luis Alvarez (Turku School of Economics and Business Administration)
Friedrich Hubalek (Technical University, Vienna)
Paavo Salminen (Åbo Academy, Turku)
Wolfgang Schmidt (Deutsche Bank, Frankfurt)
Nizar Touzi (University Paris I)
PROGRAM
The scientific program starts at Monday, May 27-th. There is room
for talks given by the participants (please contact the organizers).
REGISTRATION
There is no conference fee. Please register with name,
affiliation, expected duration of stay, and e-mail address
under: geiss(a)maths.jyu.fi
WWW: www.math.jyu.fi/~geiss/workshop.html
Stefan Geiss (geiss(a)maths.jyu.fi)
Esko Valkeila (Esko.Valkeila(a)helsinki.fi)
-------------------------------------------------------
Tu, 12.03.2002
--------------
Freddy Delbaen, On the Structure of the Set of Risk Neutral Measures
Th, 14.03.2002
--------------
no FAM-seminar, but see Research Seminar in Economic Theory at the
IHS: ( http://www.ihs.ac.at/index.php3?id=965 )
17:30 Roger J-B Wets
University of California, Davis
"Market Equilibrium in a Stochastic Environment"
Fr, 15.03.2002
--------------
10:30, Freihaus HS 7:
Hans-Jochen Bartels (Universität Mannheim), Symmetrierelationen für ein
inverses Problem der Finanzmathematik
15:00, Freihaus HS 7:
Uwe Schmock (Universität Zürich), Modellierung abhängiger Kreditrisiken
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
---------- Forwarded message ----------
Date: Fri, 08 Mar 2002 12:47:56 +0100
From: Nicole Gruber <oek(a)e119ws1.tuwien.ac.at>
Prof. Bernard Hanzon beginnt seine Vorlesung mit einer augural lecture mit
dem Titel "Algebraic optimization techniques for zero-beta CAPM and APT
models" am Montag 11.3.02 , 14:00 Uhr am Institut für Ökonometrie,
Operations Research und Systemtheorie
---------- Forwarded message ----------
Date: Tue, 5 Mar 2002 15:13:22 -0000
From: Lyons T J Prof <tlyons(a)maths.ox.ac.uk>
Subject: Full faculty position in math finance
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. The
lecturer will also be a Fellow of St Catherine's College and will do a small
amount of tutorial teaching there.
Finance is an area in which Oxford is increasingly significant, and our aim
is to be one of the leading centres for the subject in Europe. We have a
strong and diverse group of faculty working in the area, in Mathematics and
elsewhere, and we attract excellent graduate students.
Details of the post are on <http://www.maths.ox.ac.uk/notices/vacancies/>
http://www.maths.ox.ac.uk/notices/vacancies/ . Note that in addition to the
advertised university salary, the college will pay a housing allowance; 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.
Either Sam or Terry will be happy to try to answer any other questions you
may have.
Best regards
Jeff Dewynne
Sam Howison
Terry Lyons
News-flash from
MaPhySto -- Centre for Mathematical Physics and Stochastics
-----------------------------------------------------------
Dear Colleague,
We would like to draw your attention to the following grants:
------------------------------------------------------
SUMMER STIPENDS 2002
------------------------------------------------------
Young Researchers Grants for visiting MaPhySto in the summer of 2002
See more at: http://www.maphysto.dk/positions/SummerStipends2002.html
---------------------------------------------------------------------
We remind you of the following forthcoming events under the auspices
of the Centre. You may find more information on each of the events from our
web-site, at http://www.maphysto.dk (select 'Events'):
6-10 May, 2002, University of Copenhagen:
Advanced Concentrated Course on Long Range Dependence, Heavy Tails and Rare
Events - with Applications to Finance and Telecommunications.
17-21 June, 2002, Sandbjerg Estate:
Second MaPhySto and StocLab Summer School on Stereology and Geometric
Tomography.
24-28 June, 2002, Sandbjerg Estate:
The Third International Conference on High Dimensional Probability.
20-27 August, 2002, University of Aarhus:
Summer School organized jointly by DYNSTOCH, CAF and MaPhySto From Levy
Processes to Semimartingales - Recent Theoretical Developments and
Applications to Finance.
We would like to draw your attention to the following new publications
from MaPhySto:
Research Reports:
-----------------
2002-3 (February 2002)
Bayesian analysis of log Gaussian Cox processes for disease mapping by
Jesper Moeller, Viktor Benes, Karel Bodlak, Rasmus Waagepetersen.
2002-2 (February 2002)
Perfect simulation and inference for spatial point processes by Jesper
Moeller, Kasper K. Berthelsen.
2002-1 (February 2002)
Geometric ergodicity of Metropolis-Hastings algorithms for conditional
simulation in generalised linear mixed models by Jesper Moeller,
O.F. Christensen, R.P. Waagepetersen.
2001-46 (December 2001)
Maximum Process Problems in Optimal Control Theory by Goran Peskir,
The publications may be fetched from MaPhySto's web-site, located
at http://www.maphysto.dk (select 'Publications').
Best regards,
Oddbjørg Wethelund
----------------------------------------------------------
Oddbjørg Wethelund, Project Manager
MaPhySto - Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences
University of Aarhus
Ny Munkegade Bldg. 530
DK-8000 Aarhus C, Denmark
Tel: (+45) 8942 3515
Email: oddbjorg(a)maphysto.dk
---------- Forwarded message ----------
Date: Tue, 26 Feb 2002 16:01:06 +0100 (CET)
From: Bedlewo Workshop <Nato.Workshop(a)impan.gov.pl>
STOCHASTIC CONTROL AND ITS APPLICATIONS (2nd announcement)
Mathematical Research and Conference Center in Bedlewo, June 3-8, 2002
The organizers: L. Stettner and J. Zabczyk
The following invited speakers have already confirmed their participation:
N.V. Ahmed, A. Bagchi, A. Budhiraja, T. Bielecki, V.S. Borkar,
E. Cadenillas, B. Goldys, K. Helmes, O. Hernandez-Lerma, Y. Kabanov,
J.B.Lasserre, B. Maslowski, H. Nagai, B. Pasik-Duncan, St. Pliska,
U. Rieder, W. Runggaldier, M. Schal, A.Swiech, N. Touzi, G. Yin,
J. Yong, X.Y. Zhou, Q. Zhang.
As we have declared in the first announcement the conference will be
devoted to various aspects of stochastic control and stochastic analysis.
In the last two days of the workshop we shall concentrate on applications
in mathematics of finance. The Workshop will start on Monday, June 3rd at
9 a.m. and will close on Saturday June 8th in the afternoon. The
accomodation will be available starting from June 2nd till Sunday June
9th. The conference will take place in the Mathematical Conference Center
in Bedlewo, a small village located approximately 30 km to the south of
Poznan in a nice forest area. You can come to Poznan by train (from
Warsaw or Berlin it takes 3 hours), or by plane (there is an airport in
Poznan). To reach Mathematical Conference Center from Poznan take a local
train to Mosina (Wroclaw direction) and then a taxi to Bedlewo. If you
send us the details about your arrival we shall try to pick you up from
the airport or Poznan railway station. We also plan to locate one of our
students with a poster of the conference on Sunday (June 2nd) in the
afternoon in the Poznan railway station, who may help you to reach
Bedlewo.
We shall need the title and an abstract of your talk by May 10, 2002.
E-mail contact : finance(a)impan.gov.pl.
Sponsors of the workshop:
European Commission Directorate General Research (the project "Institute
of Mathematics - the Stefan Banach Center as a Center of Excellence")
Institute of Mathematics Polish Academy of Sciences
Committee of Mathematics Polish Academy of Sciences
In the name of organizers
Michal Baran.
Im Rahmen des Berufungsverfahren fuer eine
Professur aus Versicherungsmathematik
and der TU Wien finden folgende Vortraege statt:
===================================================================
Freitag, 1. Maerz 2002, 13:15,
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Jeffrey Collamore (ETH-Zuerich)
Extremal Behavior of Multidimensional Risk Processes
In the classical ruin problem of collective risk theory,
an insurance company gains capital from premiums income and loses
capital as a result of claims; one then studies the probability that
the company's total capital ever falls below zero, i.e.,
P{S(t) < -m, for some t}, where S(t) is a positive-drift Levy process
and m is the company's initial capital.
In this talk I will discuss various generalizations of this
problem to higher dimensional settings. The first of these can be
described as follows: Let S(1),S(2),... be a sequence of random
vectors, corresponding e.g. to several capital factors, and consider
the probability that this sequence ever reaches some "forbidden
region" in d-dimensional Euclidean space. It will be shown that,
under quite general assumptions,
(*) (1/m) log P{S(n) ever hits mA} ~ -I(A)
for an appropriate "rate function" I(A). Some refinements,
describing e.g. the asymptotic distribution of the first passage
time, will also be given.
A second generalization which will be discussed is the case where
the increments of S(1),S(2),... are governed by a system of random
recurrence equations. Such recurrence equations are of considerable
applied interest and arise, among other places, in the study of GARCH
financial time series models and insurance models with stochastic
returns on the surplus capital. It will be shown that an asymptotic
estimate very similar to (*) can also be developed in this setting.
===================================================================
Freitag, 1. Maerz 2002, 15:30
Freihaus HS 8 (Noebauer-Hoersaal), 2. Stock, gelber Bereich
http://www.wegweiser.ac.at/tuwien/hoersaal/F8.html
Wiedner Hauptstr. 8-10, 1040 Wien
Nicole Baeuerle (Universitaet Ulm)
Stochastische Steuerung in der Versicherungsmathematik
Das Problem der Bestimmung optimaler Dividendenaus-
schüttungs- und Rückversicherungsstrategien, das in Teilen
schon auf de Finetti (1957) zurückgeht, wurde in letzter
Zeit wieder intensiv untersucht. Da die ursprüngliche
Formulierung auf die optimale Steuerung eines stückweise
deterministischen Markov Prozesses führt - was sehr
schwierig ist - standen in letzter Zeit Diffusionsmodelle
im Vordergrund. In dem Vortrag wird auf beide
Formulierungen eingegangen und ein Zusammenhang
zwischen den Optimierungsproblemen hergestellt.
===================================================================
***** Date limite d inscription / Registration deadline ****
***** March 15, 2001 - 15 Mars 2001 *********
FRONTIERES EN FINANCE
http://www.frontiers-in-finance.com/
a le plaisir de vous annoncer le prochain
PETIT DEJEUNER DE LA FINANCE
Mercredi 20 Mars 2002, de 8h a 9h30
avec une presentation de:
Michael STUTZER ( University of Iowa ).
Performance and Risk Aversion of Funds with Benchmarks:
A Large Deviations Approach.
Lieu/ Venue:
Maison des Polytechniciens, 12 rue de Poitiers 75007 Paris.
Abstract:
Mutual fund performance is often measured relative to a
designated benchmark portfolio. I develop a simple method of
ranking portfolios' probabilities of outperforming a benchmark
portfolio. Ranking fund performance in this way is identical
to ranking each fund's portfolio by a generalized power
utility index, using a fund and benchmark-specific degree of
risk aversion parameter implied by the fund's portfolio
choice. Different generalizations of Sharpe's (1994) selection
ratio result when the difference between funds' log returns
and those of the benchmark are from different Gaussian
processes. Feasible nonparametric and parametric estimators of
a fund's performance index value and its manager's implied
degree of risk aversion are proposed. These estimators are
applied to rank mutual funds that (from the results of an
hypothesis test) could outperform the $S\&P$ 500 index in the
long run, and to estimate the implied degrees of risk aversion
of their managers. We show that our procedure produces more
plausible and precise estimates of managerial risk aversion
than other recent estimates.
-------------------------------------------------------------
The Petit Dejeuner de la Finance is a monthly seminar
organized in Paris by Frontiers in Finance, a non profit
association aimed at the diffusion of quantitative methods in
risk management.
* MODALITES DE PARTICIPATION / REGISTRATION:
Les Petits Dejeuners de la Finance, organises par l'association
FRONTIERES EN FINANCE a travers un partenariat entre des
chercheurs et des professionels du milieu bancaire et
financiers constituent une occasion d'echanges entre les
praticiens des marches et les chercheurs universitaires, en
apportant aux premiers les resultats des travaux de
modelisation quantitative et aux seconds la confrontation aux
problematiques concretes des professionels.
La participation au Petit dejeuner est gratuite et ouverte aux
chercheurs, etudiants de 3eme cycle et professionels du monde
financier et bancaire.
La participation au Petit dejeuner est ouverte uniquement SUR
INSCRIPTION PREALABLE et dans la mesure des places
disponibles. Une priorite est accordee aux organismes
partenaires de Frontieres en Finance. Les modalites de
partenariat sont disponibles sur demande aux organisateurs.
Le nombre de places est limite a 40 et une inscription est
obligatoire. Pour vous inscrire, envoyer la fiche d'inscription
http://www.fiquam.polytechnique.fr/finance/inscription.html
par telecopie au
01 41 16 71 71.
ou par e-mail a : petitdej(a)hotmail.com
en indiquant votre nom, prenom et vos coordonnees precises
(adresse,
telephone, fax, e-mail ) ainsi que votre affiliation
professionnelle avant
le 15 Mars 2002 au plus tard.
Sous reserve de disponibilite des places, nous vous
confirmerons votre inscription par courrier electronique 48h
avant le petit déjeuner.
Your participation will be confirmed 48h before the event by
email.
Des renseignements sont disponibles sur notre site Web:
http://www.frontiers-in-finance.com/
------------------------------------------------------
Frontières en Finance
http://www.frontiers-in-finance.com/
E-mail: info(a)frontiers-in-finance.com
"Accédez au courrier électronique de La Poste : www.laposte.net ; 3615 LAPOSTENET (0,13 /mn) ; tél : 08 92 68 13 50 (0,34/mn)"
---------- Forwarded message ----------
Date: Wed, 20 Feb 2002 14:38:02 +0100
From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at>
Dear Sir or Madam,
Dear NOEG Member,
We cordially invite you to the
PUBLIC LECTURE AT IHS
on Thursday, February 28, 2002
at 4.30 p.m.
Institute for Advanced Studies, Hörsaal II
Stumpergasse 56, A-1060 Wien.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Roger GUESNERIE
(DELTA - Ecole normale supérieure)
"Expectational Stability in Finance Models: The Case of Price-revealing
Equilibria."
ABSTRACT We consider a simple competitive model à la Grossman, in which
prices may transmit the information held by the informed agents to the
uninformed ones. We analyse expectational coordination on the price
revealing equilibrium from an 'sductive' or 'cognitive' viewpoint. We
stress factors favouring expectational coordination. In particular,
expectational coordination is destabilized whenever uninformed agents
extract (at equilibrium) too much information.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Best Regards
Beatrix Pawelczak
Tu, 19.02.2002
--------------
Josef Teichmann, TBA
Th, 21.02.2002
--------------
Our seminar on "Optima and Equilibria" continues. This time we will
discuss Abraham Wald's contributions to equilibrium theory.
For further details 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
---------- Forwarded message ----------
Date: Tue, 12 Feb 2002 13:12:25 -0500
From: Vladimir Dobric <vd00(a)lehigh.edu>
Subject: Everett Pitcher postdoctoral position
The Department of Mathematics at Lehigh University is pleased to announce
the establishment of the Everett Pitcher Postdoctoral position in
mathematics. This is a two-year, non-tenure track position and carries a
three course per year teaching load, including at least one course in the
applicant's specialty. The Department is particularly interested in
applicants in financial mathematics, but welcomes applicants in any fields
which complement our existing strengths. To find more about the position
please visit http://www.lehigh.edu/~math/Everett_Pitcher_Postdoc.html or
send an e-mail to Prof. Vladimir Dobric at vd00(a)lehigh.edu.
Vladimir Dobric
---------- Forwarded message ----------
Date: Tue, 12 Feb 2002 10:07:33 +0100
From: Beatrix Pawelczak <pawelcza(a)ihs.ac.at>
Subject: Econometric Research Seminar at IHS
Dear Sir or Madam,
We cordially invite you to the next
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Ökonometrisches Forschungsseminar /
Econometric Research Seminar
(M.Deistler, A. Weber)
on Thursday, February 14, 2002, at 9:15 a.m.
Institute for Advanced Studies, HS II
Stumpergasse 56, A-1060 Vienna
Engelbert J. DOCKNER (University of Vienna)
"Nonlinear Versus Non-Gaussian Volatility Models."
Abstract:
With the introduction of GARCH models empirical research in finance
started to focus on the issue of nonlinear and non-Gaussian models for
conditional variances. In this paper we present a recurrent mixture
density network and estimate conditional variances. Using stock market
returns it turns out that while nonlinear modelling does not seem to be
important, non-Gaussian conditional distributions are necessary to capture
time varying higher moments and fat tails.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Sincerely,
Beatrix Pawelczak
Tu, 12.02.2002
--------------
Uli Haböck, arbitrage-free asset pricing with proportional transaction
costs, a paper of zhang, xu and deng.
Th, 14.02.2002
--------------
Our seminar on "Optima and Equilibria" continues. This time we will
proceed with our discussion on Gerard Debreu's "Theory and Value".
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
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
Université 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 be 3 pre-conference short courses from September 16-19, 2002:
· Extreme values with applications in insurance and finance, by Professor
J. Teugels
· Modelling dependence in actuarial science and finance, by Professor J. Dhaene
· Building projected lifetables and managing the longevity risk, by
Professor M. Denuit
Postgraduate students and young researchers are specially welcome.
For further information, please refer to
http://www.stat.ucl.ac.be/Samos2002/
Oana PURCARU
Institut de Statistique
Université Catholique de Louvain
Voie du Roman Pays, 20
B-1348, Louvain-la-Neuve
BELGIQUE
e-mail : purcaru(a)stat.ucl.ac.be
tel: + 32 10/ 47 30 52
fax : + 32 10/ 47 30 32
Tu, 05.02.2002
--------------
Franz Liebmann, Risikobereitschaft von Versicherungsunternehmen
Th, 07.02.2002
--------------
Our seminar on "Optima and Equilibria" continues. This time we will
discuss Gerard Debreu's "Theory and Value".
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
Before we continue our discussion of Aubin's book, we will have a look at
"Theory of Value" by Gerard Debreu. This will be done on the next two
thursdays:
07.02.2002
----------
Basic concepts like Commodities, Prices, Consumers, Equilibrium in the
context of Debreu's book.
14.02.2002
----------
Proof of the existence of an equilibirum in a private ownership economy.
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
Tu, 22.01.2002
--------------
Hans Bühlmann, Über die Vorsicht des Aktuars und den Mut des Spielers.
Attention: this talk takes place at FH HS 8.
Th, 24.01.2002
--------------
Our seminar on "Optima and Equilibria" continues. This time we will do
some of the problems.
There will also be some discussion about the future content of the
thursday seminar.
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
---------- Forwarded message ----------
Date: Fri, 18 Jan 2002 10:46:51 -0800 (PST)
From: Jaksa Cvitanic <cvitanic(a)math.usc.edu>
Subject: USC visiting position
Dear All:
USC Department of Mathematics
has an opening at the Visiting Assistant Professor
level in the field of Financial Mathematics.
This is a 1-3 years position,
with a possibility
of applying for a tenure-track position later on.
It involves teaching 4 courses per year.
Applications should be sent as soon
as possible, directly to me, or
to the address in the position advertisement,
at http://math.usc.edu
Sincerely,
Jaksa Cvitanic
Professor of Mathematics and Economics
Department of Mathematics
University of Southern California
1042 West Downey Way, DRB155, MC 1113
Los Angeles, CA 90089-1113
Tel: 1(213) 740- 3794
Fax: 1 (213) 740-2424
e-mail: cvitanic(a)math.usc.edu
http://math.usc.edu/~cvitanic
---------- Forwarded message ----------
Date: Fri, 11 Jan 2002 22:52:10 +0100 (MET)
From: systemes aleatoires inhomogenes <inter(a)u-cergy.fr>
To: wschach(a)fam.tuwien.ac.at
Subject: January 22-23 Cergy Conference Program
Dear Colleagues,
Here is the program of the conference on
``INHOMOGENEOUS RANDOM SYSTEMS''
which will be held on Tuesday, January 22 and Wednesday, January 23, 2002
at the University of Cergy-Pontoise, in conjunction with the
"Rencontres de Physique Statistique" in Paris (January 24-25).
Thank you for registering if you haven't done so yet.
Looking forward to meeting you in Neuville,
Ellen Saada, Thierry Gobron, Francois Dunlop
*You will find a TeX source file at the end of this message. It can be processed
separately to get a properly typed poster of the conference program.
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Abstracts and maps are available at
http://www.u-cergy.fr/rech/labo/equipes/ptm/inter/
Indications for access by train or car also at the end of this message.
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RANDOM INHOMOGENEOUS SYSTEMS
Systemes Aleatoires Inhomogenes.
January 22-23, 2002.
Universite de Cergy-Pontoise , site de Neuville.
Amphi A -``J Ficini'', Neuville III
Conference Program:
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Tuesday January 22: Spin Glasses.
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Moderator: Flora KOUKIOU (Cergy-Pontoise).
9.30 - 10.00 Opening
9.45 - 10.00 Flora KOUKIOU (Cergy-Pontoise): Presentation
10.00 - 10.45 David SHERRINGTON (*) (Oxford): Title to be announced.
Coffee break
11.15 - 12.00 Michel TALAGRAND (Paris): Gaussian averages, Bernoulli averages
and Gibbs measures.
12.00 - 12.45 Pierluigi CONTUCCI (Bologna): A Classification theorem for
stochastically stable quenched measures.
Lunch
14.30 - 15.15 Francesco GUERRA (Roma): Quadratic replica coupling in the
Sherrington-Kirkpatrick mean field spin glass model.
15.15 - 16.00 Anton BOVIER (Berlin): From statics to dynamics in simple
spin glass models.
Coffee break
16.30 - 17.15 Eric BERTIN (Saclay): Dynamical ultrametricity and localization
in trap models.
17.15 - 18.00 Jorge KURCHAN (Paris): Replica versus dynamic methods in
disordered systems.
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Wednesday January 23: Random Matrices.
------------------------------------------------------------------------------
Moderator: Vincent RIVASSEAU (Orsay).
09.45 - 10.00 Vincent RIVASSEAU (Orsay): Introduction.
10.00 - 10.45 Martin ZIRNBAUER (Koln): Dual pairs in random matrix theory.
Coffee break
11.15 - 12.00 Yan V. FYODOROV (Uxbridge): On statistics of characteristic
polynomials of random Hermitian matrices.
12.00 - 12.45 Paul ZINN-JUSTIN (Orsay): Counting tangles via matrix models.
Lunch
14.30 - 15.15: Margherita DISERTORI (Princeton): Density of states for random
band matrices.
15.15 - 16.00 Bertrand DUPLANTIER (Saclay): Double conformal multifractality.
Coffee break
16.30 - 17.15 Herbert SPOHN (Muenchen): Edge scaling for Dyson's Brownian
motion and the PNG growth model.
17.15 - 18.00 Evgueni BOGOMOLNY (Orsay): Spectral statistics of singular
billiards.
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(*): To be confirmed. The program is susceptible of modifications; please
check the conference web site for updated information.
----------------------------------------------------------------------------
Registration:
The conference is free and open to all.
To facilitate local organization, please register in advance
through the conference web server at
http://www.u-cergy.fr/rech/labo/equipes/ptm/inter
or send an e-mail to "inter(a)u-cergy.fr" with the following
information:
Name: .............................. Email: ............
Institution: ....................... Phone: ............
Address: ........................... Fax: ..............
*Please inform us if you plan to take lunch with us:
*Lunch 22 January : 10 Euros YES/NO
*Lunch 23 January : 10 Euros YES/NO
(answer only if you have not do so yet)
You may also send a fax or mail to:
Ellen Saada, Laboratoire de Mathematiques Raphael Salem (UMR 6085),
Universite de Rouen, site Colbert, 76821 Mont-Saint-Aignan cedex, France.
Fax: (33)2 32 10 37 94.
Hotel reservations and other practical informations are available on request.
Francois Dunlop Thierry Gobron Ellen Saada
Physique Theorique Physique Theorique Mathematiques
et Modelisation et Modelisation Laboratoire Raphael Salem
Universite Cergy-Pontoise Ecole Polytechnique Universite de Rouen
(33)1 34 25 70 91 (33)1 34 25 70 90 (33)2 35 14 71 11
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Access by train (From Paris): NEUVILLE-UNIVERSITE
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by trains RER-A:
Gare de Lyon............ 8h36 8h56 9h13 9h34 (+ N*20mn)
| | | | |
Chatelet-les-halles..... 8h39 8h59 9h16 9h38 "
| | | | |
Auber................... 8h42 9h02 9h19 9h40 "
| | | | |
Ch-de-Gaulle-Etoile..... 8h46 9h06 9h22 9h43 "
| | | | |
NEUVILLE-UNIVERSITE..... 9h17 9h36 9h52 10h12 "
by trains from Gare Saint-Lazare:
Gare Saint-Lazare........8h45 9h08 .......................... 9h40
| | | |
Houilles-Carrieres.......8h56 9h19 .......................... 9h51
---------CHANGE PLATFORM-----------------
Houilles-Carrieres.......8h59 9h18 (always late) or 9h34 .... 9h54
| | | |
NEUVILLE-UNIVERSITE......9h17 9h36 .................9h52 ... 10h12
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Ticket prices:
Single 4.50 Euros, Carte Mobilis (=Day Pass 5 zones) 11.70 Euros,
Carte hebdomadaire 5 zones (=week pass 5 zones) 26.65 Euros.
Access by car:
From Paris or from North: A15-RN184-Rue d'Eragny (direction Neuville)
From South: RN184-RD203 (direction Cergy-Pontoise)-Rue d'Eragny
The parking is at the end of Mail Gay-Lussac (dead end).
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TeX FILE
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\centerline{\bf {\large INHOMOGENEOUS RANDOM SYSTEMS\qquad}}
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\centerline{\bf {\sxlarge Syst\`emes Al\'eatoires Inhomog\`enes\qquad}}
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\centerline{\bf January 22-23, 2002}
\centerline{ \quad Amphi A - ``Jacqueline Ficini''}
\centerline{ Universit\'e de Cergy-Pontoise, Site de Neuville}
\vskip 1.3truecm
\centerline{ Tuesday 22 January: {\bf Spin Glasses.}}
\centerline{ Moderator: {\bf Flora Koukiou.}}
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\bigstrut 10&45&11&15&\qquad\qquad Coffee Break \cr
\strut 11&15&12&00&{\bf Michel Talagrand (Paris)}:\
{\sl Gaussian averages, Bernoulli averages and}\cr
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{\sl Gibbs measures.}\cr
\strut 12&00&12&45&{\bf Pierluigi Contucci (Bologna)}:\
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\bigstrut 12&45&14&30&\qquad\qquad Lunch \cr
\strut 14&30&15&15&{\bf Francesco Guerra (Roma)}:\
{\sl Quadratic replica coupling in the}\cr
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{\sl Sherrington-Kirkpatrick mean field spin glass model.}\cr
\strut 15&15&16&00& {\bf Anton Bovier (Berlin)}:\
{\sl From statics to dynamics in simple spin glass models.}\cr
\bigstrut 16&00&16&30&\qquad\qquad Coffee Break \cr
\strut 16&30&17&15& {\bf Eric Bertin (Saclay)}:\
{\sl Dynamical ultrametricity and localization in trap models.}\cr
\strut 17&15&18&00& {\bf Jorge Kurchan (Paris)}:\
{\sl Replica versus dynamic methods in disordered systems.}\cr
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\centerline{ Wednesday 23 January:
{\bf Random Matrices.}}
\centerline{ Moderator: {\bf Vincent Rivasseau}.}
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\strut&9&45&10&00& {\bf Vincent Rivasseau (Orsay)}:\
{\sl Introduction.}\cr
\strut&10&00&10&45& {\bf Martin Zirnbauer (K\"oln)}:\
{\sl Dual pairs in random matrix theory. }\cr
\bigstrut&10&45&11&15&\qquad\qquad Coffee Break \cr
\strut&11&15&12&00& {\bf Yan V. Fyodorov (Uxbridge)}:\
{\sl On statistics of characteristic polynomials of}\cr
\strut&\omit&\omit&\omit&\omit& \phantom{\bf xxxxx}\
{\sl random Hermitian matrices.}\cr
\strut&12&00&12&45& {\bf Paul Zinn-Justin (Orsay)}:\
{\sl Counting tangles via matrix models.}\cr
\bigstrut&12&45&14&30&\qquad\qquad Lunch \cr
\strut&14&30&15&15& {\bf Margherita Disertori (Princeton)}:\
{\sl Density of states for random band matrices.}\cr
\strut&15&15&16&00& {\bf Bertrand Duplantier (Saclay)}:\
{\sl Double conformal multifractality.}\cr
\bigstrut&16&00&16&30&\qquad\qquad Coffee Break \cr
\strut&16&30&17&15& {\bf Herbert Spohn (M\"unchen) }:\
{\sl Edge scaling for Dyson's Brownian motion and the}\cr
\strut&\omit&\omit&\omit&\omit& \phantom{\bf xxxxx}\
{\sl PNG growth model.}\cr
\strut&17&15&18&00& {\bf Evgueni Bogomolny (Orsay)}:\
{\sl Spectral statistics of singular billiards.}\cr
}}
\vskip 1.0truecm
$*$: To be confirmed. \hfil\break
The program is susceptible of modifications; please
check the conference web site for updated information.\hfil\break
\centerline {\bf http://www.u-cergy.fr/rech/labo/equipes/ptm/inter}
\vfill\eject
\bigskip\noindent
{\bf Registration:}\hfil\break
\smallskip
The conference is free and open to all.\hfil\break
To facilitate local organization, please register in advance
through the conference web server at\hfill\break
{\bf http://www.u-cergy.fr/rech/labo/equipes/ptm/inter}\hfill\break
You may also send an e-mail with your name, affiliation
and mail address to {\bf inter(a)u-cergy.fr}\hfill\break
(let us know if you plan to have lunch with us on Tuesday and
Wednesday (10 Euros each day));\hfill\break
or mail to Ellen Saada, Laboratoire de Math\'ematiques Rapha\"el Salem,
Universit\'e de Rouen,
\hfill\break
\phantom{or mail to }site Colbert,
76821 Mont-Saint-Aignan cedex, France. $\quad$ Fax: +33 2 3210 3794 \hfill\break
\medskip
\bigskip\noindent
\halign{ \hfil # \hfil&\hskip.2truecm\hfil # \hfil&\hskip.2truecm
\hfil # \hfil\cr
Fran\c cois Dunlop & Thierry Gobron & Ellen Saada\cr
Physique Th\'eorique et Mod\'elisation
&Physique Th\'eorique et Mod\'elisation&
Math\'ematiques, Rapha\"el Salem\cr
Universit\'e de Cergy-Pontoise & Universit\'e de Cergy-Pontoise &
Universit\'e de Rouen\cr
(33)1 34 25 70 91 & (33)1 34 25 70 90 & (33)2 35 14 71 11 \cr}
\smallskip\
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%%%%%-------------- END OF TeX FILE --------------------------%%%%%%%%%
Th, 10.01.2002
--------------
Our seminar on "Optima and Equilibria" continues with a talk by Johanna
Gaier on "Marginal Properties of Solutions of Convex Minimisation
Problems".
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
Tu, 18.12.2001
--------------
Marcel Straka, Indifference Prices and Related Measures (part II)
Th, 20.12.2001
--------------
***************************************
* NOTE: This talk will start at 15:30 *
***************************************
Ioannis Karatzas, Optimal Portfolio/Consumption under Habit-Formation
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
New starting time: 16:00!
Tomorrow our seminar will start at 16:00 with the talk by Eva Strasser,
not at 16:30!
Th, 13.12.2001
--------------
Tomorrow's seminar will consist of two parts, each 45 minutes:
* Eva Strasser will speak about "Working Paper: On A Question Raised By
Schachermayer".
* we will continue our seminar on "Optima and Equilibria" by doing some
exercises
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
Th, 13.12.2001
--------------
Tomorrow's seminar will consist of two parts, each 45 minutes:
* we will continue our seminar on "Optima and Equilibria" by doing some
exercises
* Eva Strasser will speak about "Working Paper: On A Question Raised By
Schachermayer".
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
Prof. Karatzas (Columbia) will give a public lecture on on Dec 17 (Monday)
at the Institute for Advanced Studies, Vienna from 4 - 5:30 p.m. HS. 2
"Probabilistic Aspects of Portfolio Analysis"
Abstract
We formulate and discuss notions such as growth rate, diversity, and
arbitrage, that arise naturally in the study and analysis of portfolios.
Relations among these notions are discussed, including examples of diverse
markets that lead to arbitrage opportunities; some optimization problems are
posed and solved; and a couple of open questions are suggested. (Joint work
with Robert Fernholz.)
Tu, 4.12.2001
--------------
Rainer Münz, to be announced
Th, 6.12.2001
--------------
Uli Haboeck, Subdifferentials of Convex Functions,
our seminar on "Optima and Equilibira" continues
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
---------- Forwarded message ----------
Date: Wed, 28 Nov 2001 13:08:41 +0100
From: Uwe Schmock <schmock(a)math.ethz.ch>
Talks:
------
(Please see http://www.math.ethz.ch/finance/talks.html for links)
(a) Thursday, November 29, 2001, 15.15 h (ETHZ, HG E42)
Dr. Thorsten Rheinländer (Department of Mathematics, ETH Zürich)
"A martingale duality approach to stochastic volatility models"
Abstract: We discuss the valuation of derivatives in a general
stochastic volatility context. The fact that the volatility typically
is unbounded already rules out several well known approaches to
valuation in incomplete markets. It turns out that it is still
possible to follow a minimal entropy approach. We determine
explicitly the resulting pricing measure for some classical
stochastic volatility models and provide general verification results.
(Seminar on Financial and Insurance Mathematics)
(b) Wednesday, December 5, 2001, 20.00 h
(Restaurant Au Premier, Zürich Main Station)
Jean-Luc Vuarnoz (Swiss Life)
"Underwriting und Antiselektion in der Personenversicherung"
Abstract: Anhand zahlreicher Beispiele aus der Praxis wird die
Antiselektion illustriert. Die Zusammenhänge zwischen Antiselektion
und Produktdesign einerseits und Risikoprüfung andererseits werden
verdeutlicht. Kommende Herausforderungen im Gebiet Risikoprüfung,
z.B. Internet-Verkauf und Gentests, werden kurz diskutiert.
(Colloquium of Actuaries)
(c) Thursday, December 6, 2001, 17.15 h (ETHZ, G 26.5)
Prof. Christophe Stricker (Université de Franche-Comté, Besançon)
"The fundamental theorem of asset pricing under proportional transaction costs"
Abstract: We consider a multi-asset discrete-time model of a
financial market with proportional transaction costs and efficient
friction and prove necessary and sufficient conditions for the
absence of arbitrage. Our main result is an extension of the
Dalang-Morton-Willinger theorem. As an application, we establish a
hedging theorem giving a description of the set of initial endowments
which allow to super-replicate a given contingent claim.
(Seminar on Financial and Insurance Mathematics)
Two talks in the Seminar for Stochastic Processes:
--------------------------------------------------
(see http://www.math.ethz.ch/finance/SSP.html for abstracts & links)
(a) Wednesday, Dec. 5, 16:15 - 17:00 (ETHZ, HG D 1.2)
Gesine Reinert (Oxford)
"Stein's method for the bootstrap"
(b) Wednesday, Dec. 5, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
Michel Emery (Université de Strasbourg)
"On normal martingales and their chaotic representation"
RiskLab Papers and Reports:
---------------------------
(a) Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich)
and Pierre Patie (RiskLab)
"Risk Management for Derivatives in Illiquid Markets: A Simulation Study"
(http://www.risklab.ch/Papers.html#IlliquidMarkets)
(b) Dr. Maria Kafetzaki Boulamatsis and Dr. Dirk Tasche (RiskLab)
"Combined Market and Credit Risk Stress Testing based on the Merton Model"
(http://www.risklab.ch/Papers.html#CMCRST)
(c) Enrico De Giorgi (RiskLab)
"An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios"
(http://www.risklab.ch/Papers.html#RMSRMMLP)
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/
---------- Forwarded message ----------
Dear Colleague,
Please circulate the following announcement (we are sorry for possible
multiple posting!)
Also, attached is a conference poster. We would be very grateful if you
could display it in your institution!
CALL FOR PAPERS:
28th Conference on Stochastic Processes and their Applications
1-5 July 2002
Melbourne, Australia
The conference will provide an international forum for the presentation
and discussion of new results in the area of the theory and applications
of stochastic processes.
*PROGRAMME:
The themes of the conference include: 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, as well as 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 Scientific Advisory Committee of the conference comprises S. Asmussen,
P.J. Brockwell, L.H.Y. Chen, F. Den Hollander, C.C. Heyde, G.R. Grimmett,
I.A. Ibragimov and O. Zeitouni.
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.
The list of confirmed invited speakers to date includes: I. S. Borisov
(Novosibirsk), P. Del Moral (Toulouse), P. Embrechts (Zurich),
O. Haggstrom (Goteborg), K. Johansson (Stockholm), Zhi-Ming Ma (Beijing),
M. Neuts (Tuscon), T. Ozaki (Tokyo), P. Protter (Cornell) and D. Siegmund
(Stanford).
The conference language is English.
The registration form, abstract template and accommodation details can be
downloaded from the Conference website at
http://www.spa28.ms.unimelb.edu.au/
Please complete the form and return with payment or credit card details by
mail or fax to the conference address (see below).
*ABSTRACTS:
Those wishing to present a paper at the conference should submit an
abstract using our LaTeX template. This template can be downloaded from
the conference website. Please ensure that the printed output of your
abstract fits into one page. Please e-mail your LaTeX source file to
spa(a)ms.unimelb.edu.au
and if ready, also send a printed copy of your abstract with your
registration form.
The DEADLINE for submission of abstracts is 3 May 2002.
*LOCATION:
Melbourne is a city of over 3 million people and has been judged to be one
of the most liveable cities in the world. The conference will be held at
the University of Melbourne (www.unimelb.edu.au) which is in the
cosmopolitan Carlton, close to the centre of the city. Some links to sites
with Melbourne tourist information can be found in the Local Information
section of the conference website.
*COSTS:
The registration fee is AU$400 for academics (AU$ 450 after 3 May 2002),
and AU$200 for students (AU$1=US$0.5 approx. in November 2001).
Budget accommodation (details are on the website) is available at AU$55
per night. Hotel accommodation is available in the range from AU$110 to
AU$170.
Please note that in 2001 it was possible to buy return airtickets from
Europe and/or North America to Melbourne for about US$1,000. Further
information will be provided on request.
* TOURS:
Apart from its scientific merits, participating in the conference is an
excellent opportunity to visit Australia, one of the most beautiful and
interesting countries in the world. Several excursions are being organized
for the conference participants. Also feel free to make your own
arrangements to visit the Great Barrier Reef and other fantastic places in
Australia during your visit.
Looking froward to hearing from you,
Tim Brown, Chairman, Organizing Committee,
Kostya Borovkov, Sci. Secretary
Postal address:
SPA28: Bronwen Hewitt,
Conference Management,
Old Physics Building,
The University of Melbourne,
VIC 3010,
Australia
Fax: (+61-3) 8344 6122, tph: (+61-3) 8344 6389
E-mail: bhewitt(a)unimelb.edu.au
URL: http://www.spa28.ms.unimelb.edu.au
This THURSDAY we will NOT have our usual seminar on "Optima and
Equilibria". Instead we will have a talk by Sasha Gorbulsky, find
the details below.
Tu, 27.11.2001
--------------
Josef Teichmann, Filtering Problems from the geometric point of view
Th, 29.11.2001
--------------
Sasha Gorbulsky, Some entropy type invariants of decreasig sequences of
measurable partitions
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
Tu, 27.11.2001
--------------
Josef Teichmann, Filtering Problems from the geometric point of view
Th, 22.11.2001
--------------
Uli Haboeck, Subdifferentials of Convex Functions,
our seminar on "Optima and Equilibira" continues
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
---------- Forwarded message ----------
Date: Wed, 21 Nov 2001 09:42:53 +0100
From: Peter Imkeller <imkeller(a)mathematik.hu-berlin.de>
Subject: magdeburger stochastik-tage 2002
Dear colleagues,
as you might have heard, the Fachgruppe Stochastik organizes its 5th
bi-annual meeting "Stochastik-Tage" from
Warch 19 to 22, 2002, in Magdeburg.
I am co-organizer of the section on "Stochastic Analysis", for which
Wendelin Werner (Paris) will be a main speaker. The last meeting in Hamburg
has been quite a success, and I think the organizers in Magdeburg will do
their best to follow in Hamburg's footsteps. Usually, the "Stochastik-Tage"
give a forum especially to younger probabilists, in particular PhD students
and postdocs to present their work and get to know the non-local
stochastics community. I would like to ask you to spread this message among
your students and co-workers, ask them to come to Magdeburg, and not to
hesitate to announce a talk. There is still ample space in the section on
stochastic analysis, and I would be happy to welcome as many of you and
your students as possible. Of course, there is also another reason to wish
that a big number of you be present: elections for the Vorstand der
Fachgruppe will be held in Magdeburg. And it would be good to be well
represented in this directing committee!
For more information on the meeting, please consult the web site
http://www.math.uni-magdeburg.de/stoch2002/f_second_en.html
where you will also see that the deadline for applications is end of January.
Looking forward to seeing you in Magdeburg
Peter Imkeller.
Prof. Dr. Peter Imkeller
Institut fuer Mathematik
Humboldt-Universitaet zu Berlin
Unter den Linden 6
10099 Berlin
Germany
email: imkeller(a)mathematik.hu-berlin.de
URL: http://wws.mathematik.hu-berlin.de/~imkeller
phone: ++49-30-2093 5850
fax: ++49-30-2093 5848
Dear FAM-ily!
In an effort to reorganize our open problem list Josef suggested the
following: Everybody should send me (Christopher) a short report (LaTeX)
describing the area and problems she/he is currently working on. Out of
these information we will compile a new, up to date open problem list to
show what everyone is currently working on. This list should be useful for
each of us (future cooperations, how to describe the work at our
institute, ...).
Josef & Christopher
Tu, 20.11.2001
--------------
Johanna Gaier, Asymptotic Ruin Probability and Optimal Investment for an
Insurance Company with Small Claims
Th, 22.11.2001
--------------
Eva Strasser, our seminar on "Optima and Equilibira" continues
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
---------- Forwarded message ----------
Date: Thu, 15 Nov 2001 09:51:26 +0100 (MET)
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
To: Christopher Summer <csummer(a)fam.tuwien.ac.at>
Desweiteren moechte ich auf den Frankfurt MathFinance Workshop, 3.-6.
April 2002 hinweisen. Deine Kollegen und Du seid herzlich eingeladen,
Eure aktuellen Forschungsergebnisse vorzutragen. Bei Interesse sollten
wir Personen, Themen und Termine abstimmen.
Viele Gruesse aus Frankfurt,
uwe
Dr. Uwe Wystup
Global FX Options Quantitative Research
Commerzbank Treasury and Financial Products
Postal Address:
ZTD 2.35
60261 Frankfurt am Main
Germany
Visiting address:
Commerzbank Trading Center
Mainzer Landstrasse 153
Frankfurt am Main
Phone +49 - 69 - 136 - 41067
Fax +49 - 69 - 136 - 40557
Mobile +49 - 177 - 7963182
<mailto:uwe.wystup@commerzbank.com> mailto:uwe.wystup@commerzbank.com
Frankfurt MathFinance Institute (Goethe-University)
<http://www.institute.mathfinance.org/>
http://www.institute.mathfinance.de/
Editor
The MathFinance Newlsetter
<http://www.mathfinancenews.com/> http://www.mathfinancenews.com/
<http://www.mathfinance.de/> http://www.mathfinance.de/
<mailto:uwe@mathfinance.de> mailto:uwe@mathfinance.de
Tu, 13.11.2001
--------------
Walter Schachermayer, The Fundamental Theorem of Asset Pricing under
Proportional Transaction Costs in Finite Discrete Time
Th, 15.11.2001
--------------
Eva Strasser, our seminar on "Optima and Equilibira" continues
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
---------- Forwarded message ----------
Date: Tue, 6 Nov 2001 14:37:13 +0100 (CET)
From: reinhard.winkler(a)oeaw.ac.at
To: Abonnenten von `Wissenswertes': ;
Subject: Wissenswertes 12.11.: Langer
Wissenswertes aus der Mathematik
Am Montag, 12.11.2001 um 16.00 Uhr (s.t.)
traegt
Heinz Langer (TU Wien)
unter dem Titel
Spektraleigenschaften von Blockoperatormatrizen
vor.
Ort: Seminarraum 118
(TU Wien, Freihaus,
Turm A, gruener Bereich,
5.Stock, fensterlos)
Martin.Goldstern(a)tuwien.ac.at, Reinhard.Winkler(a)oeaw.ac.at
http://www.tuwien.ac.at/goldstern/wissen.html
P.S.: Ab heute schicken wir diese Ankündigungen mit unsichtbarer
Adressenliste im mail-Header. Siehe auch
http://www.tuwien.ac.at/goldstern/wissenswertes/adressen.html
Tu, 06.11.2001
--------------
Patrick Cheridito, Sensitivity of the Black-Scholes option price to the
local path behaviour of the stochastic process modelling the underlying
asset
Th, 08.11.2001
--------------
Tanja Veza, our seminar on "Optima and Equilibira" continues
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
Dear Colleagues,
It is our great pleasure to announce the new journal of the Belgian
Actuarial Society (KVBA-ARAB), the Belgian Actuarial Bulletin (BAB).
The BAB is sponsored by KVBA-ARAB and is thus available free of charge
from the website of the Belgian Society, at url
www.actuaweb.be
Click on literature, and then you switch to
www.stat.ucl.ac.be/BAB
where the BAB is hosted.
The aim of the BAB is to publish articles pertaining to the "art" and/or
"sciences" involved in contemporary actuarial practice. Papers written
from any quantitative point of view - whether actuarial,
statistical, financial, mathematical, etc. - attacking relevant
theoretical and applied insurance problems are welcome.
The BAB welcomes articles providing new ideas or techniques, articles
improving existing ones as well as survey papers of pedagogical nature.
Useful introduction or reviews of subjects new to many actuaries, or
useful descriptions of present practice or possible future
practice are appreciated. Such introductions, reviews or descriptions
should be couched in language accessible to actuaries.
We are eagerly looking forward to the pleasure of receiving your
contributions.
Yours faithfully,
Michel Denuit
Institut de Statistique,
Université catholique de Louvain
Voie du Roman Pays, 20
B-1348 Louvain-la-Neuve, Belgium
denuit(a)stat.ucl.ac.be
Jan Dhaene
Departement Toegepaste Economische Wetenschappen
Faculteit Economische and Toegepaste Economische Wetenschappen
Katholieke Universiteit Leuven
Minderbroedersstraat, 5
B-3000 Leuven, Belgium
Jan.Dhaene(a)econ.kuleuven.ac.be
****************************************************************************
******
Michel DENUIT
Institut de Statistique
Universite Catholique de Louvain
Voie du Roman Pays, 20
B-1348 Louvain-la-Neuve
BELGIUM
E-mail address : denuit(a)stat.ucl.ac.be
Phone : +32 10 / 47 28 35
Fax : +32 10 / 47 30 32
Please, visit my homepage on
http://www.stat.ucl.ac.be/ISpersonnel/denuit/denuit_eng.html
****************************************************************************
******
Note, this week we will have THREE seminars!!!
Tu, 23.10.2001
--------------
Kerry Back, John M. Olin School of Business, Washington University in St.
Louis Information in Securities Markets: Kyle meets Glosten and Milgrom
We, 24.10.2001
--------------
this talk starts at 17:00 at the usual place
Hansjörg Albrecher, Department of Mathematics, Graz University of
Technology On some generalizations of the classical ruin model in risk
theory
Th, 25.10.2001
--------------
Tanja Veza, our seminar on "Optima and Equilibira" continues
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
Tu, 16.10.2001
--------------
!!!ATTENTION: this talk starts at 17:30!!!
Robert Tompkins, The relation between implied and realised probability
density functions
Th, 18.10.2001
--------------
Christopher Summer, our seminar on "Optima and Equilibira" continues
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
Tu, 9.10.2001
-------------
Friedrich Hubalek, Long forward rates never fall - A general proof of the
Dybvig-Ingersoll-Ross Theorem
Th, 11.10.2001
--------------
Christopher Summer, our seminar on "Optima and Equilibira" starts
For further details 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