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reminder, this week's seminars
by Christopher Summer 30 Sep '02

30 Sep '02

Tu, 01.10.2002 Halbtages-Seminar Dynamische Finanzanalyse und Asset-Liability-Management Vortragsreihe aus Finanz- und Versicherungsmathematik 14:00 Uhr bis ca. 17:30 Uhr Technische Universität Wien A-1060 Wien, Getreidemarkt 9 Maschinenbaugebäude, Hoftrakt, Stiege IV, 2. Obergeschoss GM 4 Knoller Hörsaal 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

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UPDATE, this week's seminars
by Christopher Summer 12 Aug '02

12 Aug '02

Tu, 13.08.2002 Peter Bank, 16:00-17:00 Hedging and Portfolio Optimization in Illiquid Financial Markets Tu, 13.08.2002 Thorsten Schmidt, 17:00-18:00 Credit Risk 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

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reminder, this week's seminars
by Christopher Summer 12 Aug '02

12 Aug '02

Tu, 13.08.2002 -------------- Peter Bank, Hedging and Portfolio Optimization in Illiquid Financial Markets 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

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reminder, this week's seminars
by Christopher Summer 24 Jun '02

24 Jun '02

Tu, 25.06.2002 -------------- Alexander Cherny, On the Strong and Weak Solutions of Stochastic Differential Equations Governing Bessel Processes 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

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reminder, this week's seminars
by Christopher Summer 17 Jun '02

17 Jun '02

Tu, 18.06.2002 Fabrice Baudoin Conditioned Stochastic Differential Equations - Applications to Finance Th, 20.06.2002 Paolo Guasoni Optimal Investment with Transaction Costs and without Semimartingales 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

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Fabrice Baudoin: Conditioned Stochastic Differential Equations (lecture, June 18, 2002)
by Andreas Schamanek 14 May '02

14 May '02

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.

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reminder, this week's seminars
by Andreas Schamanek 13 May '02

13 May '02

> 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/

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FAM-news
by Sandra Trenovatz 29 Apr '02

29 Apr '02

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.

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Wiener Vorlesung am 7. 5. 2002 (fwd)
by Christopher Summer 25 Apr '02

25 Apr '02

---------- 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").

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2nd Conference in Actuarial Science and Finance
by Christopher Summer 25 Apr '02

25 Apr '02

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/>

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UPDATE, tuesday's seminar
by Christopher Summer 22 Apr '02

22 Apr '02

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

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reminder, this week's seminars
by Christopher Summer 22 Apr '02

22 Apr '02

Tu, 23.04.2002 -------------- Fred Espen Benth, Merton's portfolio optimization problem and non-Gaussian stochastic volatility Th, 25.04.2002 -------------- Eva Strasser, Several Remarks on Arbitrage-Free Markets 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

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reminder, this week's seminars
by Christopher Summer 15 Apr '02

15 Apr '02

Mo, 15.04.2002 -------------- Damir Filipovic, Stochastische Zinsmodelle 9:30, HS 18 Czuber Tu, 16.04.2002 -------------- Georg Pflug, Vortragsreihe aus Finanz- und Versicherungsmathematik: Wie misst man das Risiko mehrperiodischer Zahlungsverpflichtungen? FH HS 6 Th, 18.04.2002 -------------- Friedrich Hubalek, TBA 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

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Update, Talk Damir Filipovic, 15.04.2002
by Christopher Summer 08 Apr '02

08 Apr '02

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 )

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reminder, this week's seminars
by Christopher Summer 08 Apr '02

08 Apr '02

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

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SPA28 Conference: Stochastic Processes & their Applications (fwd)
by Christopher Summer 02 Apr '02

02 Apr '02

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 have received this email in error, please notify the sender by return email and destroy all copies of the original message. Any confidentiality or legal professional privilege is not waived or lost by any mistaken delivery of the email. Opinions, conclusions and other information in this message that do not relate to the official business of the company shall be understood as neither given nor endorsed by it.

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reminder, this week's seminar
by Christopher Summer 02 Apr '02

02 Apr '02

Th, 04.04.2002 -------------- Tanja Veza, our seminar on "Optima and Equilibria" 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

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reminder, this week's seminars
by Christopher Summer 18 Mar '02

18 Mar '02

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

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Vorlesung Prof. Bernard Hanzon (2. Versuch)
by Christopher Summer 14 Mar '02

14 Mar '02

---------- 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

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Institut fuer Industriemathematik, Linz
by Christopher Summer 14 Mar '02

14 Mar '02

---------- 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") ------------------------------------------------------------------------------

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MINI-WORKSHOP on STOCHASTIC ANALYSIS and FINANCE
by Christopher Summer 14 Mar '02

14 Mar '02

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) -------------------------------------------------------

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reminder, this week's seminars
by Christopher Summer 11 Mar '02

11 Mar '02

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

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Vorlesung (fwd)
by Christopher Summer 08 Mar '02

08 Mar '02

---------- 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

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Full faculty position in math finance (fwd)
by Christopher Summer 05 Mar '02

05 Mar '02

---------- 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

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MaPhySto Newsflash (fwd)
by Christopher Summer 05 Mar '02

05 Mar '02

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

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reminder, this week's seminars
by Christopher Summer 04 Mar '02

04 Mar '02

Tu, 05.03.2002 -------------- Irina Penner, On No Arbitrage Criteria for Financial Markets with Proportional Transaction Costs in Discrete Time Th, 07.03.2002 -------------- no seminar Fr, 08.03.2002 -------------- Ludger Rüschendorf, Adaptives Schaetzen mit Schaetzern vom neuronalen Netztyp (11:15-12:30, Seminarraum 107) 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

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STOCHASTIC CONTROL AND ITS APPLICATIONS
by Christopher Summer 27 Feb '02

27 Feb '02

---------- 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.

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berufungsvortraege
by Christopher Summer 25 Feb '02

25 Feb '02

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. ===================================================================

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Petit Dejeuner de la Finance 20/03/2002 (fwd)
by Christopher Summer 25 Feb '02

25 Feb '02

***** 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)"

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reminder, this week's seminars
by Christopher Summer 25 Feb '02

25 Feb '02

Tu, 26.02.2002 -------------- Josef Teichmann, Applications of Malliavin Calculus to Mathematical Finance, part II Th, 28.02.2002 -------------- Alessandro Sbuelz, Asset pricing with time-varying pessimism 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

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Public Lecture at IHS (fwd)
by Christopher Summer 20 Feb '02

20 Feb '02

---------- 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

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reminder, this week's seminars
by Christopher Summer 18 Feb '02

18 Feb '02

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

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Everett Pitcher postdoctoral position
by Christopher Summer 13 Feb '02

13 Feb '02

---------- 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

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Econometric Research Seminar at IHS
by Christopher Summer 12 Feb '02

12 Feb '02

---------- 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

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reminder, this week's seminars
by Christopher Summer 11 Feb '02

11 Feb '02

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

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Samos 2002
by Christopher Summer 04 Feb '02

04 Feb '02

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

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reminder, this week's seminars
by Christopher Summer 04 Feb '02

04 Feb '02

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

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Thursday Seminar
by Christopher Summer 01 Feb '02

01 Feb '02

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

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Next week's seminars
by Christopher Summer 28 Jan '02

28 Jan '02

Mo, 28.01.2002, 10:00 --------------------- Patrick Cheridito, Introduction to fractional Brownian motion (Besprechungszimmer, 6th floor, green area) Tu, 29.01.2002, 16:30 --------------------- Patrick Cheridito, Fractional Ornstein-Uhlenbeck processes Th, 31.01.2002, 16:30 --------------------- We will start to discuss economic equilibria based on Debreu's "Theory of Value". -- |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

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reminder, this week's seminars
by Christopher Summer 21 Jan '02

21 Jan '02

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

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USC visiting position (fwd)
by Christopher Summer 20 Jan '02

20 Jan '02

---------- 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

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January 22-23 Cergy Conference Program (fwd)
by Christopher Summer 14 Jan '02

14 Jan '02

---------- 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. --------------------------------------------------------------------------- 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. --------------------------------------------------------------------------- --------------------------------------------------------------------------- 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: ------------------------------------------------------------------------------ Tuesday January 22: Spin Glasses. ------------------------------------------------------------------------------ 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. ------------------------------------------------------------------------------ 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. ---------------------------------------------------------------------------- (*): 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 -------------------------------------------------------------------------- -------------------------------------------------------------------------- Access by train (From Paris): NEUVILLE-UNIVERSITE -------------------------------------------------------------------------- -------------------------------------------------------------------------- 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 -------------------------------------------------------------------------- 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). ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- ----------------------------------------------------------------------- TeX FILE ----------------------------------------------------------------------- \newbox\bigstrutbox \setbox\bigstrutbox=\hbox{\vrule height14.5pt depth6.5pt width0pt } \def\bigstrut{\relax\ifmmode\copy\bigstrutbox\else\unhcopy\bigstrutbox\fi} \magnification=\magstephalf \voffset=-0.5cm \hoffset=-0.7cm \hsize=17.5 true cm \font\large=cmr10 scaled 1280 \font\eightrm=cmr8 \font\sxlarge=cmsl10 scaled \magstep2 \vsize=26.5truecm \nopagenumbers \centerline{\bf {\large INHOMOGENEOUS RANDOM SYSTEMS\qquad}} \vskip .4truecm \centerline{\bf {\sxlarge Syst\`emes Al\'eatoires Inhomog\`enes\qquad}} \vskip .4truecm \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.}} \vskip .8truecm \vrule{\offinterlineskip \halign{\hskip -0.1truecm \hfil{\eightrm #h}&{\eightrm #}& \hfil{\eightrm { }-- \ }\hfill {\eightrm #h}& {\eightrm # \hfil : $\,$} & # \hfil \cr \bigstrut 9&30&9&45&\qquad\qquad Opening \cr \strut 9&45&10&00&{\bf Flora Koukiou (Cergy-Pontoise)}:\ {\sl Presentation.}\cr \strut 10&00&10&45&{\bf David Sherrington$^{(*)}$ (Oxford)}:\ {\sl Title to be announced.}\cr \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 \omit&\omit&\omit&\omit& \strut\phantom{\bf xxxxx}\ {\sl Gibbs measures.}\cr \strut 12&00&12&45&{\bf Pierluigi Contucci (Bologna)}:\ {\sl A Classification Theorem for stochastically}\cr \omit&\omit&\omit&\omit& \strut\phantom{\bf xxxxx}\ {\sl stable quenched measures.}\cr \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 \omit&\omit&\omit&\omit& \strut\phantom{\bf xxxxx}\ {\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 }} \vskip 1.2truecm \centerline{ Wednesday 23 January: {\bf Random Matrices.}} \centerline{ Moderator: {\bf Vincent Rivasseau}.} \vskip .8truecm \vrule{\offinterlineskip \halign{\hskip -0.1truecm #& \hfil{\eightrm #h}&{\eightrm #}& \hfil{\eightrm { }-- \ }\hfill {\eightrm #h}& {\eightrm # \hfil : $\,$} & # \hfil \cr \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. 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reminder, this week's seminars
by Christopher Summer 14 Jan '02

14 Jan '02

Tu, 15.01.2002 -------------- Michael Kirch, Preference Free Restrictions on Option Prices in Equilibrium Th, 17.01.2002 -------------- No 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

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this week's seminar
by Christopher Summer 07 Jan '02

07 Jan '02

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

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this week's seminars
by Christopher Summer 18 Dec '01

18 Dec '01

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

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Update, Tomorrow's Seminar
by Christopher Summer 12 Dec '01

12 Dec '01

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

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Update, Tomorrow's Seminar
by Christopher Summer 12 Dec '01

12 Dec '01

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

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this week's seminars
by Christopher Summer 10 Dec '01

10 Dec '01

Tu, 11.12.2001 -------------- Marcel Straka, Indifference Prices and Related Measures Th, 13.12.2001 -------------- Uli Haboeck, Subdifferentials of Convex Functions, Exercises, 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

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Prof. Karatzas talk on Dec 17
by Christopher Summer 07 Dec '01

07 Dec '01

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.)

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update, this week's seminars
by Christopher Summer 03 Dec '01

03 Dec '01

Tu, 4.12.2001 -------------- Rainer Münz, Was leisten Bevölkerungsprognosen? 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

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