---------- Forwarded message ----------
Date: Fri, 5 Oct 2001 10:46:07 -0500 (CDT)
From: Thaleia Zariphopoulou <zariphop(a)mail.ma.utexas.edu>
To: wschach(a)fam.tuwien.ac.at
Dear Friends,
I would like to bring to your attention that the Department of Mathematics
of the University of Texas at Austin will have a tenure track Assistant
Professor and a visiting three year position in Financial Mathematics,
beginning in the fall of 2002.
Although the positions will be in the Mathematics Department, there is a
strong interaction and collaboration between the Mathematics Department
with the Business School, the Texas Institute of Computational and Applied
Mathematics and the local industry.
I would appreciate if you could bring this to the attention of your
students and postdocs, as well as any recommendation you may have for
suitable candidates.
Looking forward to hearing from you.
Best regards,
Thaleia Zariphopoulou
It's a pleasure to announce the following seminars, details (including
abstracts) can be found under http://www.fam.tuwien.ac.at/schedule/
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
Tu, 16.10.2001
--------------
Christopher Summer, Risk Averse Asymptotics and the Optional Decomposition
Th, 18.10.2001
--------------
N.N., our seminar on "Optima and Equilibira" continues
Tu, 23.10.2001
--------------
Hansjörg Albrecher, Department of Mathematics, Graz University of
Technology, On some generalizations of the classical ruin model in risk
theory
|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 FAMily!
Our new thursday seminar will start next thursday, 11.10.2001!
We will go through the book "Optima and Equilibria, An Introduction to
Nonlinear Analysis" by Jean-Pierre Aubin. The book has an extensive
collection of exercises and problems (solutions for the problems are
included) which will give us the opportunity to go really thoroughly
through the material.
http://www.fam.tuwien.ac.at/schedule/optima.html
Wissenswertes aus der Mathematik
Liste der geplanten Vorträge im WS 2001/02
2001-10-22
Klaus Schmidt (Universität Wien):
Mehrparametrische Ergodentheorie
2001-10-29
Michael Fuchs (TU Wien):
Metrische Kettenbruchtheorie und Diophantische Approximation
2001-11-12
Heinz Langer (TU Wien):
Spektraleigenschaften von Blockoperatormatrizen
2001-11-26
Sophie Frisch (TU Graz):
Nicht Noethersche Ringe sind auch Menschen
2001-12-10
Monika Ludwig (TU Wien):
Additive Funktionale für konvexe Körper: Von Hilberts drittem
Problem zu neueren Ergebnissen
2002-01-14
Arne Winterhof (Akademie der Wissenschaften):
Generierung von Pseudozufallszahlen
2002-01-21
Barbara Bittner (Universität Wien):
Statistik in der Genetik
Die Vorträge finden jeweils am
Montag um 16.00 s.t.
im Seminarraum 118 der TU (1040 Wien, Wiedner Hauptstr. 8-10 "Freihaus",
grüner Bereich, 5.Stock) statt. Als Rahmen für eine Sitzung sind etwa 90
Minuten geplant. Einzelne Vorträge können aber auch kürzer sein;
insbesondere dann, wenn eine längere Diskussion zu erwarten ist.
Wie auch in den letzten Semestern bitten wir darum, das Programm an
Interessierte, die noch nicht auf unserer Liste stehen, weiterzuleiten.
Wir werden demnächst einen Ausdruck des Programms an unsere
"Kontaktpersonen" an den einzelnen Instituten schicken und bitten darum,
diesen allen Institutsmitgliedern zugänglich zu machen.
Martin Goldstern und Reinhard Winkler
http://www.tuwien.ac.at/goldstern/wissen/
Thursday, 27.09.2001, 16:30; TU FH, Turm A, 6. Stock, SR 107
Alexei Filinkov: Interest Rate Theory and White Noise Calculus
Prof. Alexei Filinkov
Department of Pure Mathematics
University of Adelaide
South Australia 5005
Australia
---------------------------------------------------------------------
see also: http://www.fam.tuwien.ac.at/schedule/
---------------------------------------------------------------------
---------- Forwarded message ----------
Date: Thu, 13 Sep 2001 17:50:06 +0200
From: ESI Secretary <secr(a)esi.ac.at>
To: seminars(a)thp.univie.ac.at
Action: ANNOUNCE
Title: Random Walks and Spontaneous Emergence of Opinions
Speaker: Mike Keane
CWI, Amsterdam
Date: 2001-09-18
Time: 15:00-15:50
Duration:
Location: ESI lecture hall
Invited_by: K. Schmidt
To officially welcome the new semester there will be a seminar this
thursday!
---------------------------------------------------------------------
Thursday, 13.09.2001, 16:30; TU FH, Turm A, 6. Stock, SR 107
Peter Grandits: Ruin Probability in the Presence of Regularly Varying
Tails & Optimal Investment
---------------------------------------------------------------------
Dear FAM-news subscriber,
There are currently two mailing lists for announcements in the fields
of finance and financial mathematics:
1) our Financial and Actuarial Mathematics Newsletter (FAM-news) and
The FAM-ily Newsletter provides news and announcements of, from,
about, and for the Department of Financial and Actuarial
Mathematics of Vienna University of Technology.
2) the Vienna Finance Newsletter (VFN-L)
The Vienna Finance Newsletter is a mailing list for announcements
of lectures, conferences (and more) about finance and economics.
It's likely that one announcement is interesting for both lists. If you
are or if you were subscribed to both of them you would receive the same
message twice if it were sent to both lists. That's why the owner and
the administrator of FAM-news decided that messages sent to the much
bigger list VFN-L are not forwarded and are not cross-posted to FAM-news.
We suggest that you subscribe at least to VFN-L (see below for details).
If you are subscribed to FAM-news (you probably *are* if you are reading
this) then you will sure benefit from a subscription to VFN-L. Since the
VFN-L is moderated (BTW, by me) it's a low volume/high quality list
worth being subscribed to.
This decision was originally posted to FAM-news in April 2000. A copy of
the original message can be found at
http://www.fam.tuwien.ac.at/pipermail/fam-news/2000-April/000036.html
Yours administratively,
-- Andreas
P.S.:
How to subscribe to the Vienna Finance Newsletter (VFN-L):
----------------------------------------------------------
You can easily subscribe yourself at the WWW at address
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
An alternative way is to write the word 'subscribe' (e.g. in the
subject) to the eMail-address
vfn-l-request(a)fam.tuwien.ac.at
If you have any questions do not hesitate to contact me at
vfn-l-admin(a)fam.tuwien.ac.at
To check out the VFN-L archive (of previous postings) go to
http://www.fam.tuwien.ac.at/pipermail/vfn-l/
---------------------------------------------------------------------
ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
12.07.2001 - Kasper Larsen (Odense University, Denmark)
Title: The American Put Option, some numerical aspects.
Abstract:
There does not exist a closed form solution to the problem of pricing
an American Put. However, this pricing problem can be characterized as
an optimal stopping problem and in turn as a solution to a free boundary
problem. This formulation can be used for numerical experiments. We will
discuss some of the difficulties in applying the methods normally used
for such non-linear problems.
Finally we apply such a numerical procedure on some artificial example.
This will show other problems connected to this pricing issue; e.g. the
behaviour of the approximate solution when we change the grid size.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezueglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Einen schönen Sommer wünschen
Helmut Uhlir Stefan Pichler
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
TODAY:
SE Schachermayer (Thursday 16:30-18:00)
31.05.2001 - Ping Li: Minimal Martingale Measures for Discrete-time
Incomplete Financial Markets
Abstract:
In this paper, we first give a characterization of minimal martingale
measures for a general discrete-time incomplete financial market. Then
we concretely work out the minimal martingale measure for a specified
discrete-time market model. Based on this minimal martingale measure,
the price of any contingent claim can be given.
NEXT WEEKS:
PV Schachermayer (Tuesday 16:30-18:00)
12.06.2001 - A. Helmert & M. Willomitzer: Innovative Produktmodelle und
effiziente Methoden zur Produktentwicklung, Analyse und Umsetzung
19.06.2001 - Martin Barlow: A diffusion model for electricity spot prices
Abstract:
Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'. We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
31.05.2001 - Ping Li:
Minimal Martingale Measures for Discrete-time Incomplete Financial Markets
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility,
and Applications of Shot Noise Processes
May 22-23, 2001, Vienna University of Technology
------------------------------------------------------------------------
Tuesday, May 22, 2001: Morning Session
Location: HS 13 Ernst Melan (Hauptgebäude, Karlsplatz 13, 3rd floor)
10.45-11.30 Ole E. Barndorff-Nielsen, Aarhus University:
Lévy based chronometers
11.30-12.15 Elisa Nicolato, Vienna University of Technology:
On multivarate extensions of Ornstein-Uhlenbeck type stochastic
volatility models
12.15-14.30 Lunch break
Tuesday, May 22, 2001: Afternoon Session
Location: FH HS 6 (Freihausgebäude, Wiedner Hauptstr. 8, 2nd floor)
14.30-15.15 Sergei Levendorskii, Rostov State University:
Regular Lévy processes of exponential type and Feller processes of
normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen)
15.15-15.45 Coffee/tea
15.45-16.30 Robert Tompkins, Vienna University of Technology:
The sampling properties of a moment matching method
16.30- Discussion
Wednesday, May 23, 2001: Morning Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)
09.30-10.15 Franz Konecny, BOKU (Univ. of Agricultural Sciences), Vienna:
Jump Diffusion Models for Streamflow Series
10.15-10.45 Coffee/tea
10.45-11.30 Sylvia Frühwirth-Schnatter, Leopold Sögner, Vienna University
of Economics and Business Administration:
MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility
model
11.30-12.15 Omiros Papaspiliopoulos, Lancaster University:
Bayesian inference for Non-Gaussian OU SV processes
12.15-14.30 Lunch break
Wednesday, May 23, 2001: Afternoon Session
Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor)
14.30-15.15 Neil Shephard, Nuffield College, Oxford:
Realised volatility and SV models: some more results
15.15-15.45 Coffee/tea
15.45-16.30 Claudia Klueppelberg, University of Technology, Munich:
Optimal portfolios when stock prices follow a Lévy process
16.30- Discussion
The workshop is supported by the Austrian Science Foundation (FWF) under
grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and
Management Science').
URL: http://www.fam.tuwien.ac.at/g2g
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer
(Wednesday, 14.30, at TU FH, Turm A, 7. Stock, Seminarraum 105)
16.05.2001 - Florian Lercher: An introductory overview on optimal
portfolio and singular control problems
Please note the unusual time and place!
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
17.05.2001 - Elisa Nicolato: Applications to Interest Rate Models
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
This week:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
10.5.2001 - Johanna Gaier: Generalizations
------------------------------------------------------------------------
Next week:
PV Schachermayer
(Wednesday, 14.30, at TU FH, Turm A, 7. Stock, Seminarraum 105)
16.05.2001 - Florian Lercher: An introductory overview on optimal
portfolio and singular control problems
Please note the unusual time and place!
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
17.05.2001 - Elisa Nicolato: Applications to Interest Rate Models
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
We cordially invite you to the
Ökonometrisches Forschungsseminar / Econometric Research Seminar
(M. Deistler, A. Jumah, A. Weber)
on Thursday, May 10, 2001, at 9.15 a.m.
Institute for Advanced Studies, SZ VI,
Stumpergasse 56, A-1060 Vienna
held by
Gabriela DE RAAIJ and Burkhard RAUNIG (Österreichische Nationalbank)
"Evaluating Density Forecasts of Stock Market Returns"
Abstract:
The paper deals with the evaluation of density forecasts, which have become
quite popular in economics and finance. We use two probability integral
transformations to evaluate such forecasts. The first transformation
implies that the realizations transformed with respect to the forecasted
densities of a stochastic process should be identically uniformly
distributed if the density forecasts coincide with the densities underlying
the true data generating process. The second transformation generates data
that are identically normally distributed if the correct densities are
forecasted. The second transformation enables us to apply standard
statistical techniques to test for identically normally distributed data
and hence for the quality of density forecasts.
We use the methodology to evaluate density forecasts for daily returns of
three stock market indices (S&P 500, DAX and ATX). Various models to
forecast conditional densities are investigated. We consider the
conditional normal distribution where the variances are estimated by moving
averages or exponentially weighted moving averages, scaled t distributions
and GARCH(1,1) variants with normally and t-distributed errors,
respectively. In- and out-of-sample results for the density forecasting
models are examined. Using the proposed methodology we find that GARCH
models with t-distributed errors perform best in sample as well as out of
sample. We are also able to demonstrate that certain misspecifications of a
forecasting model are quite naturally reflected in the transformed series
used for density forecast evaluation.
Key words: Density forecasting, Forecast evaluation, Risk management
JEL Classification: G10, C52, C53
With best regards,
Nina Gritzky
****************************************************************************
Mag. Nina Gritzky
IHS - Institut für Höhere Studien / Institute for Advanced Studies
Stumpergasse 56
A-1060 Wien (Vienna), Austria
Tel: +43/1/59 991-145
Fax: +43/1/59 991-163
e-mail: gritzky(a)ihs.ac.at
WWW: http://www.ihs.ac.at
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
Tomorrow:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
3.5.2001 - Johanna Gaier: Application to American Derivatives
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
Tomorrow:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
26.4.2001 - Marcel Straka: Implementation and Stability,
Hedging Strategies, Application to Exotic Derivatives
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
Tomorrow: No seminar
Thursday:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
05.04.2001 - Peter Grandits: Asymptotics for Pricing European Derivatives
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
27.03.2001 - Marcel Straka: Optimal hedging using surrogate assets in
incomplete markets with transaction costs - open problems
Thursday:
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
29.03.2001 - Christopher Summer: Scales in Mean-Reverting Stochastic
Volatility, Tools for Estimating the Rate of Mean Reversion
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
SE Schachermayer (Thursday 16:30-18:00)
We start to discuss the book "Derivatives in Financial Markets
with Stochastic Volatility" by Fouque, Papanicolaou, and Sircar.
For details, see http://www.fam.tuwien.ac.at/~gaier/seminar/
22.03.2001 - Friedrich Hubalek:
Introduction to Stochastic Volatility Models
------------------------------------------------------------------------
NEXT WEEK:
PV Schachermayer (Tuesday 16:30-18:00)
27.03.2001 - Marcel Straka: Optimal hedging using surrogate assets in
incomplete markets with transaction costs - open problems
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
29.03.2001 - Christopher Summer: Scales in Mean-Reverting Stochastic
Volatility, Tools for Estimating the Rate of Mean Reversion
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
Location: TU FH, Turm B, 2. Stock, HS6
20.03.2001 - Christoph Krischanitz:
Die Schadenreserve aus aktuarieller Sicht
Abstract:
Im Zuge der internationalen Rechnungslegung nach IAS bzw. US-GAAP kommt
der "Best Estimate"-Bewertung der ausstehenden Schadenreserve eine
steigende Bedeutung zu. In den letzten 40 Jahren wurden viele Verfahren
entwickelt, die alle auf dem "Schadendreieck" beruhen. Das Schadendreieck
ist eine Dreiecksmatrix, Zeilen und Spalten werden gebildet durch die
Anordnung des Schadenaufwandes nach Schadenanfallsjahr und Schaden-
abwicklungsjahr. Durch die Abwicklung der Schäden in vergangenen Jahren
sollen Rückschlüsse auf die fehlenden Aufwandsbeträge der Schadenmatrix
gezogen werden. Dieser Vortrag soll die gängigsten Verfahren vorstellen
das Dreieck zu einem Quadrat zu vervollständigen, sie vergleichen und auf
eine solide wahrscheinlichkeitstheoretische Basis stellen. Damit werden
auch Aussagen über Schätzgenauigkeit und Fehlerabschätzung möglich.
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
Location: TU FH, Turm A, 6. Stock, SR 107
We start to discuss the book
"Derivatives in Financial Markets with Stochastic Volatility"
by Jean-Pierre Fouque, George Papanicolaou and K. Ronnie Sircar.
22.03.2001 - Friedrich Hubalek:
Introduction to Stochastic Volatility Models
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~gaier/seminar/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
Location: TU FH, Turm B, 2. Stock, HS6
20.03.2001 - Christoph Krischanitz:
Die Schadenreserve aus aktuarieller Sicht
Abstract:
Im Zuge der internationalen Rechnungslegung nach IAS bzw. US-GAAP kommt
der Best Estimate"-Bewertung der ausstehenden Schadenreserve eine
steigende Bedeutung zu. In den letzten 40 Jahren wurden viele Verfahren
entwickelt, die alle auf dem "Schadendreieck" beruhen. Das Schadendreieck
ist eine Dreiecksmatrix, Zeilen und Spalten werden gebildet durch die
Anordnung des Schadenaufwandes nach Schadenanfallsjahr und Schaden-
abwicklungsjahr. Durch die Abwicklung der Schäden in vergangenen Jahren
sollen Rückschlüsse auf die fehlenden Aufwandsbeträge der Schadenmatrix
gezogen werden. Dieser Vortrag soll die gängigsten Verfahren vorstellen
das Dreieck zu einem Quadrat zu vervollständigen, sie vergleichen und auf
eine solide wahrscheinlichkeitstheoretische Basis stellen. Damit werden
auch Aussagen über Schätzgenauigkeit und Fehlerabschätzung möglich.
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
Location: TU FH, Turm A, 6. Stock, SR 107
We start to discuss the book
"Derivatives in Financial Markets with Stochastic Volatility"
by Jean-Pierre Fouque, George Papanicolaou and K. Ronnie Sircar.
22.03.2001 - Friedrich Hubalek:
Introduction to Stochastic Volatility Models
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~gaier/seminar/
-------- Original Message --------
Subject: Seminar advertisment
From: Friedrich Hubalek <fhubalek(a)fam.tuwien.ac.at>
To: vit(a)fam.tuwien.ac.at
Dear Victor,
please post this on the fam-list,
thank you
fh
================================================================
We are looking for more participants and speakers for the
seminar 105.021 SE AKVFM Mathematical Finance 2.
The aim of the seminar is to discuss recent or classical work
on mathematical finance beyond the introductory Black-Scholes
and Cox-Ross-Rubinstein framework.
This seminar is especially recomended for students doing a
diploma or doctoral thesis. The requirement for the seminar is
a basic knowledge of finance (say our course "Advanced
Mathematics of Finance" or Hull's book etc. A basic knowledge
of probability might be helpful.
Participants should prepare and give one or two talks in
English language.
The topic is negotiable (!!!), my suggestions for this semester
are
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David
Heath: Coherent Measures of Risk, Math. Finance 9 (1999),
no. 3, 203-228
already a "classic" by now. If somebody wants to get (and do)
an additional deeper mathematical view of this topic she can
try
Freddy Delbaen: Coherent Risk Measures on General Probability
Spaces http://www.math.ethz.ch/~delbaen/
Very enjoyable to read, full of surprises and very profound is
Embrechts, P., McNeil, A., Straumann, D.: Correlation and
dependency in risk management: properties and pitfalls
http://www.math.ethz.ch/~baltes/ftp/papers.html
A short, non-technical version appeard in May 1999 in the risk
magazine:
Embrechts, P., McNeil, A., Straumann, D.: Correlation:
Pitfalls and alternatives RISK Magazine, May 1999.
Another suggestion is the work of Fred Espen Benth on
Portfolio optimization in non Gaussian markets Several papers
and preprints can be found at http://www.math.uio.no/~fredb/
Copies of the papers are provided.
Anybody interested should contact immediately
F Hubalek (fhubalek(a)fam.tuwien.ac.at)
================================================================
Financial and Actuarial Mathematics Time Table
--------------------------------------------------------
TOMORROW, 13.03.2001, 16.30-18.30
Tomas Bjoerk - Finite dimensional realization of stochastic
volatility models (work in progress, joint with L.Svensson)
Thursday, 15.03.2001, 16.30-18.30
Friedrich Hubalek - Poissonian white noise calculus and
applications to hedging in a Poissonian market
--------------------------------------------------------
Location: TU FH, Turm A, 6.Stock, Seminarraum 107
Web-page: http://www.fam.tuwien.ac.at/schedule/
Attention!
On thursday, 8.3. our Seminar will exceptionally take place - as usual
at 16:30 - but at the Lecture hall of the Schroedinger Institute
(Boltzmanngasse 9)!
The reason is the previous talk of Anatole Vershik which some of the
participants of our Seminar might want to hear:
08.03.2001 - Anatole Vershik (Steklov Institute of Mathematics,
St.Petersburg): Lebesgue measure in infinite dimensional space
and properties of Levy's gamma process
(Time: 15.30-16.30; Location: ESI lecture hall)
So, FAM Seminar Time Table for this week is the following:
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
Location: TU FH, Turm A, 6. Stock, SR 107
06.03.2001 - Christopher Summer: Optimal solutions to utility
maximization and to the dual problem (the paper by Marco Frittelli)
------------------------------------------------------------------------
THURSDAY:
SE Schachermayer (Thursday 16:30-18:00)
Location: Lecture hall of the Schroedinger Institute (Boltzmanngasse 9)
08.03.2001 - Irene Klein: No-arbitrage criteria for financial markets
with efficient friction (the paper by Kabanov-Rasonyi-Stricker)
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
06.03.2001 - Christopher Summer: Optimal solutions to utility
maximization and to the dual problem (the paper by Marco Frittelli)
------------------------------------------------------------------------
THURSDAY:
SE Schachermayer (Thursday 16:30-18:00)
08.03.2001 - Irene Klein: No-arbitrage criteria for financial markets
with efficient friction (the paper by Kabanov-Rasonyi-Stricker)
------------------------------------------------------------------------
NEXT WEEK:
PV Schachermayer (Tuesday 16:30-18:00)
13.03.2001 - Tomas Bjoerk: Finite dimensional realization of stochastic
volatility models (work in progress, joint with L.Svensson).
SE Schachermayer (Thursday 16:30-18:00)
15.03.2001 - Friedrich Hubalek: Poissonian white noise calculus and
applications to hedging in a Poissonian market
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW, 01.03.2001:
SE Schachermayer (Thursday 16:30-18:00)
01.03.2001 - Mark Owen: White noise calculus II
(In the framework of the seminar on Introduction to Malliavin Calculus)
Attention: at the beginning of the seminar there will be some discussion
about future topics of the thursday seminar!
------------------------------------------------------------------------
NEXT TUESDAY, 06.03.2001:
PV Schachermayer (Tuesday 16:30-18:00)
06.03.2001 - Christopher Summer: Optimal solutions to utility maximization
and to the dual problem (the paper by Marco Frittelli)
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
27.02.2001 - No seminar
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
01.03.2001 - Mark Owen: White noise calculus II
(In the framework of the seminar on Introduction to Malliavin Calculus)
Attention: at the beginning of the seminar there will be some discussion
about future topics of the thursday seminar!
------------------------------------------------------------------------
Location: TU FH, Turm A, 6. Stock, SR 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
TOMORROW:
30.01.2001 - Mark Owen: White noise calculus I
(In the framework of the seminar on Introduction to Malliavin Calculus)
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
01.02.2001 - No seminar, because of
Austrian Workshop on Credit Risk Management
(see http://www.fam.tuwien.ac.at/crm/)
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
30.01.2001 - Mark Owen: White noise calculus I
(In the framework of the seminar on Introduction to Malliavin Calculus)
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
01.02.2001 - No seminar, because of
Austrian Workshop on Credit Risk Management
(see http://www.fam.tuwien.ac.at/crm/)
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
23.01.2001 - Eva Strasser:
Change of Numeraire and the Numeraire Portfolioin Financial Models
Abstract:
In my master thesis, I consider market models consisting of finitely many
assets, which are modeled by continuous semimartingales. A numeraire is
a strictly positive security, e.g. a fixed-interest security or, more
generally, any security modeled by a strictly positive semimartingale.
A tradable numeraire is any strictly positive, continuous semimartingale
attainable in the market.
One of the aims in my master thesis is to analyse the effects of a change
of numeraire on the most important properties of a market model. Another
important topic is the so-called numeraire portfolio, which is a special
case of an inverse local martingale density. A main result of my master
thesis is an existence criterion for the numeraire portfolio. It turns out
that a certain structure condition of the market is necessary and
sufficient for the existence of the numeraire portfolio. This result is
based on the basic existence criterion for local martingale densities by
Schweizer (1994). Moreover, I discuss some properties of the numeraire
portfolio along the line of Becherer (1999).
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
25.01.2001 - A.V. Nagaev (Nicolaus Copernicus University of Torun):
On an optimal choice a European option
Abstract:
A discrete time model of financial market is considered. It is assumed
that only two types of securities, risky and non-risky, are circulated.
In the focus of attention is the question how to choose "better" option.
The stated fair play principle aims to protect to some extent the client
interests. The principle allows one to characterize the quality of
option by a functional and, therefore, to state correctly a problem of
optimization. The developed theory is of interest. It is illustrated by
an experiment implemented on the basis of real data.
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
23.01.2001 - Eva Strasser:
Change of Numeraire and the Numeraire Portfolioin Financial Models
Abstract:
In my master thesis, I consider market models consisting of finitely many
assets, which are modeled by continuous semimartingales. A numeraire is
a strictly positive security, e.g. a fixed-interest security or, more
generally, any security modeled by a strictly positive semimartingale.
A tradable numeraire is any strictly positive, continuous semimartingale
attainable in the market.
One of the aims in my master thesis is to analyse the effects of a change
of numeraire on the most important properties of a market model. Another
important topic is the so-called numeraire portfolio, which is a special
case of an inverse local martingale density. A main result of my master
thesis is an existence criterion for the numeraire portfolio. It turns out
that a certain structure condition of the market is necessary and
sufficient for the existence of the numeraire portfolio. This result is
based on the basic existence criterion for local martingale densities by
Schweizer (1994). Moreover, I discuss some properties of the numeraire
portfolio along the line of Becherer (1999).
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
25.01.2001 - Alexander Nagaev: Title to be announced
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
Tomorrow, 16.01.2001 - No seminar
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
18.01.2001 - Josef Teichmann: The Clark-Hausmann-Ocone formula
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
On Tuesday, 16.1.2001 there will be NO lecture.
The talk by Eva Strasser will be given on Tuesday, 23.1.2001:
Eva Strasser:
"Change of Numeraire and the Numeraire Portfolio in Financial Models".
Abstract:
In my master thesis, I consider market models consisting of finitely many
assets, which are modeled by continuous semimartingales. A numeraire is a
strictly positive security, e.g. a fixed-interest security or, more
generally, any security modeled by a strictly positive semimartingale. A
tradable numeraire is any strictly positive, continuous semimartingale
attainable in the market.
One of the aims in my master thesis is to analyse the effects of a change
of numeraire on the most important properties of a market model. Another
important topic is the so-called numeraire portfolio, which is a special
case of an inverse local martingale density. A main result of my master
thesis is an existence criterion for the numeraire portfolio. It turns out
that a certain structure condition of the market is necessary and
sufficient for the existence of the numeraire portfolio. This result is
based on the basic existence criterion for local martingale densities by
Schweizer (1994). Moreover, I discuss some properties of the numeraire
portfolio along the line of Becherer (1999).
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
16.01.2001 - Eva Strasser: Change of Numeraire in Financial Models
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
18.01.2001 - Mark Owen: White noise calculus I
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW, 09.01.2001, Tuesday, 16:30-18:00:
PV Schachermayer (16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
Josef Teichmann:
HJM-models from the point of view of differential geometry
------------------------------------------------------------------------
THURSDAY, 11.01.2001:
SE Schachermayer (16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
16.30-17.15 - Josef Teichmann: The Clark-Hausmann-Ocone formula
17.15-18.00 - Rainer Hofer: Zu- und Abschläge für Pensionen
bei Variation des Pensionsalters und anderer Parameter
Abstract:
Ziel meiner Diplomarbeit mit gleichlautendem Titel war es, die Zu- und
Abschläge für Pensionen nach versicherungsmathematischen Grundsätzen
(Zugrundelegung des Äquivalenzprinzipes, des Kapitaldeckungsverfahrens und
von konkreten Sterbetafeln) zu quantifizieren und unter Zugrundelegung
verschiedener Modellannahmen (getrennte und gemeinsame Sterblichkeiten für
Männer und Frauen, unterschiedliche Rechnungszinssätze und Variation des
zugrundeliegenden Ablösekapitals) mit den aktuellen gesetzlichen Zu- und
Abschlagssätzen zu vergleichen.
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Introduction to Malliavin Calculus (Organiser - Josef Teichmann)
11.01.2001 - Josef Teichmann: The Clark-Hausmann-Ocone formula
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
На Ваше имя пришла открытка. Отправитель Victor Olevskii.
Вы можете увидеть ее:
http://mirumir.list.ru/card.php3?id=977420575259&user_id=398801
Открытку можно просмотреть в течение 90 дней.
Эта услуга абсолютно бесплатна! Приятного просмотра !
____________________________________________________________
мирYмир - Русские открытки. Обрадуй друзей !
http://mirumir.list.ru/
____________________________________________________________
You have received a greeting card from Victor Olevskii.
You`ll see the personal greeting by using the following
web location
http://mirumir.list.ru/card.php3?id=977420575259&user_id=398801
Your greeting card will be available for the next 90 days.
There is no charge for this service. Have fun!
На Ваше имя пришла открытка. Отправитель Victor Olevskii.
Вы можете увидеть ее:
http://www.mirumir.ru/card.php3?id=977420575259&user_id=398801
Открытку можно просмотреть в течение 90 дней.
Эта услуга абсолютно бесплатна! Приятного просмотра !
____________________________________________________________
мирYмир - Русские открытки. Обрадуй друзей !
http://www.mirumir.ru/
____________________________________________________________
You have received a greeting card from Victor Olevskii.
You`ll see the personal greeting by using the following
web location
http://www.mirumir.ru/card.php3?id=977420575259&user_id=398801
Your greeting card will be available for the next 90 days.
There is no charge for this service. Have fun!
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8)
19.12.2000 - Jan Werner: Implementing Arrow-Debreu Equilibria
by Trading Infinitely-Lived Securities
> Abstract:
> We show that Arrow-Debreu equilibria with countably additive prices in
> infinite-time economy under uncertainty can be implemented by trading
> infinitely-lived securities in complete sequential markets under two
> different portfolio feasibility constraints: wealth constraint, and
> bounded borrowing constraint. Sequential equilibria with no price
> bubbles implement Arrow-Debreu equilibria, while those with price
> bubbles implement Arrow-Debreu equilibria with transfers. The transfers
> are given by the value of price bubbles on initial portfolio holdings.
> Price bubbles may arise in sequential equilibrium under the wealth
> constraint, but not under the bounded borrowing constraint.
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8)
12.12.2000 - Krzysztof Ostaszewski:
The new system of actuarial education in the United States
Abstract:
Effective January 1, 2000, the Society of Actuaries and the Casualty
Actuarial Society have created a new system of actuarial education and
examination in the United States. This system is also implemented for
the Canadian actuaries, in cooperation with the Canadian Institute of
Actuaries. In this presentation we will give the overview of the new
education system, and how it changed the situation when compared to
the historical ways of educating actuaries in North America.
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Introduction to Malliavin Calculus (Organiser - Josef Teichmann)
14.12.2000 - Damir Filipovic & Josef Teichmann:
Finite-dimensional realizations of stochastic differential equations
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
21.11.2000 - Mark Owen: Random Endowment in the Negative Wealth Case
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
23.11.2000 - Victor Olevskii: Skorohod's Integral
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
---------------------------------------------------------
The second talk by J. Leitner is scheduled for this FRIDAY:
17.11.2000, 11.30-13.00 - Johannes Leitner:
"Continuous Time CAPM, Price for Risk, & Utility Maximization
(Continued)".
Location: TU FH, Turm A, 6. Stock, Seminar Room 107
For the first talk abstract see
http://www.fam.tuwien.ac.at/schedule/abs.html
Please note the UNUSUAL day and time!
---------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
14.11.2000 - Johannes Leitner: Continuous Time CAPM, Price for Risk,
& Utility Maximization
Abstract:
> In a continuous arbitrage free market without a risk-free bond
> the relationship between the minimal martingale measure Q, the
> resulting short rate for a locally risk-free bond priced according
> to the chosen measure Q, and the implied instantaneous
> Sharpe-ratio is considered using a dynamic CAPM approach.
> We define locally efficient portfolios and investigate their
> relevance for maximizing terminal utility in an incomplete market.
> For a totally unhedgeable price for instantaneous risk,
> isoelastic utility of terminal wealth can be maximized using a
> portfolio consisting of the locally risk-free bond and a locally
> efficient fund only. More general, optimal self-financing hedging
> strategies can be described using (Forward-) Backward-SDEs. We
> derive the relationship between the optimal portfolio, the optimal
> martingale measure in the dual problem and the optimal value
> function of the problem. In a markovian market model we find a
> non-linear PDE for the value function. From the solution we can
> construct under additional assumptions the optimal portfolio and
> the solution of the dual problem. Furthermore, we find the
> intertemporal price for risk relative to the locally risk-free
> bond to equal the standard deviation of the variance optimal
> martingale measure. In a market with zero bonds, the absolute
> intertemporal price for risk is related to the discounted variance
> optimal martingale measure and the zero bond prices.
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
16.11.2000 - Ching-Tang Wu: Malliavin Derivatives II
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
The talk on Tuesday, 07.11.2000 (PV Schachermayer)
will be given by Dr. Andrew Smith (Bacon & Woodrow):
"The Effect of New Theory on Insurance Company Management"
(Time: Tuesday 16:30-18:00, Location: TU FH, Turm B, 2. Stock, HS 8)
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
31.10.2000 - Christopher Summer: Partial hedging in a stochastic enviroment II
07.11.2000 - Mark Owen: Random Endowment in the Negative Wealth Case
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
02.11.2000 - No lecture
09.11.2000 - Ching-Tang Wu: Malliavin Derivatives
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2. Stock, HS 8)
17.10.2000 - Larbi Alili: Semi-martingale decompositions of generalized
Brownian bridges
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
19.10.2000 - Josef Teichmann: Wiener chaos and Malliavin Calculus
(Information on the Seminar and some lecture notes can be found on
http://www.fam.tuwien.ac.at/~jteichma/seminar.html)