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

03 Dec '01

Tu, 4.12.2001 -------------- Rainer Münz, to be announced Th, 6.12.2001 -------------- Uli Haboeck, Subdifferentials of Convex Functions, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Financial and Insurance Mathematics at ETH Zurich (fwd)
by Christopher Summer 29 Nov '01

29 Nov '01

---------- Forwarded message ---------- Date: Wed, 28 Nov 2001 13:08:41 +0100 From: Uwe Schmock <schmock(a)math.ethz.ch> Talks: ------ (Please see http://www.math.ethz.ch/finance/talks.html for links) (a) Thursday, November 29, 2001, 15.15 h (ETHZ, HG E42) Dr. Thorsten Rheinländer (Department of Mathematics, ETH Zürich) "A martingale duality approach to stochastic volatility models" Abstract: We discuss the valuation of derivatives in a general stochastic volatility context. The fact that the volatility typically is unbounded already rules out several well known approaches to valuation in incomplete markets. It turns out that it is still possible to follow a minimal entropy approach. We determine explicitly the resulting pricing measure for some classical stochastic volatility models and provide general verification results. (Seminar on Financial and Insurance Mathematics) (b) Wednesday, December 5, 2001, 20.00 h (Restaurant Au Premier, Zürich Main Station) Jean-Luc Vuarnoz (Swiss Life) "Underwriting und Antiselektion in der Personenversicherung" Abstract: Anhand zahlreicher Beispiele aus der Praxis wird die Antiselektion illustriert. Die Zusammenhänge zwischen Antiselektion und Produktdesign einerseits und Risikoprüfung andererseits werden verdeutlicht. Kommende Herausforderungen im Gebiet Risikoprüfung, z.B. Internet-Verkauf und Gentests, werden kurz diskutiert. (Colloquium of Actuaries) (c) Thursday, December 6, 2001, 17.15 h (ETHZ, G 26.5) Prof. Christophe Stricker (Université de Franche-Comté, Besançon) "The fundamental theorem of asset pricing under proportional transaction costs" Abstract: We consider a multi-asset discrete-time model of a financial market with proportional transaction costs and efficient friction and prove necessary and sufficient conditions for the absence of arbitrage. Our main result is an extension of the Dalang-Morton-Willinger theorem. As an application, we establish a hedging theorem giving a description of the set of initial endowments which allow to super-replicate a given contingent claim. (Seminar on Financial and Insurance Mathematics) Two talks in the Seminar for Stochastic Processes: -------------------------------------------------- (see http://www.math.ethz.ch/finance/SSP.html for abstracts & links) (a) Wednesday, Dec. 5, 16:15 - 17:00 (ETHZ, HG D 1.2) Gesine Reinert (Oxford) "Stein's method for the bootstrap" (b) Wednesday, Dec. 5, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43) Michel Emery (Université de Strasbourg) "On normal martingales and their chaotic representation" RiskLab Papers and Reports: --------------------------- (a) Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich) and Pierre Patie (RiskLab) "Risk Management for Derivatives in Illiquid Markets: A Simulation Study" (http://www.risklab.ch/Papers.html#IlliquidMarkets) (b) Dr. Maria Kafetzaki Boulamatsis and Dr. Dirk Tasche (RiskLab) "Combined Market and Credit Risk Stress Testing based on the Merton Model" (http://www.risklab.ch/Papers.html#CMCRST) (c) Enrico De Giorgi (RiskLab) "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios" (http://www.risklab.ch/Papers.html#RMSRMMLP) With best regards, Uwe Schmock Home Page: http://www.math.ethz.ch/~schmock/ Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/ RiskLab: http://www.risklab.ch/

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Stoch. Proc. Appl. Conference in 2002 (fwd)
by Christopher Summer 29 Nov '01

29 Nov '01

---------- Forwarded message ---------- Dear Colleague, Please circulate the following announcement (we are sorry for possible multiple posting!) Also, attached is a conference poster. We would be very grateful if you could display it in your institution! CALL FOR PAPERS: 28th Conference on Stochastic Processes and their Applications 1-5 July 2002 Melbourne, Australia The conference will provide an international forum for the presentation and discussion of new results in the area of the theory and applications of stochastic processes. *PROGRAMME: The themes of the conference include: stochastic analysis, discrete random processes and randomised algorithms, topics in limit theorems, Markov chain Monte Carlo, Markov processes, random processes in random environments, point processes, as well as application areas such as: stochastic processes in finance and insurance, stochastic processes in physics, applications to telecommunications, time series, modelling in biology and medicine. The Scientific Advisory Committee of the conference comprises S. Asmussen, P.J. Brockwell, L.H.Y. Chen, F. Den Hollander, C.C. Heyde, G.R. Grimmett, I.A. Ibragimov and O. Zeitouni. The program consists of fifty-minute lectures delivered by invited speakers and twenty-minute contributed talks by participants on various topics related to stochastic processes and their applications. The list of confirmed invited speakers to date includes: I. S. Borisov (Novosibirsk), P. Del Moral (Toulouse), P. Embrechts (Zurich), O. Haggstrom (Goteborg), K. Johansson (Stockholm), Zhi-Ming Ma (Beijing), M. Neuts (Tuscon), T. Ozaki (Tokyo), P. Protter (Cornell) and D. Siegmund (Stanford). The conference language is English. The registration form, abstract template and accommodation details can be downloaded from the Conference website at http://www.spa28.ms.unimelb.edu.au/ Please complete the form and return with payment or credit card details by mail or fax to the conference address (see below). *ABSTRACTS: Those wishing to present a paper at the conference should submit an abstract using our LaTeX template. This template can be downloaded from the conference website. Please ensure that the printed output of your abstract fits into one page. Please e-mail your LaTeX source file to spa(a)ms.unimelb.edu.au and if ready, also send a printed copy of your abstract with your registration form. The DEADLINE for submission of abstracts is 3 May 2002. *LOCATION: Melbourne is a city of over 3 million people and has been judged to be one of the most liveable cities in the world. The conference will be held at the University of Melbourne (www.unimelb.edu.au) which is in the cosmopolitan Carlton, close to the centre of the city. Some links to sites with Melbourne tourist information can be found in the Local Information section of the conference website. *COSTS: The registration fee is AU$400 for academics (AU$ 450 after 3 May 2002), and AU$200 for students (AU$1=US$0.5 approx. in November 2001). Budget accommodation (details are on the website) is available at AU$55 per night. Hotel accommodation is available in the range from AU$110 to AU$170. Please note that in 2001 it was possible to buy return airtickets from Europe and/or North America to Melbourne for about US$1,000. Further information will be provided on request. * TOURS: Apart from its scientific merits, participating in the conference is an excellent opportunity to visit Australia, one of the most beautiful and interesting countries in the world. Several excursions are being organized for the conference participants. Also feel free to make your own arrangements to visit the Great Barrier Reef and other fantastic places in Australia during your visit. Looking froward to hearing from you, Tim Brown, Chairman, Organizing Committee, Kostya Borovkov, Sci. Secretary Postal address: SPA28: Bronwen Hewitt, Conference Management, Old Physics Building, The University of Melbourne, VIC 3010, Australia Fax: (+61-3) 8344 6122, tph: (+61-3) 8344 6389 E-mail: bhewitt(a)unimelb.edu.au URL: http://www.spa28.ms.unimelb.edu.au

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UPDATE, this week's seminars CHANGED
by Christopher Summer 27 Nov '01

27 Nov '01

This THURSDAY we will NOT have our usual seminar on "Optima and Equilibria". Instead we will have a talk by Sasha Gorbulsky, find the details below. Tu, 27.11.2001 -------------- Josef Teichmann, Filtering Problems from the geometric point of view Th, 29.11.2001 -------------- Sasha Gorbulsky, Some entropy type invariants of decreasig sequences of measurable partitions For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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reminder, this week's seminars
by Christopher Summer 26 Nov '01

26 Nov '01

Tu, 27.11.2001 -------------- Josef Teichmann, Filtering Problems from the geometric point of view Th, 22.11.2001 -------------- Uli Haboeck, Subdifferentials of Convex Functions, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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magdeburger stochastik-tage 2002 (fwd)
by Christopher Summer 21 Nov '01

21 Nov '01

---------- Forwarded message ---------- Date: Wed, 21 Nov 2001 09:42:53 +0100 From: Peter Imkeller <imkeller(a)mathematik.hu-berlin.de> Subject: magdeburger stochastik-tage 2002 Dear colleagues, as you might have heard, the Fachgruppe Stochastik organizes its 5th bi-annual meeting "Stochastik-Tage" from Warch 19 to 22, 2002, in Magdeburg. I am co-organizer of the section on "Stochastic Analysis", for which Wendelin Werner (Paris) will be a main speaker. The last meeting in Hamburg has been quite a success, and I think the organizers in Magdeburg will do their best to follow in Hamburg's footsteps. Usually, the "Stochastik-Tage" give a forum especially to younger probabilists, in particular PhD students and postdocs to present their work and get to know the non-local stochastics community. I would like to ask you to spread this message among your students and co-workers, ask them to come to Magdeburg, and not to hesitate to announce a talk. There is still ample space in the section on stochastic analysis, and I would be happy to welcome as many of you and your students as possible. Of course, there is also another reason to wish that a big number of you be present: elections for the Vorstand der Fachgruppe will be held in Magdeburg. And it would be good to be well represented in this directing committee! For more information on the meeting, please consult the web site http://www.math.uni-magdeburg.de/stoch2002/f_second_en.html where you will also see that the deadline for applications is end of January. Looking forward to seeing you in Magdeburg Peter Imkeller. Prof. Dr. Peter Imkeller Institut fuer Mathematik Humboldt-Universitaet zu Berlin Unter den Linden 6 10099 Berlin Germany email: imkeller(a)mathematik.hu-berlin.de URL: http://wws.mathematik.hu-berlin.de/~imkeller phone: ++49-30-2093 5850 fax: ++49-30-2093 5848

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Open Problems, revisited
by Christopher Summer 20 Nov '01

20 Nov '01

Dear FAM-ily! In an effort to reorganize our open problem list Josef suggested the following: Everybody should send me (Christopher) a short report (LaTeX) describing the area and problems she/he is currently working on. Out of these information we will compile a new, up to date open problem list to show what everyone is currently working on. This list should be useful for each of us (future cooperations, how to describe the work at our institute, ...). Josef & Christopher

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reminder, this week's seminars
by Christopher Summer 19 Nov '01

19 Nov '01

Tu, 20.11.2001 -------------- Johanna Gaier, Asymptotic Ruin Probability and Optimal Investment for an Insurance Company with Small Claims Th, 22.11.2001 -------------- Eva Strasser, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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MathFinance Workshop, April 2002
by Christopher Summer 15 Nov '01

15 Nov '01

---------- Forwarded message ---------- Date: Thu, 15 Nov 2001 09:51:26 +0100 (MET) From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> To: Christopher Summer <csummer(a)fam.tuwien.ac.at> Desweiteren moechte ich auf den Frankfurt MathFinance Workshop, 3.-6. April 2002 hinweisen. Deine Kollegen und Du seid herzlich eingeladen, Eure aktuellen Forschungsergebnisse vorzutragen. Bei Interesse sollten wir Personen, Themen und Termine abstimmen. Viele Gruesse aus Frankfurt, uwe Dr. Uwe Wystup Global FX Options Quantitative Research Commerzbank Treasury and Financial Products Postal Address: ZTD 2.35 60261 Frankfurt am Main Germany Visiting address: Commerzbank Trading Center Mainzer Landstrasse 153 Frankfurt am Main Phone +49 - 69 - 136 - 41067 Fax +49 - 69 - 136 - 40557 Mobile +49 - 177 - 7963182 <mailto:uwe.wystup@commerzbank.com> mailto:uwe.wystup@commerzbank.com Frankfurt MathFinance Institute (Goethe-University) <http://www.institute.mathfinance.org/> http://www.institute.mathfinance.de/ Editor The MathFinance Newlsetter <http://www.mathfinancenews.com/> http://www.mathfinancenews.com/ <http://www.mathfinance.de/> http://www.mathfinance.de/ <mailto:uwe@mathfinance.de> mailto:uwe@mathfinance.de

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reminder, this week's seminars
by Christopher Summer 12 Nov '01

12 Nov '01

Tu, 13.11.2001 -------------- Walter Schachermayer, The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time Th, 15.11.2001 -------------- Eva Strasser, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Wissenswertes 12.11.: Langer (fwd)
by Christopher Summer 06 Nov '01

06 Nov '01

---------- Forwarded message ---------- Date: Tue, 6 Nov 2001 14:37:13 +0100 (CET) From: reinhard.winkler(a)oeaw.ac.at To: Abonnenten von `Wissenswertes': ; Subject: Wissenswertes 12.11.: Langer Wissenswertes aus der Mathematik Am Montag, 12.11.2001 um 16.00 Uhr (s.t.) traegt Heinz Langer (TU Wien) unter dem Titel Spektraleigenschaften von Blockoperatormatrizen vor. Ort: Seminarraum 118 (TU Wien, Freihaus, Turm A, gruener Bereich, 5.Stock, fensterlos) Martin.Goldstern(a)tuwien.ac.at, Reinhard.Winkler(a)oeaw.ac.at http://www.tuwien.ac.at/goldstern/wissen.html P.S.: Ab heute schicken wir diese Ankündigungen mit unsichtbarer Adressenliste im mail-Header. Siehe auch http://www.tuwien.ac.at/goldstern/wissenswertes/adressen.html

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reminder, this week's seminars
by Christopher Summer 05 Nov '01

05 Nov '01

Tu, 06.11.2001 -------------- Patrick Cheridito, Sensitivity of the Black-Scholes option price to the local path behaviour of the stochastic process modelling the underlying asset Th, 08.11.2001 -------------- Tanja Veza, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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The new journal of the Belgian Actuarial Society (fwd)
by Christopher Summer 29 Oct '01

29 Oct '01

Dear Colleagues, It is our great pleasure to announce the new journal of the Belgian Actuarial Society (KVBA-ARAB), the Belgian Actuarial Bulletin (BAB). The BAB is sponsored by KVBA-ARAB and is thus available free of charge from the website of the Belgian Society, at url www.actuaweb.be Click on literature, and then you switch to www.stat.ucl.ac.be/BAB where the BAB is hosted. The aim of the BAB is to publish articles pertaining to the "art" and/or "sciences" involved in contemporary actuarial practice. Papers written from any quantitative point of view - whether actuarial, statistical, financial, mathematical, etc. - attacking relevant theoretical and applied insurance problems are welcome. The BAB welcomes articles providing new ideas or techniques, articles improving existing ones as well as survey papers of pedagogical nature. Useful introduction or reviews of subjects new to many actuaries, or useful descriptions of present practice or possible future practice are appreciated. Such introductions, reviews or descriptions should be couched in language accessible to actuaries. We are eagerly looking forward to the pleasure of receiving your contributions. Yours faithfully, Michel Denuit Institut de Statistique, Université catholique de Louvain Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve, Belgium denuit(a)stat.ucl.ac.be Jan Dhaene Departement Toegepaste Economische Wetenschappen Faculteit Economische and Toegepaste Economische Wetenschappen Katholieke Universiteit Leuven Minderbroedersstraat, 5 B-3000 Leuven, Belgium Jan.Dhaene(a)econ.kuleuven.ac.be **************************************************************************** ****** Michel DENUIT Institut de Statistique Universite Catholique de Louvain Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve BELGIUM E-mail address : denuit(a)stat.ucl.ac.be Phone : +32 10 / 47 28 35 Fax : +32 10 / 47 30 32 Please, visit my homepage on http://www.stat.ucl.ac.be/ISpersonnel/denuit/denuit_eng.html **************************************************************************** ******

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reminder, this week's seminars
by Christopher Summer 22 Oct '01

22 Oct '01

Note, this week we will have THREE seminars!!! Tu, 23.10.2001 -------------- Kerry Back, John M. Olin School of Business, Washington University in St. Louis Information in Securities Markets: Kyle meets Glosten and Milgrom We, 24.10.2001 -------------- this talk starts at 17:00 at the usual place Hansjörg Albrecher, Department of Mathematics, Graz University of Technology On some generalizations of the classical ruin model in risk theory Th, 25.10.2001 -------------- Tanja Veza, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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reminder, this weeks seminars
by Christopher Summer 15 Oct '01

15 Oct '01

Tu, 16.10.2001 -------------- !!!ATTENTION: this talk starts at 17:30!!! Robert Tompkins, The relation between implied and realised probability density functions Th, 18.10.2001 -------------- Christopher Summer, our seminar on "Optima and Equilibira" continues For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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reminder, this weeks seminars
by Christopher Summer 08 Oct '01

08 Oct '01

Tu, 9.10.2001 ------------- Friedrich Hubalek, Long forward rates never fall - A general proof of the Dybvig-Ingersoll-Ross Theorem Th, 11.10.2001 -------------- Christopher Summer, our seminar on "Optima and Equilibira" starts For further details see http://www.fam.tuwien.ac.at/schedule/ |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Position, Department of Mathematics, University of Texas at Austin
by Christopher Summer 08 Oct '01

08 Oct '01

---------- 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

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next weeks seminars
by Christopher Summer 04 Oct '01

04 Oct '01

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

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Thursday Seminar
by Christopher Summer 04 Oct '01

04 Oct '01

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

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Vortragsreihe: Wissenswertes aus der Mathematik, WS 2001/02 (fwd)
by Christopher Summer 01 Oct '01

01 Oct '01

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/

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Thursday - Seminar
by Christopher Summer 24 Sep '01

24 Sep '01

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/ ---------------------------------------------------------------------

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ESI Seminar
by Christopher Summer 13 Sep '01

13 Sep '01

---------- 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

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Thursday - Seminar
by Christopher Summer 11 Sep '01

11 Sep '01

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 ---------------------------------------------------------------------

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FAM-news and the Vienna Finance Newsletter VFN-L
by Andreas Schamanek * FAM-ily administrator 10 Jul '01

10 Jul '01

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

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FAM Seminar: THURSDAY
by Victor Olevskii 10 Jul '01

10 Jul '01

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

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15. Workshop der AWG on Banking and Finance
by Victor Olevskii 10 Jul '01

10 Jul '01

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

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FAM Seminar: Tomorrow
by Victor Olevskii 09 Jul '01

09 Jul '01

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

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FAM Seminar Time Table: Next Week
by Victor Olevskii 05 Jul '01

05 Jul '01

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

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FAM Seminar Reminder
by Victor Olevskii 31 May '01

31 May '01

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

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FAM Seminar Time Table: This Week
by Victor Olevskii 28 May '01

28 May '01

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

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(no subject)
by Victor Olevskii 21 May '01

21 May '01

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

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FAM Seminar Time Table: This Week
by Victor Olevskii 14 May '01

14 May '01

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

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FAM Seminar Time Table
by Victor Olevskii 07 May '01

07 May '01

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

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Econometric Research Seminar - IHS, May 10
by Victor Olevskii 04 May '01

04 May '01

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

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FAM Seminar Time Table
by Victor Olevskii 02 May '01

02 May '01

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

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FAM Seminar
by Victor Olevskii 25 Apr '01

25 Apr '01

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

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FAM Seminar Reminder: This Week
by Victor Olevskii 02 Apr '01

02 Apr '01

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

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FAM Seminar Reminder: This Week
by Victor Olevskii 26 Mar '01

26 Mar '01

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

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FAM Seminar Reminder
by Victor Olevskii 21 Mar '01

21 Mar '01

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

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FAM Seminar Reminder: This Week
by Victor Olevskii 19 Mar '01

19 Mar '01

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/

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FAM Seminar Reminder: Next Week
by Victor Olevskii 15 Mar '01

15 Mar '01

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/

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[Fwd: Seminar advertisment]
by Victor Olevskii 12 Mar '01

12 Mar '01

-------- 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) ================================================================

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FAM Seminar Time Table This Week
by Victor Olevskii 12 Mar '01

12 Mar '01

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/

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FAM Seminar This Week: Attention CHANGES!!
by Victor Olevskii 05 Mar '01

05 Mar '01

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/

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FAM Seminar Time Table
by Victor Olevskii 05 Mar '01

05 Mar '01

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

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FAM Seminar Time Table
by Victor Olevskii 28 Feb '01

28 Feb '01

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

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FAM Seminar Time Table: Next Week
by Victor Olevskii 19 Feb '01

19 Feb '01

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

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FAM Seminar Reminder: This Week
by Victor Olevskii 28 Jan '01

28 Jan '01

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

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FAM Seminar Reminder: Next Week
by Victor Olevskii 25 Jan '01

25 Jan '01

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

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FAM Seminar Reminder: This Week
by Victor Olevskii 21 Jan '01

21 Jan '01

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

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