- FAM-news - TU FAM Mailing lists

FAM Seminar Reminder: Next Week
by Victor Olevskii 16 Jan '01

16 Jan '01

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

1 0

FAM Seminar Reminder: This Week
by Victor Olevskii 15 Jan '01

15 Jan '01

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

1 0

FAM Seminar Next Week: Corrections
by Victor Olevskii 09 Jan '01

09 Jan '01

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/

1 0

FAM Seminar Reminder: Next Week
by Victor Olevskii 08 Jan '01

08 Jan '01

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

1 0

FAM Seminar This Week: ATTENTION: Last Minute CHANGES!!
by Victor Olevskii 08 Jan '01

08 Jan '01

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/

1 0

FAM Seminar Reminder: Next Week
by Victor Olevskii 05 Jan '01

05 Jan '01

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

1 0

Happy New Millenium!!!
by Victor Olevskii 30 Dec '00

30 Dec '00

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!

1 0

Happy New Millenium!!!
by Victor Olevskii 30 Dec '00

30 Dec '00

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!

1 0

Today's seminar reminder
by Victor Olevskii 19 Dec '00

19 Dec '00

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.

1 0

FAM Seminars Time Table: This Week
by Victor Olevskii 11 Dec '00

11 Dec '00

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

1 0

This Week FAM Seminars
by Victor Olevskii 20 Nov '00

20 Nov '00

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

1 0

Another talk by Johannes Leitner
by Victor Olevskii 15 Nov '00

15 Nov '00

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/

1 0

This week FAM Seminars
by Victor Olevskii 13 Nov '00

13 Nov '00

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/

1 0

FAM Seminar Time Table: correction for 07.11.2000
by Victor Olevskii 30 Oct '00

30 Oct '00

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)

1 0

FAM Seminars Time Table: next two weeks
by Victor Olevskii 30 Oct '00

30 Oct '00

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

1 0

This week seminars
by Victor Olevskii 16 Oct '00

16 Oct '00

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)

1 0

Maths Quiz 2000
by Victor Olevskii 12 Oct '00

12 Oct '00

Quite interesting event - see http://www.mq2000.org/ !

1 0

FAM Seminar Time Table
by Victor Olevskii 11 Oct '00

11 Oct '00

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 24.10.2000 - Peter Grandits: Partial hedging in a stochastic enviroment ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 12.10.2000 - Josef Teichmann: Wiener chaos 19.10.2000 - Josef Teichmann: Wiener chaos and Malliavin Calculus ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

1 0

Time-Table: Talks at October 10, 2000 (Plueckhahn and Taschil)
by Andreas Schamanek 09 Oct '00

09 Oct '00

Financial and Actuarial Mathematics: Time Table ----------------------------------------------- http://www.fam.tuwien.ac.at/schedule/ PV Schachermayer (Time: Tuesday 16:30-18:00, Location: TU FH, Turm B, 2. Stock, HS 8) +-----------------+-----------------+------------------------------------+ | 10.10.2000 - | Georg | Das inverse Problem der | | 16:30 | Plueckhahn | Optionspreisbewertung | +-----------------+-----------------+------------------------------------+ | 10.10.2000 - | Ulla Taschil | Erstmalige Anwendung von | | 17:15 | | IAS/US-GAAP in | | | | Lebensversicherungsunternehmen - | | | | Einfuehrung aus aktuarieller Sicht | +-----------------+-----------------+------------------------------------+ Abstracts - Zusammenfassungen: Georg Plueckhahn Das inverse Problem der Optionspreisbewertung Wie kann man das Black-Merton-Scholes Modell erweitern, sodass eine Formel f�r die Optionspreisbewertung gefunden wird, die mit den Marktpreisen konsistent ist und die Pr�misse der Vollst�ndigkeit des Marktes unangetastet l�sst? Des weiteren sollen M�glichkeiten f�r die analoge Implementierung in diskreter Zeit vorgestellt werden. Ulla Taschil Erstmalige Anwendung von IAS/US-GAAP in Lebensversicherungsunternehmen - Einf�hrung aus aktuarieller Sicht Diese Diplomarbeit soll vorerst einmal einen �berblick �ber die versicherungstechnischen Unterschiede der nationalen Rechnungslegung in Versicherungsunternehmen zu internationalen Methoden geben. In einem weiteren Teil wird dann auf die Besonderheiten und Probleme bei der Umstellung auf IAS/US-GAAP hingewiesen, zu denen dann L�sungsvorschl�ge angeboten werden. Das Hauptaugenmerk der Ausf�hrungen liegt dabei aber nicht auf den wirtschaftlichen, sondern auf den versicherungsspezifischen Vorschriften.

1 0

books
by Victor Olevskii 04 Oct '00

04 Oct '00

Hi, Those who took the following books out of my shelf are kindly requested to bring them back, ot at least to tell me where they could be currently found: Lamberton, Lapeyre: Stochastic Calculus Applied to Finance; Björk: Arbitrage Theory in Continuous Time; Revuz, Yor: Continuous Martingales and Brownian Motion. Thank you, Victor.

1 0

Goll: Portfolio optimization with an insurance constraint, Sept 20, 2000
by Andreas Schamanek 13 Sep '00

13 Sep '00

We are proudly announcing the following talk: Thursday, Sept 20, 2000 Seminar Room of E107 at 14:00 (Freihaus, 6th floor, green area) Thomas Goll: Portfolio optimization with an insurance constraint Abstract A paper of Peter Lakner is presented. It studies the problem of maximizing the expected utility from terminal wealth subject to an insurance constraint that the wealth at the terminal time T can not fall below a given level K. Using Malliavin calculus an explicit formula for the optimal portfolio strategy is derived for a standard complete market model.

1 0

Goll: Optimal Portfolios for loarithmic utility, Sept 7, 2000
by Andreas Schamanek 06 Sep '00

06 Sep '00

We are proudly announcing the following talk: Thursday, Sept 7, 2000 FAM-ily's Seminar Room at 16:30 (Freihaus, 7th floor) Thomas Goll: Optimal portfolios for logarithmic utility Abstract We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process.

1 0

(no subject)
by Victor Olevskii 10 Jul '00

10 Jul '00

From: Martin Schweizer (mschweiz(a)math.TU-Berlin.DE) Informal Workshop in Berlin: Thursday noon, November 30 - Saturday afternoon, December 2. The idea behind this workshop is to bring together a small group of young researchers in Mathematical Finance so that they get to know each other and can discuss their projects. In order to offer some views of key directions in current research, we have decided to arrange four invited lectures of about one hour. Invited speakers: Mark Davis, Chris Rogers, Walter Schachermayer, Nizar Touzi. Organizers: Hans Foellmer, Uwe Kuechler, Martin Schweizer. ============================================================= Updated information on Conferences and more: http://www.fam.tuwien.ac.at/~vit/conf.html

1 0

Reminder: today's seminar
by Victor Olevskii 04 Jul '00

04 Jul '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107) 04.07.2000 : Thorsten Rheinlaender Momentum Traders and Instabilities of Financial Markets There is empirical evidence that price processes of financial assets show stylized facts like volatility clusters and large price movements not accompanied by any dramatic news events. We discuss whether this observed behavior can be explained by the activity of momentum traders. These are agents which take past price movements as a signal for their investment decisions in a trend-chasing fashion. This is joint work together with Marcus Steinkamp, TU Berlin.

1 0

Reminder: today's seminar
by Victor Olevskii 20 Jun '00

20 Jun '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107) 20.06.2000 Ching-Tang Wu : Muentz linear transform of Brownian motions

1 0

univ.-ass. gesucht :-)
by Sandra Trenovatz 19 Jun '00

19 Jun '00

genauere angaben unter: http://www.fam.tuwien.ac.at/~sandra/jobs/20000615.htm mit freundlichen grüssen von prof. w. schachermayer

1 0

Reminder: today's seminar
by Victor Olevskii 15 Jun '00

15 Jun '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107) 15.06.2000 Larbi Alili : Further results on some singular linear SDE

1 0

Today's seminar: Reminder
by Victor Olevskii 13 Jun '00

13 Jun '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8) 13.06.2000. Irene Klein: Hedging under transaction costs in currency markets: a continuous-time model (Kabanov, Last)

1 0

Reminder: today's seminar
by Victor Olevskii 06 Jun '00

06 Jun '00

_________________________________________________________________________ SOME FUNDAMENTAL THEOREMS IN MATHEMATICAL FINANCE: A STOCHASTIC PROGRAMMING DUALITY PERSPECTIVE _________________________________________________________________________ Lisa A. Korf Department of Mathematics University of Washington, Seattle Date. Tuesday, 6th of June 2000 ------------------------- Time. 16.30 ----- Location. Seminarraum 107, 6th floor, green area, TU WIEN - Freihaus -------------------------- ------- Abstract. Stochastic programming concerns the theory of making optimal decisions under uncertainty, in which a probability distribution has been assigned to the uncertain parameters of a problem. These are generally optimization problems in infinite-dimensional spaces. Much of the theory revolves around how to approximate such problems in finite dimensions so that they might be solved in a practical mathematical programming setting. In addition, a nice duality theory has been developed in the infinite- dimensional setting. It was only natural that financial applications took their place as one of the primary application areas in this field. Mathematical programming provides a flexible framework in which to model all kinds of stochastic price processes, as well as the unavoidable complications of constraints, costs, etc. which arise in practice. While much attention has been focused on the practical aspects of solving these problems, little attention has been paid to deriving some of the rich (finite and infinite-dimensional) theory of mathematical finance in a stochastic programming duality setting, where extensions to problems with transaction costs, etc. would be considered very natural. This lecture introduces stochastic programming duality, and delves into some of the fascinating issues involved in trying to derive the ``fundamental theorems of asset pricing'' (equating no arbitrage conditions with the existence of an equivalent martingale measure for the underlying asset price process) in a stochastic programming framework. __________________________________________________________________________ Further information about the schedule of seminars at the Department of Financial and Actuarial Mathematics is available at http://www.fam.tuwien.ac.at/schedule ! ------------------------------------

1 0

FAM Seminar Timetable: next weeks
by Andreas Schamanek 31 May '00

31 May '00

Financial and Actuarial Mathematics: Time Table ----------------------------------------------- http://www.fam.tuwien.ac.at/schedule/ PV Schachermayer (Time: Tuesday 16:30-18:00, Location: TU FH, Turm B, 2. Stock, HS 8) +------------+---------------+-------------------------------------------+ | 06.06.2000 | Lisa Korf | Some Fundamental Theorems in | | | | Mathematical Finance: A Stochastic | | | | Programming Duality Approach [2] | +------------+---------------+-------------------------------------------+ | 13.06.2000 | Irene Klein | Hedging under transaction costs in | | | | currency markets: a continuous-time | | | | model (Kabanov, Last) | +------------+---------------+-------------------------------------------+ | 20.06.2000 | Ching-Tang Wu | Muentz linear transform of Brownian | | | | motions | +------------+---------------+-------------------------------------------+ SE Schachermayer (Time: Thursday 16:30-18:00, Location: TU FH, Turm A, 6.Stock, Seminarraum 107) +------------+-------------+---------------------------------------------+ | 15.06.2000 | Larbi Alili | Further results on some singular linear SDE | +------------+-------------+---------------------------------------------+ -------------------------------------------------------------------------- Last Modification: Wednesday, 31-May-2000 11:37:01 MEST by (jg) [3] ---------- Site notes: [1] http://www.fam.tuwien.ac.at/ [2] http://www.fam.tuwien.ac.at/pipermail/fam-news/2000-May/000012.html [3] mailto:gaier@fam.tuwien.ac.at

1 0

FAM-Seminar: Tuesday, 6.6.2000
by Johanna Gaier 31 May '00

31 May '00

_________________________________________________________________________ SOME FUNDAMENTAL THEOREMS IN MATHEMATICAL FINANCE: A STOCHASTIC PROGRAMMING DUALITY PERSPECTIVE _________________________________________________________________________ Lisa A. Korf Department of Mathematics University of Washington, Seattle Date. Tuesday, 6th of June 2000 ------------------------- Time. 16.30 ----- Location. Seminarraum 107, 6th floor, green area, TU WIEN - Freihaus -------------------------- ------- Abstract. Stochastic programming concerns the theory of making optimal decisions under uncertainty, in which a probability distribution has been assigned to the uncertain parameters of a problem. These are generally optimization problems in infinite-dimensional spaces. Much of the theory revolves around how to approximate such problems in finite dimensions so that they might be solved in a practical mathematical programming setting. In addition, a nice duality theory has been developed in the infinite- dimensional setting. It was only natural that financial applications took their place as one of the primary application areas in this field. Mathematical programming provides a flexible framework in which to model all kinds of stochastic price processes, as well as the unavoidable complications of constraints, costs, etc. which arise in practice. While much attention has been focused on the practical aspects of solving these problems, little attention has been paid to deriving some of the rich (finite and infinite-dimensional) theory of mathematical finance in a stochastic programming duality setting, where extensions to problems with transaction costs, etc. would be considered very natural. This lecture introduces stochastic programming duality, and delves into some of the fascinating issues involved in trying to derive the ``fundamental theorems of asset pricing'' (equating no arbitrage conditions with the existence of an equivalent martingale measure for the underlying asset price process) in a stochastic programming framework. __________________________________________________________________________ Further information about the schedule of seminars at the Department of Financial and Actuarial Mathematics is available at http://www.fam.tuwien.ac.at/schedule ! ------------------------------------

1 0

FAM Seminar Timetable: next weeks
by Victor Olevskii 26 May '00

26 May '00

1 0

Corrigendum - Thursday, 25.5.2000
by Johanna Gaier 21 May '00

21 May '00

IMPORTANT! ========== Dimitri Kramkov will NOT be able to give the previously announced talk on Thursday, the 25th of May. Instead, Ching-Tang Wu will speak about CORPORATIONS ------------ (M. Magill & M. Quinzii, 'Theory of Incomplete Markets') at 16.30 in the Seminarraum 107, 6th floor, green area (TU Wien, Freihaus). Further informations can be found at http://www.wiener.fam.tuwien.ac.at/~gaier/seminar !

1 0

Announcement - Thursday, 25.5.2000
by Johanna Gaier 16 May '00

16 May '00

On Thursday, the 25th of May, at 16.30 Dimitri Kramkov (Tokyo Mitsubishi International, London) will speak about HEDGING UNDER TRANSACTION COSTS ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

1 0

Reminder - Thursday, 18.5.2000
by Johanna Gaier 16 May '00

16 May '00

This Thursday, the 18th of May, at 16.30 Johanna Gaier will speak about PARTNERSHIPS (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

1 0

Piotr Biler: Conservation laws with Levy diffusion (ESI seminar)
by Andreas Schamanek 15 May '00

15 May '00

------------ Forwarded message ------------- Date: Thu, 11 May 2000 15:50:42 +0200 From: Sekretariat <secr(a)esi.ac.at> To: seminars(a)doppler.thp.univie.ac.at (...) [as part of the ESI seminar: (as)] Title: Conservation laws with L\'evy diffusion Speaker: Piotr Biler Politechnika Wroclawska, Poland Date: 2000-05-18 Time: 15:00 Location: ESI lecture hall

1 0

Ulrich Orbanz, Tuesday, May 16, 16:30
by Andreas Schamanek 09 May '00

09 May '00

Aktuarvereinigung Oesterreichs * Oesterreichische Gesellschaft fuer Versicherungsfachwissen * Abteilung fuer Finanz- und Versicherungs- mathematik der Technischen Universitaet Wien E i n l a d u n g zur Vortragsreihe aus Finanz- und Versicherungsmathematik Privat-Dozent Ulrich Orbanz Die Deutsche Aktuar-Akademie ---------------------------- Eine Antwort auf die internationale Entwicklung der Aktuarausbildung Tuesday, May 16, 2000, 16:30 'Hoersaal HS 6', Freihaus, 2. OG (2nd floor), Turm C - gruener Bereich (green area) For further information: See Sandras list VORTRAGSREIHE aus Finanz- und Versicherungsmathematik http://www.fam.tuwien.ac.at/~sandra/vr/ Yours fam-newsingly, -- Andreas

1 0

Reminder - Thursday, 11.5.2000
by Johanna Gaier 08 May '00

08 May '00

This Thursday, the 11th of May, at 16.30 Friedrich Hubalek will speak about PRODUCTION IN A FINANCE ECONOMY =============================== MOTIVATION AND SUMMARY, CHARACTERISTICS OF PRODUCTION ECONOMY, SOLE PROPRIETORSHIPS (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

1 0

Reminder - Thursday, 4.5.2000
by Johanna Gaier 02 May '00

02 May '00

This Thursday, the 4th of May, at 16.30 Christopher Summer will speak about INFORMATIONAL EFFICIENCY OF SECURITY PRICES =========================================== CONDITIONAL EXPECTATION AND MARTINGALE, EFFICIENT MARKETS UNDER RISK NEUTRALITY, EFFICIENT MARKETS WITH RISK AVERSION (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

1 0

FAM-news and the Vienna Finance Newsletter VFN-L
by Andreas Schamanek 13 Apr '00

13 Apr '00

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 2) the Vienna Finance Newsletter (VFN-L) It's likely that one announcement is interesting for both lists. If you are or if you were subscribed to both of them you will or would receive the same message twice. That's why Walter and I decided that messages sent to the much bigger list VFN-L are not forwarded and are not cross-posted to FAM-news. Instead, we suggest that you subscribe to VFN-L (see below for details). Since the VFN-L is moderated (BTW, by me) it's a low volume/high quality list worth being subscribed to. 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.cgi/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.

1 0

Reminder - Thursday, 13.4.2000
by Johanna Gaier 10 Apr '00

10 Apr '00

This Thursday, the 13th of April, at 16.30 Mark Owen will speak about EXISTENCE AND OPTIMALITY ======================== (M. Magill and M. Quinzii, 'Theory of Incomplete Markets') in the Seminarraum 107, 6th floor, green area (TU Wien Freihaus). Further details can be found at http://www.fam.tuwien.ac.at/~gaier/seminar ! ------------------------------------------

1 0

M. Davis, Wednesday, April 12, 2000: Introduction, II
by Andreas Schamanek 07 Apr '00

07 Apr '00

Date: Fri, 7 Apr 2000 08:20:03 +0200 (CEST) From: Wissenschaftlicher Verein Modernes Risk Management <amrm(a)esi.ac.at> Adapted by :-) Andreas Schamanek <schamane(a)fam.tuwien.ac.at> Subject: Vortrag am 12. April Dear Ladies and Gentlemen, Prof. Mark Davis will continue with his introductory talk on the CreditMetrics model for measuring credit risks: "Introduction to CreditMetrics, II" Time: Wednesday, 12-04-2000, 18:00 Ort: Hoersaal 1 Institute of Mathematics Strudlhofgasse 4 1090 Wien The talk will be IN ENGLISH. Best regards, Markus Fulmek +---------------------------------------------------------------------+ Sehr geehrte Damen und Herren, Im Rahmen des Seminars "Finanzmathematik" setzt Herr Prof. Mark Davis (Gastprofessor TU Wien) seine Einfuehrung in das CreditMetrics-Modell zur Kreditrisiko-Quantifizierung fort: "Introduction to CreditMetrics, II" Zeit: Mittwoch, 12. IV 2000, 18 Uhr Ort: Hoersaal 1 Institut fuer Mathematik Strudlhofgasse 4 1090 Wien Der Vortrag findet IN ENGLISCHER SPRACHE statt. Mit besten Gruessen, Markus Fulmek -------------------------------------------------- Wissenschaftlicher Verein Modernes Risk Management WWW: http://keen.esi.ac.at/~amrm/ Institut fuer Mathematik Universitaet Wien Strudlhofgasse 4 A-1090 Wien Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at

1 0

Prof. Wisniewski, Tuesday, April 11, 2000
by Andreas Schamanek 06 Apr '00

06 Apr '00

Aktuarvereinigung Oesterreichs * Oesterreichische Gesellschaft fuer Versicherungsfachwissen * Abteilung fuer Finanz- und Versicherungs- mathematik der Technischen Universitaet Wien E i n l a d u n g zur Vortragsreihe aus Finanz- und Versicherungsmathematik Prof. Dr. Marian Wisniewski Warsaw University, Faculty of Economics Academic Education of Actuaries in Poland ----------------------------------------- In Polen bestehen f�r verantwortliche Aktuare in Versicherungsunter- nehmen sehr umfangreiche und spezifische Berechtigungsvoraussetzungen. Herr Prof. Wisniewski ist Vorsitzender jener Kommission, vor der alle angehenden Aktuare eine Pr�fung ablegen m�ssen, um die Berechtigung f�r die Aus�bung der Funktion eines verantwortlichen Aktuars zu erwerben. Herr Prof. Wisniewski wird �ber den Ausbildungsweg und die Qualifika- tionskriterien f�r verantwortliche Aktuare in Polen berichten. Der Vortrag wird in englischer Sprache gehalten. Termin: Dienstag, 11.4.2000, 16:30 Uhr Ort: Technische Universit�t Wien 1040 Wien, Wiedner Hauptstra�e 8-10 Freihaus, Turm B (gelber Bereich), 2.Stock, HS 8 (N�bauer H�rsaal) Direktor Helmut Holzer (Praesident der Aktuarvereinigung Oesterreichs) o.Univ.-Prof. Dr. W. Schachermayer (Technische Universit�t Wien) GD i.R. Dr. Franz Vogler (Praesident der Oesterreichischen Gesellschaft fuer Versicherungsfachwissen) ***

1 0

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

FAM-news