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
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.
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.
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.
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.
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
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.
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
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
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)
_________________________________________________________________________
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 !
------------------------------------
_________________________________________________________________________
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 !
------------------------------------
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 !
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 !
------------------------------------------
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 !
------------------------------------------
------------ 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
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
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 !
------------------------------------------
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 !
------------------------------------------
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.
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 !
------------------------------------------
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
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)
***