Wissenswertes aus der Mathematik
Liste der geplanten Vorträge im WS 2001/02
2001-10-22
Klaus Schmidt (Universität Wien):
Mehrparametrische Ergodentheorie
2001-10-29
Michael Fuchs (TU Wien):
Metrische Kettenbruchtheorie und Diophantische Approximation
2001-11-12
Heinz Langer (TU Wien):
Spektraleigenschaften von Blockoperatormatrizen
2001-11-26
Sophie Frisch (TU Graz):
Nicht Noethersche Ringe sind auch Menschen
2001-12-10
Monika Ludwig (TU Wien):
Additive Funktionale für konvexe Körper: Von Hilberts drittem
Problem zu neueren Ergebnissen
2002-01-14
Arne Winterhof (Akademie der Wissenschaften):
Generierung von Pseudozufallszahlen
2002-01-21
Barbara Bittner (Universität Wien):
Statistik in der Genetik
Die Vorträge finden jeweils am
Montag um 16.00 s.t.
im Seminarraum 118 der TU (1040 Wien, Wiedner Hauptstr. 8-10 "Freihaus",
grüner Bereich, 5.Stock) statt. Als Rahmen für eine Sitzung sind etwa 90
Minuten geplant. Einzelne Vorträge können aber auch kürzer sein;
insbesondere dann, wenn eine längere Diskussion zu erwarten ist.
Wie auch in den letzten Semestern bitten wir darum, das Programm an
Interessierte, die noch nicht auf unserer Liste stehen, weiterzuleiten.
Wir werden demnächst einen Ausdruck des Programms an unsere
"Kontaktpersonen" an den einzelnen Instituten schicken und bitten darum,
diesen allen Institutsmitgliedern zugänglich zu machen.
Martin Goldstern und Reinhard Winkler
http://www.tuwien.ac.at/goldstern/wissen/
Thursday, 27.09.2001, 16:30; TU FH, Turm A, 6. Stock, SR 107
Alexei Filinkov: Interest Rate Theory and White Noise Calculus
Prof. Alexei Filinkov
Department of Pure Mathematics
University of Adelaide
South Australia 5005
Australia
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see also: http://www.fam.tuwien.ac.at/schedule/
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---------- Forwarded message ----------
Date: Thu, 13 Sep 2001 17:50:06 +0200
From: ESI Secretary <secr(a)esi.ac.at>
To: seminars(a)thp.univie.ac.at
Action: ANNOUNCE
Title: Random Walks and Spontaneous Emergence of Opinions
Speaker: Mike Keane
CWI, Amsterdam
Date: 2001-09-18
Time: 15:00-15:50
Duration:
Location: ESI lecture hall
Invited_by: K. Schmidt
To officially welcome the new semester there will be a seminar this
thursday!
---------------------------------------------------------------------
Thursday, 13.09.2001, 16:30; TU FH, Turm A, 6. Stock, SR 107
Peter Grandits: Ruin Probability in the Presence of Regularly Varying
Tails & Optimal Investment
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Dear FAM-news subscriber,
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---------------------------------------------------------------------
ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Financial and Actuarial Mathematics: Time Table
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SE Schachermayer (Thursday 16:30-18:00)
12.07.2001 - Kasper Larsen (Odense University, Denmark)
Title: The American Put Option, some numerical aspects.
Abstract:
There does not exist a closed form solution to the problem of pricing
an American Put. However, this pricing problem can be characterized as
an optimal stopping problem and in turn as a solution to a free boundary
problem. This formulation can be used for numerical experiments. We will
discuss some of the difficulties in applying the methods normally used
for such non-linear problems.
Finally we apply such a numerical procedure on some artificial example.
This will show other problems connected to this pricing issue; e.g. the
behaviour of the approximate solution when we change the grid size.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezueglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Einen schönen Sommer wünschen
Helmut Uhlir Stefan Pichler
Financial and Actuarial Mathematics: Time Table
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PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
TODAY:
SE Schachermayer (Thursday 16:30-18:00)
31.05.2001 - Ping Li: Minimal Martingale Measures for Discrete-time
Incomplete Financial Markets
Abstract:
In this paper, we first give a characterization of minimal martingale
measures for a general discrete-time incomplete financial market. Then
we concretely work out the minimal martingale measure for a specified
discrete-time market model. Based on this minimal martingale measure,
the price of any contingent claim can be given.
NEXT WEEKS:
PV Schachermayer (Tuesday 16:30-18:00)
12.06.2001 - A. Helmert & M. Willomitzer: Innovative Produktmodelle und
effiziente Methoden zur Produktentwicklung, Analyse und Umsetzung
19.06.2001 - Martin Barlow: A diffusion model for electricity spot prices
Abstract:
Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'. We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html