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 !