Financial and Actuarial Mathematics: Time Table
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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
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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
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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
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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.
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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