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FAM Seminar: THURSDAY
by Victor Olevskii 10 Jul '01

10 Jul '01

Financial and Actuarial Mathematics: Time Table -------------------------------------------------------------------------- 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

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15. Workshop der AWG on Banking and Finance
by Victor Olevskii 10 Jul '01

10 Jul '01

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

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FAM Seminar: Tomorrow
by Victor Olevskii 09 Jul '01

09 Jul '01

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

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FAM Seminar Time Table: Next Week
by Victor Olevskii 05 Jul '01

05 Jul '01

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FAM Seminar Reminder
by Victor Olevskii 31 May '01

31 May '01

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

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FAM Seminar Time Table: This Week
by Victor Olevskii 28 May '01

28 May '01

Financial and Actuarial Mathematics: Time Table -------------------------------------------------------------------------- SE Schachermayer (Thursday 16:30-18:00) 31.05.2001 - Ping Li: Minimal Martingale Measures for Discrete-time Incomplete Financial Markets 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

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(no subject)
by Victor Olevskii 21 May '01

21 May '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility, and Applications of Shot Noise Processes May 22-23, 2001, Vienna University of Technology ------------------------------------------------------------------------ Tuesday, May 22, 2001: Morning Session Location: HS 13 Ernst Melan (Hauptgebäude, Karlsplatz 13, 3rd floor) 10.45-11.30 Ole E. Barndorff-Nielsen, Aarhus University: Lévy based chronometers 11.30-12.15 Elisa Nicolato, Vienna University of Technology: On multivarate extensions of Ornstein-Uhlenbeck type stochastic volatility models 12.15-14.30 Lunch break Tuesday, May 22, 2001: Afternoon Session Location: FH HS 6 (Freihausgebäude, Wiedner Hauptstr. 8, 2nd floor) 14.30-15.15 Sergei Levendorskii, Rostov State University: Regular Lévy processes of exponential type and Feller processes of normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen) 15.15-15.45 Coffee/tea 15.45-16.30 Robert Tompkins, Vienna University of Technology: The sampling properties of a moment matching method 16.30- Discussion Wednesday, May 23, 2001: Morning Session Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor) 09.30-10.15 Franz Konecny, BOKU (Univ. of Agricultural Sciences), Vienna: Jump Diffusion Models for Streamflow Series 10.15-10.45 Coffee/tea 10.45-11.30 Sylvia Frühwirth-Schnatter, Leopold Sögner, Vienna University of Economics and Business Administration: MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility model 11.30-12.15 Omiros Papaspiliopoulos, Lancaster University: Bayesian inference for Non-Gaussian OU SV processes 12.15-14.30 Lunch break Wednesday, May 23, 2001: Afternoon Session Location: GM 3 Vortmann HS (Chemie-u.Masch.Inst., Getreidemarkt 9, 3rd floor) 14.30-15.15 Neil Shephard, Nuffield College, Oxford: Realised volatility and SV models: some more results 15.15-15.45 Coffee/tea 15.45-16.30 Claudia Klueppelberg, University of Technology, Munich: Optimal portfolios when stock prices follow a Lévy process 16.30- Discussion The workshop is supported by the Austrian Science Foundation (FWF) under grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and Management Science'). URL: http://www.fam.tuwien.ac.at/g2g -------------------------------------------------------------------------- Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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FAM Seminar Time Table: This Week
by Victor Olevskii 14 May '01

14 May '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Wednesday, 14.30, at TU FH, Turm A, 7. Stock, Seminarraum 105) 16.05.2001 - Florian Lercher: An introductory overview on optimal portfolio and singular control problems Please note the unusual time and place! SE Schachermayer (Thursday 16:30-18:00) "Derivatives in Financial Markets with Stochastic Volatility" (For details, see http://www.fam.tuwien.ac.at/~gaier/seminar) 17.05.2001 - Elisa Nicolato: Applications to Interest Rate Models ------------------------------------------------------------------------ Location: TU FH, Turm A, 6. Stock, SR 107 Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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FAM Seminar Time Table
by Victor Olevskii 07 May '01

07 May '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ This week: SE Schachermayer (Thursday 16:30-18:00) "Derivatives in Financial Markets with Stochastic Volatility" (For details, see http://www.fam.tuwien.ac.at/~gaier/seminar) 10.5.2001 - Johanna Gaier: Generalizations ------------------------------------------------------------------------ Next week: PV Schachermayer (Wednesday, 14.30, at TU FH, Turm A, 7. Stock, Seminarraum 105) 16.05.2001 - Florian Lercher: An introductory overview on optimal portfolio and singular control problems Please note the unusual time and place! SE Schachermayer (Thursday 16:30-18:00) "Derivatives in Financial Markets with Stochastic Volatility" (For details, see http://www.fam.tuwien.ac.at/~gaier/seminar) 17.05.2001 - Elisa Nicolato: Applications to Interest Rate Models ------------------------------------------------------------------------ Location: TU FH, Turm A, 6. Stock, SR 107 Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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Econometric Research Seminar - IHS, May 10
by Victor Olevskii 04 May '01

04 May '01

We cordially invite you to the Ökonometrisches Forschungsseminar / Econometric Research Seminar (M. Deistler, A. Jumah, A. Weber) on Thursday, May 10, 2001, at 9.15 a.m. Institute for Advanced Studies, SZ VI, Stumpergasse 56, A-1060 Vienna held by Gabriela DE RAAIJ and Burkhard RAUNIG (Österreichische Nationalbank) "Evaluating Density Forecasts of Stock Market Returns" Abstract: The paper deals with the evaluation of density forecasts, which have become quite popular in economics and finance. We use two probability integral transformations to evaluate such forecasts. The first transformation implies that the realizations transformed with respect to the forecasted densities of a stochastic process should be identically uniformly distributed if the density forecasts coincide with the densities underlying the true data generating process. The second transformation generates data that are identically normally distributed if the correct densities are forecasted. The second transformation enables us to apply standard statistical techniques to test for identically normally distributed data and hence for the quality of density forecasts. We use the methodology to evaluate density forecasts for daily returns of three stock market indices (S&P 500, DAX and ATX). Various models to forecast conditional densities are investigated. We consider the conditional normal distribution where the variances are estimated by moving averages or exponentially weighted moving averages, scaled t distributions and GARCH(1,1) variants with normally and t-distributed errors, respectively. In- and out-of-sample results for the density forecasting models are examined. Using the proposed methodology we find that GARCH models with t-distributed errors perform best in sample as well as out of sample. We are also able to demonstrate that certain misspecifications of a forecasting model are quite naturally reflected in the transformed series used for density forecast evaluation. Key words: Density forecasting, Forecast evaluation, Risk management JEL Classification: G10, C52, C53 With best regards, Nina Gritzky **************************************************************************** Mag. Nina Gritzky IHS - Institut für Höhere Studien / Institute for Advanced Studies Stumpergasse 56 A-1060 Wien (Vienna), Austria Tel: +43/1/59 991-145 Fax: +43/1/59 991-163 e-mail: gritzky(a)ihs.ac.at WWW: http://www.ihs.ac.at

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