Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
27.03.2001 - Marcel Straka: Optimal hedging using surrogate assets in
incomplete markets with transaction costs - open problems
Thursday:
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)
29.03.2001 - Christopher Summer: Scales in Mean-Reverting Stochastic
Volatility, Tools for Estimating the Rate of Mean Reversion
------------------------------------------------------------------------
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
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
SE Schachermayer (Thursday 16:30-18:00)
We start to discuss the book "Derivatives in Financial Markets
with Stochastic Volatility" by Fouque, Papanicolaou, and Sircar.
For details, see http://www.fam.tuwien.ac.at/~gaier/seminar/
22.03.2001 - Friedrich Hubalek:
Introduction to Stochastic Volatility Models
------------------------------------------------------------------------
NEXT WEEK:
PV Schachermayer (Tuesday 16:30-18:00)
27.03.2001 - Marcel Straka: Optimal hedging using surrogate assets in
incomplete markets with transaction costs - open problems
SE Schachermayer (Thursday 16:30-18:00)
"Derivatives in Financial Markets with Stochastic Volatility"
29.03.2001 - Christopher Summer: Scales in Mean-Reverting Stochastic
Volatility, Tools for Estimating the Rate of Mean Reversion
------------------------------------------------------------------------
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
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
Location: TU FH, Turm B, 2. Stock, HS6
20.03.2001 - Christoph Krischanitz:
Die Schadenreserve aus aktuarieller Sicht
Abstract:
Im Zuge der internationalen Rechnungslegung nach IAS bzw. US-GAAP kommt
der "Best Estimate"-Bewertung der ausstehenden Schadenreserve eine
steigende Bedeutung zu. In den letzten 40 Jahren wurden viele Verfahren
entwickelt, die alle auf dem "Schadendreieck" beruhen. Das Schadendreieck
ist eine Dreiecksmatrix, Zeilen und Spalten werden gebildet durch die
Anordnung des Schadenaufwandes nach Schadenanfallsjahr und Schaden-
abwicklungsjahr. Durch die Abwicklung der Schäden in vergangenen Jahren
sollen Rückschlüsse auf die fehlenden Aufwandsbeträge der Schadenmatrix
gezogen werden. Dieser Vortrag soll die gängigsten Verfahren vorstellen
das Dreieck zu einem Quadrat zu vervollständigen, sie vergleichen und auf
eine solide wahrscheinlichkeitstheoretische Basis stellen. Damit werden
auch Aussagen über Schätzgenauigkeit und Fehlerabschätzung möglich.
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
Location: TU FH, Turm A, 6. Stock, SR 107
We start to discuss the book
"Derivatives in Financial Markets with Stochastic Volatility"
by Jean-Pierre Fouque, George Papanicolaou and K. Ronnie Sircar.
22.03.2001 - Friedrich Hubalek:
Introduction to Stochastic Volatility Models
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~gaier/seminar/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
Location: TU FH, Turm B, 2. Stock, HS6
20.03.2001 - Christoph Krischanitz:
Die Schadenreserve aus aktuarieller Sicht
Abstract:
Im Zuge der internationalen Rechnungslegung nach IAS bzw. US-GAAP kommt
der Best Estimate"-Bewertung der ausstehenden Schadenreserve eine
steigende Bedeutung zu. In den letzten 40 Jahren wurden viele Verfahren
entwickelt, die alle auf dem "Schadendreieck" beruhen. Das Schadendreieck
ist eine Dreiecksmatrix, Zeilen und Spalten werden gebildet durch die
Anordnung des Schadenaufwandes nach Schadenanfallsjahr und Schaden-
abwicklungsjahr. Durch die Abwicklung der Schäden in vergangenen Jahren
sollen Rückschlüsse auf die fehlenden Aufwandsbeträge der Schadenmatrix
gezogen werden. Dieser Vortrag soll die gängigsten Verfahren vorstellen
das Dreieck zu einem Quadrat zu vervollständigen, sie vergleichen und auf
eine solide wahrscheinlichkeitstheoretische Basis stellen. Damit werden
auch Aussagen über Schätzgenauigkeit und Fehlerabschätzung möglich.
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
Location: TU FH, Turm A, 6. Stock, SR 107
We start to discuss the book
"Derivatives in Financial Markets with Stochastic Volatility"
by Jean-Pierre Fouque, George Papanicolaou and K. Ronnie Sircar.
22.03.2001 - Friedrich Hubalek:
Introduction to Stochastic Volatility Models
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~gaier/seminar/
-------- Original Message --------
Subject: Seminar advertisment
From: Friedrich Hubalek <fhubalek(a)fam.tuwien.ac.at>
To: vit(a)fam.tuwien.ac.at
Dear Victor,
please post this on the fam-list,
thank you
fh
================================================================
We are looking for more participants and speakers for the
seminar 105.021 SE AKVFM Mathematical Finance 2.
The aim of the seminar is to discuss recent or classical work
on mathematical finance beyond the introductory Black-Scholes
and Cox-Ross-Rubinstein framework.
This seminar is especially recomended for students doing a
diploma or doctoral thesis. The requirement for the seminar is
a basic knowledge of finance (say our course "Advanced
Mathematics of Finance" or Hull's book etc. A basic knowledge
of probability might be helpful.
Participants should prepare and give one or two talks in
English language.
The topic is negotiable (!!!), my suggestions for this semester
are
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David
Heath: Coherent Measures of Risk, Math. Finance 9 (1999),
no. 3, 203-228
already a "classic" by now. If somebody wants to get (and do)
an additional deeper mathematical view of this topic she can
try
Freddy Delbaen: Coherent Risk Measures on General Probability
Spaces http://www.math.ethz.ch/~delbaen/
Very enjoyable to read, full of surprises and very profound is
Embrechts, P., McNeil, A., Straumann, D.: Correlation and
dependency in risk management: properties and pitfalls
http://www.math.ethz.ch/~baltes/ftp/papers.html
A short, non-technical version appeard in May 1999 in the risk
magazine:
Embrechts, P., McNeil, A., Straumann, D.: Correlation:
Pitfalls and alternatives RISK Magazine, May 1999.
Another suggestion is the work of Fred Espen Benth on
Portfolio optimization in non Gaussian markets Several papers
and preprints can be found at http://www.math.uio.no/~fredb/
Copies of the papers are provided.
Anybody interested should contact immediately
F Hubalek (fhubalek(a)fam.tuwien.ac.at)
================================================================
Financial and Actuarial Mathematics Time Table
--------------------------------------------------------
TOMORROW, 13.03.2001, 16.30-18.30
Tomas Bjoerk - Finite dimensional realization of stochastic
volatility models (work in progress, joint with L.Svensson)
Thursday, 15.03.2001, 16.30-18.30
Friedrich Hubalek - Poissonian white noise calculus and
applications to hedging in a Poissonian market
--------------------------------------------------------
Location: TU FH, Turm A, 6.Stock, Seminarraum 107
Web-page: http://www.fam.tuwien.ac.at/schedule/
Attention!
On thursday, 8.3. our Seminar will exceptionally take place - as usual
at 16:30 - but at the Lecture hall of the Schroedinger Institute
(Boltzmanngasse 9)!
The reason is the previous talk of Anatole Vershik which some of the
participants of our Seminar might want to hear:
08.03.2001 - Anatole Vershik (Steklov Institute of Mathematics,
St.Petersburg): Lebesgue measure in infinite dimensional space
and properties of Levy's gamma process
(Time: 15.30-16.30; Location: ESI lecture hall)
So, FAM Seminar Time Table for this week is the following:
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
Location: TU FH, Turm A, 6. Stock, SR 107
06.03.2001 - Christopher Summer: Optimal solutions to utility
maximization and to the dual problem (the paper by Marco Frittelli)
------------------------------------------------------------------------
THURSDAY:
SE Schachermayer (Thursday 16:30-18:00)
Location: Lecture hall of the Schroedinger Institute (Boltzmanngasse 9)
08.03.2001 - Irene Klein: No-arbitrage criteria for financial markets
with efficient friction (the paper by Kabanov-Rasonyi-Stricker)
------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW:
PV Schachermayer (Tuesday 16:30-18:00)
06.03.2001 - Christopher Summer: Optimal solutions to utility
maximization and to the dual problem (the paper by Marco Frittelli)
------------------------------------------------------------------------
THURSDAY:
SE Schachermayer (Thursday 16:30-18:00)
08.03.2001 - Irene Klein: No-arbitrage criteria for financial markets
with efficient friction (the paper by Kabanov-Rasonyi-Stricker)
------------------------------------------------------------------------
NEXT WEEK:
PV Schachermayer (Tuesday 16:30-18:00)
13.03.2001 - Tomas Bjoerk: Finite dimensional realization of stochastic
volatility models (work in progress, joint with L.Svensson).
SE Schachermayer (Thursday 16:30-18:00)
15.03.2001 - Friedrich Hubalek: Poissonian white noise calculus and
applications to hedging in a Poissonian market
------------------------------------------------------------------------
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
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
TOMORROW, 01.03.2001:
SE Schachermayer (Thursday 16:30-18:00)
01.03.2001 - Mark Owen: White noise calculus II
(In the framework of the seminar on Introduction to Malliavin Calculus)
Attention: at the beginning of the seminar there will be some discussion
about future topics of the thursday seminar!
------------------------------------------------------------------------
NEXT TUESDAY, 06.03.2001:
PV Schachermayer (Tuesday 16:30-18:00)
06.03.2001 - Christopher Summer: Optimal solutions to utility maximization
and to the dual problem (the paper by Marco Frittelli)
------------------------------------------------------------------------
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
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
27.02.2001 - No seminar
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
01.03.2001 - Mark Owen: White noise calculus II
(In the framework of the seminar on Introduction to Malliavin Calculus)
Attention: at the beginning of the seminar there will be some discussion
about future topics of the thursday seminar!
------------------------------------------------------------------------
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