Financial and Actuarial Mathematics: Time Table
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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
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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
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
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
Tomorrow:
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)
3.5.2001 - Johanna Gaier: Application to American Derivatives
------------------------------------------------------------------------
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)
"Derivatives in Financial Markets with Stochastic Volatility"
(For details, see http://www.fam.tuwien.ac.at/~gaier/seminar)
26.4.2001 - Marcel Straka: Implementation and Stability,
Hedging Strategies, Application to Exotic Derivatives
------------------------------------------------------------------------
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: No seminar
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)
05.04.2001 - Peter Grandits: Asymptotics for Pricing European Derivatives
------------------------------------------------------------------------
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
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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
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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)
================================================================