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FAM Seminar Reminder: Next Week
by Victor Olevskii 16 Jan '01

16 Jan '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) 23.01.2001 - Eva Strasser: Change of Numeraire and the Numeraire Portfolioin Financial Models Abstract: In my master thesis, I consider market models consisting of finitely many assets, which are modeled by continuous semimartingales. A numeraire is a strictly positive security, e.g. a fixed-interest security or, more generally, any security modeled by a strictly positive semimartingale. A tradable numeraire is any strictly positive, continuous semimartingale attainable in the market. One of the aims in my master thesis is to analyse the effects of a change of numeraire on the most important properties of a market model. Another important topic is the so-called numeraire portfolio, which is a special case of an inverse local martingale density. A main result of my master thesis is an existence criterion for the numeraire portfolio. It turns out that a certain structure condition of the market is necessary and sufficient for the existence of the numeraire portfolio. This result is based on the basic existence criterion for local martingale densities by Schweizer (1994). Moreover, I discuss some properties of the numeraire portfolio along the line of Becherer (1999). ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107) 25.01.2001 - Alexander Nagaev: Title to be announced ------------------------------------------------------------------------ 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 Reminder: This Week
by Victor Olevskii 15 Jan '01

15 Jan '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ Tomorrow, 16.01.2001 - No seminar ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 18.01.2001 - Josef Teichmann: The Clark-Hausmann-Ocone formula ------------------------------------------------------------------------ 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 Next Week: Corrections
by Victor Olevskii 09 Jan '01

09 Jan '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ On Tuesday, 16.1.2001 there will be NO lecture. The talk by Eva Strasser will be given on Tuesday, 23.1.2001: Eva Strasser: "Change of Numeraire and the Numeraire Portfolio in Financial Models". Abstract: In my master thesis, I consider market models consisting of finitely many assets, which are modeled by continuous semimartingales. A numeraire is a strictly positive security, e.g. a fixed-interest security or, more generally, any security modeled by a strictly positive semimartingale. A tradable numeraire is any strictly positive, continuous semimartingale attainable in the market. One of the aims in my master thesis is to analyse the effects of a change of numeraire on the most important properties of a market model. Another important topic is the so-called numeraire portfolio, which is a special case of an inverse local martingale density. A main result of my master thesis is an existence criterion for the numeraire portfolio. It turns out that a certain structure condition of the market is necessary and sufficient for the existence of the numeraire portfolio. This result is based on the basic existence criterion for local martingale densities by Schweizer (1994). Moreover, I discuss some properties of the numeraire portfolio along the line of Becherer (1999). ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/

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FAM Seminar Reminder: Next Week
by Victor Olevskii 08 Jan '01

08 Jan '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) 16.01.2001 - Eva Strasser: Change of Numeraire in Financial Models ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 18.01.2001 - Mark Owen: White noise calculus I ------------------------------------------------------------------------ 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 This Week: ATTENTION: Last Minute CHANGES!!
by Victor Olevskii 08 Jan '01

08 Jan '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ TOMORROW, 09.01.2001, Tuesday, 16:30-18:00: PV Schachermayer (16:30-18:00; TU FH, Turm A, 6. Stock, SR 107) Josef Teichmann: HJM-models from the point of view of differential geometry ------------------------------------------------------------------------ THURSDAY, 11.01.2001: SE Schachermayer (16:30-18:00; TU FH, Turm A, 6. Stock, SR 107) 16.30-17.15 - Josef Teichmann: The Clark-Hausmann-Ocone formula 17.15-18.00 - Rainer Hofer: Zu- und Abschläge für Pensionen bei Variation des Pensionsalters und anderer Parameter Abstract: Ziel meiner Diplomarbeit mit gleichlautendem Titel war es, die Zu- und Abschläge für Pensionen nach versicherungsmathematischen Grundsätzen (Zugrundelegung des Äquivalenzprinzipes, des Kapitaldeckungsverfahrens und von konkreten Sterbetafeln) zu quantifizieren und unter Zugrundelegung verschiedener Modellannahmen (getrennte und gemeinsame Sterblichkeiten für Männer und Frauen, unterschiedliche Rechnungszinssätze und Variation des zugrundeliegenden Ablösekapitals) mit den aktuellen gesetzlichen Zu- und Abschlagssätzen zu vergleichen. ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/

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FAM Seminar Reminder: Next Week
by Victor Olevskii 05 Jan '01

05 Jan '01

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Introduction to Malliavin Calculus (Organiser - Josef Teichmann) 11.01.2001 - Josef Teichmann: The Clark-Hausmann-Ocone formula ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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Happy New Millenium!!!
by Victor Olevskii 30 Dec '00

30 Dec '00

На Ваше имя пришла открытка. Отправитель Victor Olevskii. Вы можете увидеть ее: http://mirumir.list.ru/card.php3?id=977420575259&user_id=398801 Открытку можно просмотреть в течение 90 дней. Эта услуга абсолютно бесплатна! Приятного просмотра ! ____________________________________________________________ мирYмир - Русские открытки. Обрадуй друзей ! http://mirumir.list.ru/ ____________________________________________________________ You have received a greeting card from Victor Olevskii. You`ll see the personal greeting by using the following web location http://mirumir.list.ru/card.php3?id=977420575259&user_id=398801 Your greeting card will be available for the next 90 days. There is no charge for this service. Have fun!

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Happy New Millenium!!!
by Victor Olevskii 30 Dec '00

30 Dec '00

На Ваше имя пришла открытка. Отправитель Victor Olevskii. Вы можете увидеть ее: http://www.mirumir.ru/card.php3?id=977420575259&user_id=398801 Открытку можно просмотреть в течение 90 дней. Эта услуга абсолютно бесплатна! Приятного просмотра ! ____________________________________________________________ мирYмир - Русские открытки. Обрадуй друзей ! http://www.mirumir.ru/ ____________________________________________________________ You have received a greeting card from Victor Olevskii. You`ll see the personal greeting by using the following web location http://www.mirumir.ru/card.php3?id=977420575259&user_id=398801 Your greeting card will be available for the next 90 days. There is no charge for this service. Have fun!

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Today's seminar reminder
by Victor Olevskii 19 Dec '00

19 Dec '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8) 19.12.2000 - Jan Werner: Implementing Arrow-Debreu Equilibria by Trading Infinitely-Lived Securities > Abstract: > We show that Arrow-Debreu equilibria with countably additive prices in > infinite-time economy under uncertainty can be implemented by trading > infinitely-lived securities in complete sequential markets under two > different portfolio feasibility constraints: wealth constraint, and > bounded borrowing constraint. Sequential equilibria with no price > bubbles implement Arrow-Debreu equilibria, while those with price > bubbles implement Arrow-Debreu equilibria with transfers. The transfers > are given by the value of price bubbles on initial portfolio holdings. > Price bubbles may arise in sequential equilibrium under the wealth > constraint, but not under the bounded borrowing constraint.

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FAM Seminars Time Table: This Week
by Victor Olevskii 11 Dec '00

11 Dec '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8) 12.12.2000 - Krzysztof Ostaszewski: The new system of actuarial education in the United States Abstract: Effective January 1, 2000, the Society of Actuaries and the Casualty Actuarial Society have created a new system of actuarial education and examination in the United States. This system is also implemented for the Canadian actuaries, in cooperation with the Canadian Institute of Actuaries. In this presentation we will give the overview of the new education system, and how it changed the situation when compared to the historical ways of educating actuaries in North America. ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Introduction to Malliavin Calculus (Organiser - Josef Teichmann) 14.12.2000 - Damir Filipovic & Josef Teichmann: Finite-dimensional realizations of stochastic differential equations ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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