-------- 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
Financial and Actuarial Mathematics: Time Table
------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
TOMORROW:
30.01.2001 - Mark Owen: White noise calculus I
(In the framework of the seminar on Introduction to Malliavin Calculus)
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
01.02.2001 - No seminar, because of
Austrian Workshop on Credit Risk Management
(see http://www.fam.tuwien.ac.at/crm/)
------------------------------------------------------------------------
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, TU FH, Turm A, 6. Stock, SR 107)
30.01.2001 - Mark Owen: White noise calculus I
(In the framework of the seminar on Introduction to Malliavin Calculus)
------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00; TU FH, Turm A, 6. Stock, SR 107)
01.02.2001 - No seminar, because of
Austrian Workshop on Credit Risk Management
(see http://www.fam.tuwien.ac.at/crm/)
------------------------------------------------------------------------
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, 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 - A.V. Nagaev (Nicolaus Copernicus University of Torun):
On an optimal choice a European option
Abstract:
A discrete time model of financial market is considered. It is assumed
that only two types of securities, risky and non-risky, are circulated.
In the focus of attention is the question how to choose "better" option.
The stated fair play principle aims to protect to some extent the client
interests. The principle allows one to characterize the quality of
option by a functional and, therefore, to state correctly a problem of
optimization. The developed theory is of interest. It is illustrated by
an experiment implemented on the basis of real data.
------------------------------------------------------------------------
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, 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