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This Week FAM Seminars
by Victor Olevskii 20 Nov '00

20 Nov '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) 21.11.2000 - Mark Owen: Random Endowment in the Negative Wealth Case ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 23.11.2000 - Victor Olevskii: Skorohod's Integral ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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Another talk by Johannes Leitner
by Victor Olevskii 15 Nov '00

15 Nov '00

Financial and Actuarial Mathematics: Time Table --------------------------------------------------------- The second talk by J. Leitner is scheduled for this FRIDAY: 17.11.2000, 11.30-13.00 - Johannes Leitner: "Continuous Time CAPM, Price for Risk, & Utility Maximization (Continued)". Location: TU FH, Turm A, 6. Stock, Seminar Room 107 For the first talk abstract see http://www.fam.tuwien.ac.at/schedule/abs.html Please note the UNUSUAL day and time! --------------------------------------------------------- Web page: http://www.fam.tuwien.ac.at/schedule/

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This week FAM Seminars
by Victor Olevskii 13 Nov '00

13 Nov '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) 14.11.2000 - Johannes Leitner: Continuous Time CAPM, Price for Risk, & Utility Maximization Abstract: > In a continuous arbitrage free market without a risk-free bond > the relationship between the minimal martingale measure Q, the > resulting short rate for a locally risk-free bond priced according > to the chosen measure Q, and the implied instantaneous > Sharpe-ratio is considered using a dynamic CAPM approach. > We define locally efficient portfolios and investigate their > relevance for maximizing terminal utility in an incomplete market. > For a totally unhedgeable price for instantaneous risk, > isoelastic utility of terminal wealth can be maximized using a > portfolio consisting of the locally risk-free bond and a locally > efficient fund only. More general, optimal self-financing hedging > strategies can be described using (Forward-) Backward-SDEs. We > derive the relationship between the optimal portfolio, the optimal > martingale measure in the dual problem and the optimal value > function of the problem. In a markovian market model we find a > non-linear PDE for the value function. From the solution we can > construct under additional assumptions the optimal portfolio and > the solution of the dual problem. Furthermore, we find the > intertemporal price for risk relative to the locally risk-free > bond to equal the standard deviation of the variance optimal > martingale measure. In a market with zero bonds, the absolute > intertemporal price for risk is related to the discounted variance > optimal martingale measure and the zero bond prices. ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 16.11.2000 - Ching-Tang Wu: Malliavin Derivatives II ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/

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FAM Seminar Time Table: correction for 07.11.2000
by Victor Olevskii 30 Oct '00

30 Oct '00

The talk on Tuesday, 07.11.2000 (PV Schachermayer) will be given by Dr. Andrew Smith (Bacon & Woodrow): "The Effect of New Theory on Insurance Company Management" (Time: Tuesday 16:30-18:00, Location: TU FH, Turm B, 2. Stock, HS 8)

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FAM Seminars Time Table: next two weeks
by Victor Olevskii 30 Oct '00

30 Oct '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) 31.10.2000 - Christopher Summer: Partial hedging in a stochastic enviroment II 07.11.2000 - Mark Owen: Random Endowment in the Negative Wealth Case ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 02.11.2000 - No lecture 09.11.2000 - Ching-Tang Wu: Malliavin Derivatives ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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This week seminars
by Victor Olevskii 16 Oct '00

16 Oct '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2. Stock, HS 8) 17.10.2000 - Larbi Alili: Semi-martingale decompositions of generalized Brownian bridges ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) 19.10.2000 - Josef Teichmann: Wiener chaos and Malliavin Calculus (Information on the Seminar and some lecture notes can be found on http://www.fam.tuwien.ac.at/~jteichma/seminar.html)

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Maths Quiz 2000
by Victor Olevskii 12 Oct '00

12 Oct '00

Quite interesting event - see http://www.mq2000.org/ !

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FAM Seminar Time Table
by Victor Olevskii 11 Oct '00

11 Oct '00

Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2. Stock, HS 8) 17.10.2000 - Larbi Alili: Semi-martingale decompositions of generalized Brownian bridges 24.10.2000 - Peter Grandits: Partial hedging in a stochastic enviroment ------------------------------------------------------------------------ SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107) Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann 12.10.2000 - Josef Teichmann: Wiener chaos 19.10.2000 - Josef Teichmann: Wiener chaos and Malliavin Calculus ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html

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Time-Table: Talks at October 10, 2000 (Plueckhahn and Taschil)
by Andreas Schamanek 09 Oct '00

09 Oct '00

Financial and Actuarial Mathematics: Time Table ----------------------------------------------- http://www.fam.tuwien.ac.at/schedule/ PV Schachermayer (Time: Tuesday 16:30-18:00, Location: TU FH, Turm B, 2. Stock, HS 8) +-----------------+-----------------+------------------------------------+ | 10.10.2000 - | Georg | Das inverse Problem der | | 16:30 | Plueckhahn | Optionspreisbewertung | +-----------------+-----------------+------------------------------------+ | 10.10.2000 - | Ulla Taschil | Erstmalige Anwendung von | | 17:15 | | IAS/US-GAAP in | | | | Lebensversicherungsunternehmen - | | | | Einfuehrung aus aktuarieller Sicht | +-----------------+-----------------+------------------------------------+ Abstracts - Zusammenfassungen: Georg Plueckhahn Das inverse Problem der Optionspreisbewertung Wie kann man das Black-Merton-Scholes Modell erweitern, sodass eine Formel f�r die Optionspreisbewertung gefunden wird, die mit den Marktpreisen konsistent ist und die Pr�misse der Vollst�ndigkeit des Marktes unangetastet l�sst? Des weiteren sollen M�glichkeiten f�r die analoge Implementierung in diskreter Zeit vorgestellt werden. Ulla Taschil Erstmalige Anwendung von IAS/US-GAAP in Lebensversicherungsunternehmen - Einf�hrung aus aktuarieller Sicht Diese Diplomarbeit soll vorerst einmal einen �berblick �ber die versicherungstechnischen Unterschiede der nationalen Rechnungslegung in Versicherungsunternehmen zu internationalen Methoden geben. In einem weiteren Teil wird dann auf die Besonderheiten und Probleme bei der Umstellung auf IAS/US-GAAP hingewiesen, zu denen dann L�sungsvorschl�ge angeboten werden. Das Hauptaugenmerk der Ausf�hrungen liegt dabei aber nicht auf den wirtschaftlichen, sondern auf den versicherungsspezifischen Vorschriften.

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books
by Victor Olevskii 04 Oct '00

04 Oct '00

Hi, Those who took the following books out of my shelf are kindly requested to bring them back, ot at least to tell me where they could be currently found: Lamberton, Lapeyre: Stochastic Calculus Applied to Finance; Björk: Arbitrage Theory in Continuous Time; Revuz, Yor: Continuous Martingales and Brownian Motion. Thank you, Victor.

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