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Goll: Portfolio optimization with an insurance constraint, Sept 20, 2000
by Andreas Schamanek 13 Sep '00

13 Sep '00

We are proudly announcing the following talk: Thursday, Sept 20, 2000 Seminar Room of E107 at 14:00 (Freihaus, 6th floor, green area) Thomas Goll: Portfolio optimization with an insurance constraint Abstract A paper of Peter Lakner is presented. It studies the problem of maximizing the expected utility from terminal wealth subject to an insurance constraint that the wealth at the terminal time T can not fall below a given level K. Using Malliavin calculus an explicit formula for the optimal portfolio strategy is derived for a standard complete market model.

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Goll: Optimal Portfolios for loarithmic utility, Sept 7, 2000
by Andreas Schamanek 06 Sep '00

06 Sep '00

We are proudly announcing the following talk: Thursday, Sept 7, 2000 FAM-ily's Seminar Room at 16:30 (Freihaus, 7th floor) Thomas Goll: Optimal portfolios for logarithmic utility Abstract We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process.

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(no subject)
by Victor Olevskii 10 Jul '00

10 Jul '00

From: Martin Schweizer (mschweiz(a)math.TU-Berlin.DE) Informal Workshop in Berlin: Thursday noon, November 30 - Saturday afternoon, December 2. The idea behind this workshop is to bring together a small group of young researchers in Mathematical Finance so that they get to know each other and can discuss their projects. In order to offer some views of key directions in current research, we have decided to arrange four invited lectures of about one hour. Invited speakers: Mark Davis, Chris Rogers, Walter Schachermayer, Nizar Touzi. Organizers: Hans Foellmer, Uwe Kuechler, Martin Schweizer. ============================================================= Updated information on Conferences and more: http://www.fam.tuwien.ac.at/~vit/conf.html

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Reminder: today's seminar
by Victor Olevskii 04 Jul '00

04 Jul '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107) 04.07.2000 : Thorsten Rheinlaender Momentum Traders and Instabilities of Financial Markets There is empirical evidence that price processes of financial assets show stylized facts like volatility clusters and large price movements not accompanied by any dramatic news events. We discuss whether this observed behavior can be explained by the activity of momentum traders. These are agents which take past price movements as a signal for their investment decisions in a trend-chasing fashion. This is joint work together with Marcus Steinkamp, TU Berlin.

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Reminder: today's seminar
by Victor Olevskii 20 Jun '00

20 Jun '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107) 20.06.2000 Ching-Tang Wu : Muentz linear transform of Brownian motions

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univ.-ass. gesucht :-)
by Sandra Trenovatz 19 Jun '00

19 Jun '00

genauere angaben unter: http://www.fam.tuwien.ac.at/~sandra/jobs/20000615.htm mit freundlichen grüssen von prof. w. schachermayer

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Reminder: today's seminar
by Victor Olevskii 15 Jun '00

15 Jun '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107) 15.06.2000 Larbi Alili : Further results on some singular linear SDE

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Today's seminar: Reminder
by Victor Olevskii 13 Jun '00

13 Jun '00

Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at) PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm B, 2.Stock, HS 8) 13.06.2000. Irene Klein: Hedging under transaction costs in currency markets: a continuous-time model (Kabanov, Last)

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Reminder: today's seminar
by Victor Olevskii 06 Jun '00

06 Jun '00

_________________________________________________________________________ SOME FUNDAMENTAL THEOREMS IN MATHEMATICAL FINANCE: A STOCHASTIC PROGRAMMING DUALITY PERSPECTIVE _________________________________________________________________________ Lisa A. Korf Department of Mathematics University of Washington, Seattle Date. Tuesday, 6th of June 2000 ------------------------- Time. 16.30 ----- Location. Seminarraum 107, 6th floor, green area, TU WIEN - Freihaus -------------------------- ------- Abstract. Stochastic programming concerns the theory of making optimal decisions under uncertainty, in which a probability distribution has been assigned to the uncertain parameters of a problem. These are generally optimization problems in infinite-dimensional spaces. Much of the theory revolves around how to approximate such problems in finite dimensions so that they might be solved in a practical mathematical programming setting. In addition, a nice duality theory has been developed in the infinite- dimensional setting. It was only natural that financial applications took their place as one of the primary application areas in this field. Mathematical programming provides a flexible framework in which to model all kinds of stochastic price processes, as well as the unavoidable complications of constraints, costs, etc. which arise in practice. While much attention has been focused on the practical aspects of solving these problems, little attention has been paid to deriving some of the rich (finite and infinite-dimensional) theory of mathematical finance in a stochastic programming duality setting, where extensions to problems with transaction costs, etc. would be considered very natural. This lecture introduces stochastic programming duality, and delves into some of the fascinating issues involved in trying to derive the ``fundamental theorems of asset pricing'' (equating no arbitrage conditions with the existence of an equivalent martingale measure for the underlying asset price process) in a stochastic programming framework. __________________________________________________________________________ Further information about the schedule of seminars at the Department of Financial and Actuarial Mathematics is available at http://www.fam.tuwien.ac.at/schedule ! ------------------------------------

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FAM Seminar Timetable: next weeks
by Andreas Schamanek 31 May '00

31 May '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) +------------+---------------+-------------------------------------------+ | 06.06.2000 | Lisa Korf | Some Fundamental Theorems in | | | | Mathematical Finance: A Stochastic | | | | Programming Duality Approach [2] | +------------+---------------+-------------------------------------------+ | 13.06.2000 | Irene Klein | Hedging under transaction costs in | | | | currency markets: a continuous-time | | | | model (Kabanov, Last) | +------------+---------------+-------------------------------------------+ | 20.06.2000 | Ching-Tang Wu | Muentz linear transform of Brownian | | | | motions | +------------+---------------+-------------------------------------------+ SE Schachermayer (Time: Thursday 16:30-18:00, Location: TU FH, Turm A, 6.Stock, Seminarraum 107) +------------+-------------+---------------------------------------------+ | 15.06.2000 | Larbi Alili | Further results on some singular linear SDE | +------------+-------------+---------------------------------------------+ -------------------------------------------------------------------------- Last Modification: Wednesday, 31-May-2000 11:37:01 MEST by (jg) [3] ---------- Site notes: [1] http://www.fam.tuwien.ac.at/ [2] http://www.fam.tuwien.ac.at/pipermail/fam-news/2000-May/000012.html [3] mailto:gaier@fam.tuwien.ac.at

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