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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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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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