by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 3 Oct 2007 22:46:08 +0200 (CEST)
From: Prof. Heinz W. Engl <heinz.engl(a)univie.ac.at>
Subject: Radon Lectures (fwd)
dear colleagues,
i enclose information about the forthcoming radon lectures at the austrian
academy of sciences.
best regards
heinz engl
[3 PDF attachments removed by admin, please see
http://www.oeaw.ac.at/shared/news/2007/info_johann_radon_lectures.html ]
---------------------------------------------------------------------------
Prof.Dr.Heinz W. Engl E-Mail: heinz.engl(a)univie.ac.at
Vice Rector for Research and Career Development
University of Vienna Phone:+43-(0)1-427710050
Lueger-Ring 1
A-1010 Wien Fax:+43-(0)1-427710099
Oesterreich / Austria
and
Johann Radon Institute for Computational and Applied Mathematics (RICAM),
Austrian Academy of Sciences, A-4040 Linz, Austria
Fax: +43-(0)732-24685212
http://www.ricam.oeaw.ac.at
EMail: heinz.engl(a)oeaw.ac.at
Mobile Phone: +43-(0)664-5209029
---------------------------------------------------------------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
THIS WEEK / TOMORROW:
Th, 04.10.2007 Josef Teichmann,
"New Classes of OU-processes and applications to
Optimization procedures"
(Start-Seminar)
NEXT WEEK:
Tu, 09.10.2007 Christer Borell
(Chalmers University of Technology, Göteborg, Sweden)
"Topics on quasi-concave measures"
Th, 11.10.2007 Johannes Leitner,
"Pricing and Hedging with Globally and
Instantaneously Vanishing Risk"
(Start-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 24.09.2007, 15:30:
Michel Verschuere (Electrabel Trading and Portfolio Management)
"Hedging Under Uncertainty: Applications to Carbon Emissions Markets"
Freihaus of TU Wien, green area, 6th floor, seminar room 107
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------------
Workshop of the Wolfgang Pauli Institute:
"Optimal transportation structures, gradient flows
and entropy methods for applied PDE's"
http://www.wpi.ac.at/event_view.php?id_activity=87
We, 26.09.2007, 11.30
Josef Teichmann (TU, Vienna)
Stochastic Differential Equations with Values in Wasserstein Spaces
We, 26.09.2007, 12.15
Walter Schachermayer (TU, Vienna)
Optimal and better transport plans
WPI, Nordbergstrasse 15, 1090 Wien, Seminarroom C206 + C207
-----------------------------------------------------------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 11.09.2007 Martin Raic (University of Ljubljana, Slovenia)
Stein's Method and Large Deviations
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 04.09.2007, 16:30
Thomas Cass (University of Cambridge) homepage
Smoothness of density for solutions to stochastic
differential equations with jumps
Fr, 07.09.2007, 10:00
Zehra Eksi (Middle East Technical University, Ankara)
Comparative Study of Risk Measures
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
______________________________________________________________________
+-----------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| (AMaMeF), September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+-----------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Sponsored by Bank Austria, ÖBFA, ESF, Christian Doppler Society,
Ernst & Young, Insightful
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
Participants:
Close to 200 persons (more than 70 Ph.D. students) registered so far for
the conference. These come from more than 20 countries and four
continents. The list of participants can be found here:
http://www.fam.tuwien.ac.at/events/amamef2007/speaker.php
Registration:
Registration is still possible, details can be found here:
http://www.fam.tuwien.ac.at/events/amamef2007/registration.php
Scientific Program:
Mo, Sep. 17th: Educational workshop
(Speakers: Ernst Eberlein, Dorje C. Brody, Michèle Vanmaele)
Tu, Sep. 18th: Scientific conference
(Speakers: Bernt Øksendal, Chris Rogers, Freddy Delbaen,
Damir Filipovic, Martin Schweizer)
We, Sep. 19th: Scientific conference
(Speakers: Dmitry Kramkov, Mete Soner, Esko Valkeila,
Tomas Björk, Thaleia Zariphopoulou)
Tu, Sep. 20th: Scientific conference
(Speakers: Lukasz Stettner, Christoph Schwab,
Ole E. Barndorff-Nielsen, Ioannis Karatzas, Wolfgang Runggaldier)
Fr, Sep. 21st: Practitioner's day
(Speakers: Marek Musiela, Peter Schaller, Eva Strasser,
Ludger Overbeck)
Sa, Sep. 22nd: Scientific conference (half day)
(Speakers: Damien Lamberton, Bogdan Iftimie, Claudia Klüppelberg,
Giulia Di Nunno)
The detailed program - including contributed talks - can be found here:
http://www.fam.tuwien.ac.at/events/amamef2007/program.php
For abstracts and updates see
http://www.fam.tuwien.ac.at/amamef2007/abstracts.php
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
Organizing Committee:
- Peter Grandits
- Friedrich Hubalek
- Reinhold Kainhofer
- Johannes Leitner
- Walter Schachermayer
- Uwe Schmock
For registration details, conference fees, etc., please visit the
conference web site at <http://www.fam.tuwien.ac.at/amamef2007/>,
which will be updated continuously. We are looking forward to welcome
you in Vienna!
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 24.07.2007
Andreas H. Hamel
University Halle-Wittenberg, on leave
ORFE, Princeton University
"A duality theory for set-valued convex functions with
applications to set-valued convex risk measures"
Abstract:
Duality for extended real-valued convex functions is a well-studied,
even classical subject based on works of Fenchel, Moreau, Rockafellar,
among many others. A corresponding satisfying theory for functions
mapping into the power set of a partially ordered locally convex space
is still missing. Such a theory seems to be very desirable since it has
already been observed e.g. by Luc in 1989 that the dual of a convex
vector optimization problem 'is set-valued in nature'. Moreover, the
concept of convex set-valued risk measures has been defined recently in
financial mathematics which asks for a corresponding dual representation
theory.
We shall present a duality concept that is based on a new notion of
affine minorants for set-valued functions and show that almost every
concept (e.g. properness, sublinearity, conjugates, inf-convolution) and
result (e.g. biconjugation and Fenchel-Rockafellar duality theorems)
known in the scalar convex analysis can be established within the new
set-valued framework.
A special feature of the methodology is that proofs do not rely on the
corresponding scalar theory - as in almost every previous duality theory
for vector optimization problems. Finally, we shall show the theory at
work when applied to set-valued convex risk measures in order to give
dual representation results.
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 26.06.2007 Peter Brandner (BM für Finanzen),
14:00, Seminar Ökonomie der Pensionsfonds,
t.b.a.
Tu, 26.06.2007 Alain Desrosieres homepage (INSEE, France),
16:30, Start-Seminar,
The history of statistics and probability theory as a
genre: styles of writing and social uses
Th, 28.06.2007 Josef Teichmann,
16:30, Start-Seminar,
An invitation to random Schrödinger operators V
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
seminars within one week
Tu, 19.06.2007 Franz X. Hof (ECON, TU Wien),
14:00, Sem 107,
"The Gains from Pension Reform",
Seminar Ökonomie der Pensionsfonds
Tu, 19.06.2007 Peter Imkeller (Humboldt University at Berlin, Germany),
16:30, FH 2,
"Optimal cross hedging of insurance derivatives",
Vortragsreihe aus Finanz- und Versicherungsmathematik
Th, 21.06.2007 Gerald Teschl,
16:30, Sem107,
"An invitation to random Schrödinger operators IV",
Start-Seminar
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 12.06.2007, 14:00
Robert Holzmann (The World Bank, Washington, USA)
"Multi-pillar Pension Reforms:
Experience, Lessons, and Challenges"
(Seminar Ökonomie der Pensionsfonds)
Tu, 12.06.2007, 16:30
Pavel Gapeev (WIAS Berlin, Germany)
"Constructing jump analogues of diffusions
and application to finance"
Th, 14.06.2007, 16:30
Josef Teichmann,
"An invitation to random Schrödinger operators III"
(START-Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Mo, 04.06.2007, 9:30, HS 14:
Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
"Hedging defaultable claims: single default"
Mo, 04.06.2007, 11:15, HS 16:
Monique Jeanblanc (Université d'Evry Val d'Essonne, France)
"CDS prices in a general case - case of several
defaults - hedging strategies"
Tu, 05.06.2007, 14:00, Sem107, Seminar Ökonomie der Pensionsfonds:
Johannes Berger (IHS Wien)
Ten myths about social security reform (J. Stiglitz)
Tu, 05.06.2007, 16:30, Sem107:
Juan Pablo Ortega (Université de Franche-Comté, France)
"Stochastic Hamiltonian dynamical systems"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As next week there are two talks on monday, the newsletter is send out
earlier then usual. Best regards, Sandra Trenovatz.