Timetable
Mo, 17.12.2007, 18:00-20:30, Zeichensaal 3
(Freihaus, 7th floor, green section)
Eugen Puschkarski (Treasury Division, ÖNB)
"Ex post risk attribution in a value-at-risk framework"
(Austrian chapter meeting of GARP -
Global Association of Risk Professionals)
Tu, 18.12.2007, 10:15, Sem 107
Christina Ziehaus
"Optimal Consumption and Terminal Wealth"
Th, 20.12.2007, 16:30, Sem 107
Christian Bayer, Josef Teichmann, Richard Warnung,
"Implementation of new hypo-elliptic simulated
annealing algorithms"
(Start Seminar)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 11.12.2007 Bertram Düring (TU Vienna)
"An inverse problem in option pricing and
kinetic models for wealth distribution"
Th, 13.12.2007 Ansgar Jüngel (TU Vienna), Start-Seminar,
"Entropy and entropy dissipation in nonlinear
diffusion equations"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 04.12.2007 Richard Warnung
On the construction of an integrand hiding the drift
of a Brownian motion with drift
Th, 06.12.2007 Florian Leisch, Start-Seminar,
Stochastic Portfolio Theory - How do functionally
generated portfolios perform under real market
conditions?
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday and Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 27.11.2007 Axel Helmert (FJA)
16:30, FH 2 (Freihaus of TU Wien, yellow area, 2nd floor
Vortragsreihe aus Finanz- und Versicherungsmathematik
"Finanzmathematische und Aktuarielle Methoden im Wandel:
Die Internationalisierung der Märkte in der
Lebensversicherung und Altersvorsorge und ihre Auswirkung
auf die mathematische Praxis"
Th, 29.11.2007 Josef Teichmann
16:30, seminar room 107 (Freihaus, green area, 6th floor)
START-seminar
"t.b.a."
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 20.11.2007
Claudia Ravanelli (Swiss Banking Institute, Zurich)
"Cash Sub-additive Risk Measures and Interest Rate Ambiguity"
Th, 22.11.2007
Christina Niethammer (Universität Konstanz), Start-Seminar,
"Portfolio Optimization and Optimal Martingale Measures
in the Presence of Unbounded Jumps"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 13.11.2007 Walter Schachermayer
"In which Financial Markets do Mutual Fund Theorems
hold true?
Th, 15.11.2007 Stefan Tappe (Vienna Institute of Finance)
"Invariant submanifolds for Levy driven stochastic
equations"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Additionally we invite you to the following one-day event:
Fr, 16.11.2007 +--------------------------------------------------+
| |
| Friday, November 16, 2007: |
| |
| One day mini-workshop on |
| Calibration, Lévy processes in finance, |
| FFT, and related issues |
| |
| http://www.fam.tuwien.ac.at/events/levy/ |
| |
+--------------------------------------------------+
Location: Lecture hall "Zeichensaal 3"
Freihaus Building, 7th floor, green section
9:00-10:00 Fiodar Kilin (Frankfurt School of Finance & Management)
"Accelerating the Calibration of Stochastic Volatility
Models"
10:00-11:00 Philip Mayer (Graz University of Technology)
"Robust calibration of local Lévy equity models"
11:30-12:30 Denis Belomestny (Weierstrass Institute for Applied
Analysis and Stochastics, Berlin)
"A jump-diffusion Libor model and its robust
calibration"
14:00-15:00 Flavio Angelini (Universita degli Studi di Perugia)
"Measuring the error of dynamic hedging: a Laplace
transform approach"
15:00-16:00 Peter Tankov (Universite Paris VII)
"Asymptotic analysis of hedging errors in models with
jumps"
16:30-17:30 Martin Keller-Ressel (Vienna University of Technology)
"Smile Asymptotics for Affine Stochastic Volatility
Models"
17:30-18:00 Stefano Herzel (Universita degli Studi di Perugia)
"An affine intensity model for large credit portfolios"
Participation is free.
Please register for the mini-workshop with a short e-mail to
Sandra.Trenovatz(a)fam.tuwien.ac.at .
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Fri, 9 Nov 2007 09:01:22 -0000
From: L Auger <auger(a)maths.ox.ac.uk>
Subject: FW: post-docs at the Institute (fwd)
Dear colleague,
I attach an advertisement for postdoctoral positions at the new
Oxford-Man Institute of Quantitative Finance. We are looking for
outstanding individuals to join this research centre, and I would be
gratefuil if you would bring the opportunity to the attention of
suitable candidates.
Best regards,
Sam Howison
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20071109T1257.pdf
Type: PDF document, version 1.4
Size: 80KB
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 06.11.2007 Gabriel Maresch
"Optimality and Monotonicity in the Monge-Kantorovich
Optimal Transportation Problem"
Th, 08.11.2007 Antonis Papapantoleon, Start-Seminar,
"The duality principle for multidimensional
semimartingales"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 31 Oct 2007 08:48:55 +0200
From: Zahn Gowar <Zahn.Gowar(a)wits.ac.za>
To: mfinance(a)cam.wits.ac.za
Subject: Bachelier 2008
Dear colleague,
The advertisement for the Bachelier 2008 Conference is attached. I
would be immensely grateful if you would bring this to the attention
of any potential delegates.
With best regards,
Lane Hughston
[PDF attachment removed and converted to plain text by admin]
BACHELIER FINANCE SOCIETY
The Fifth World Congress of the Bachelier Finance Society will take
place 15-19 July 2008 in London.
S.R.S. Varadhan, 2007 Abel Prize Laureate, will give a special guest
lecture.
Plenary speakers are:
. Tomas Björk (Stockholm School of Economics)
. Jak.a Cvitani. (California Institute of Technology)
. Philip Dybvig (Washington University, St Louis)
. Marco Frittelli (University of Milan)
. Jim Gatheral (Merrill Lynch, New York)
. Lars Peter Hansen (University of Chicago)
. Dmitry Kramkov (Carnegie Mellon University)
. Alex Lipton (Merrill Lynch, London)
. Philip Protter (Cornell University)
. Steven Shreve (Carnegie Mellon University)
. Nizar Touzi (Ecole Polytechnique, Paris)
The conference will begin on the afternoon of Tuesday 15 July with
registration and two plenary talks held at the Royal Geographical
Society, followed by a Reception. On the following days, plenary talks
will be held at the Royal Geographical Society and contributed talks
in parallel sessions at nearby Imperial College.
The conference concludes with a Banquet on the evening of Saturday 19
July.
The Bachelier Finance Society is the main professional society for
Mathematical Finance. Its objectives are to further the development of
the subject and related areas of stochastic analysis, optimisation,
statistics, and computational methods, and to foster strong links
between the academic and practitioner communities.
The Society was founded in 1996 and held its first World Congress in
Paris in 2000, the centenary of the publication of Louis Bachelier.s
famous thesis Théorie de la spéculation which initiated the use of
probabilistic methods in finance.
Authors are invited to submit papers for presentation at the Congress.
Details of the submission process will be found at the Congress
website http://www.bfs2008.com
The closing date for submissions is 25 January 2008.
The Congress Organizers are Mark Davis (Imperial College) and Lane
Hughston (King's College London).
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 30.10.2007 Erika Hausenblas (University of Salzburg)
"SPDEs driven by space time Poisson random measure
and its numerical approximation"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/