As this Thursday there is no START-seminar, we are pleased to announce
the talk of Tomas Björk within the lecture series of the VGSF this
friday (April 4th): http://www.vgsf.ac.at/activities/seminars.htm
Best regards, Sandra Trenovatz (FAM-office)
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Fr, 2008-04-04, 16:00-17:00
Vienna Institute of Finance (WU-H46),
1190, Heiligenstädter Strasse 46-48,
seminar room 1 (ground floor)
Tomas Björk
(Stockholm School of Economics)
"Time Inconsistent Stochastic Control"
Abstract:
In this talk we will present some recent work on non-classical
stochastic control problems which are "time inconsistent" in the sense
that they cannot be treated by dynamic programming. We present a
game-theoretic approach to such problems and we derive an extended
version of the Hamilton-Jacobi-Bellman equation in terms of a system of
PDEs for the determination of the associated subgame perfect Nash
equilibrium strategy. We also present applications from finance.
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A week later (April 11th) in the same lecture series there will be a
talk of Antoon Pelsser (University of Amsterdam).
For future talks of FAM please have a look at:
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 01.04.2008 Pierre Moussa homepage (CEA/Saclay, France)
"On the representation of Tr exp(A-tB) as
a Laplace transform"
This talk is within the Start-Seminar of Prof. Teichmann,
but this time it is on Tuesday instead of Thursday.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
As this week there were no FAM-seminars, we are pleased to announce
the talk of Jaska Cvitanic within the lecture series of the VGSF.
One of the next guests of the VGSF is Tomas Björk, see also:
http://www.vgsf.ac.at/activities/seminars.htm
Best regards, Sandra Trenovatz (FAM-office)
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Fr, 2008-03-14, 15:30-17:00
Vienna Institute of Finance (WU-H46),
1190, Heiligenstädter Strasse 46-48,
seminar room 1 (ground floor)
Jaska Cvitanic
California Institute of Technology
"Optimal Contract in Continuous Time"
Paper 1:
Optimal Contracts in Continuous-Time Models
In this paper we present a unified approach to solving contracting
problems with full information in models driven by Brownian Motion. We
apply the stochastic maximum principle to give necessary and sufficient
conditions for contracts that implement the so-called first-best
solution. The optimal contract is proportional to the difference between
the underlying process controlled by the agent and a stochastic,
state-contingent benchmark. Our methodology covers a number of
frameworks considered in the existing literature. The main finance
applications of this theory are optimal compensation of company
executives and of portfolio managers.
Paper 2:
Optimal contracting with random time of payment and outside options
We consider continuous-time Principal-Agent problems in which the payoff
is delivered at an optimal random time, in cases of moral hazard and/or
adverse selection. The principal can design contracts of a simple form
that induce the agent to ask for the payo® at the time of principal's
choosing. The optimal time of payment depends on the agent's and the
principal's outside options. In examples with CARA utilities, under
specific "stationarity" conditions on the outside options, it is not
optimal for the principal to give the agent the option to exercise the
contract at a random time. However, in general, the optimal payment time
is typically random. Examples of this include the following cases: the
agent can be ¯red, after having been paid a severance payment, and then
replaced by another agent; the agent and the principal have asymmetric
beliefs on the return of the output. In the case of adverse selection,
the agents of lower type exercise early, while the agents of higher type
wait until the end. The methodology we use for the general theory is the
stochastic maximum principle and its link to Forward-Backward Stochastic
Differential Equations and their reflected version, appropriate for
optimal stopping problems.
The papers to be presented can be downloaded from the VGSF website
(http://www.vgsf.ac.at/activities/seminars.htm).
Professor Cvitanic will come to WU-H46 (Building of Vienna Institute of
Finance) on Friday morning. Please contact professor Damir Filipovic
(http://www.vif.ac.at/filipovic/) if you would like to arrange an
individual meeting with him.
Timetable
Th, 06.03.2008, 16:30, Start-Seminar,
Freihaus of TU Wien
green area, 6th floor, seminar room 107.
Josef Teichmann
"How to calculate moments of affine processes easily"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-------------------------------------------------------------
Talk in the lecture series "Mathematisches Kolloquium":
We, 05.03.2008, 16:15,
Faculty for Mathematics, Vienna University,
Nordbergstraße 15, 1090 Wien,
green area, 2nd floor, room C 209
Damir Filipovic (http://www.vif.ac.at/filipovic/)
"Convex risk measures beyond L^\infty
(or, the canonical model space for law-invariant
convex risk measures is L^1)"
For further details (including abstracts) see
http://plone.mat.univie.ac.at/events/2007/tba
-------------------------------------------------------------
Timetable
Tuesday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 04.03.2008 Paul F.X. Müller (JKU Linz)
Compensated Compactnes, Separately convex Functions, and
Interpolatory Estimates between Riesz Transforms and
Haar Projections
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, 26.02.2008 Diana Auerswald (University of Oldenburg)
"Valuation of American Style Options - Extension and
Empirical Tests of a Nonparametric Pricing Algorithm"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tu, 19.02.2008, 16:30, Sem 107
Roman Muraviev (Tel-Aviv University)
"Growth Gap vs. Smoothness for Diffeomorphisms
of the Interval"
Fr, 22.02.2008, 11:30, Sem 107
Yuri Kifer (Hebrew University, Jerusalem)
"Game options, shortfall risk and their binomial
approximations"
Sem 107: Freihaus of TU Wien, green area, 6th floor, seminar room 107.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Mon, 11 Feb 2008 15:11:07 +0100 (CET)
From: bouchard(a)ceremade.dauphine.fr
Subject: European Summer School in Mathematical Finance
Dear all,
please find inclosed the announcement of the European Summer School in
Mathematical Finance which will be organized near to Paris in September
2008.
As already mentioned, many you reaserchers and Phd students will be
supported.
More informations will be available soon on the web page:
http://www.ceremade.dauphine.fr/~bouchard/ESCMF
With best regards,
The organizers: Bruno Bouchard, Monique Jeanblanc, Bernard Lapeyre, Gilles
Page`s, Huye^n Pham, Nizar Touzi
[attachment with same content as the web page removed by admin]
Timetable
Tuesday and Wednesday, 16:30,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 05.02.2008 Sergei Kucherenko (Imperial College London)
"Application of Global Sensitivity Analysis and
Quasi Monte Methods in finance"
We, 06.02.2008 Ales Cerny (Cass Business School, City Univ. London)
"Mean-Variance Hedging and Optimal Investment in Heston's
Model with Correlation"
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, 29.01.2008 Claudia Czado (TU München, Germany)
Pair-copula constructions of multiple dependence
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/