by Walter Schachermayer by way of Andreas Schamanek
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Date: Tue, 6 Mar 2007 11:19:50 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] REMINDER: RICAM Group Seminar - Financial Mathematics:
Prof. Nicole Bäuerle - March 6
GROUP: Financial Mathematics
Prof. Nicole Bäuerle
University of Karlsruhe
Tuesday March 6, 16:00, HF136
Title: Dependence modeling for multivariate processes with applications in
finance and insurance
Abstract: In the first part of the talk we discuss different methods for
constructing multivariate counting processes and investigate their properties.
As interpretation of these counting processes we have claim arrivals of
different business lines of an insurance company in mind. Some asymptotic
results of Cramer type for ruin probabilities are also shown.
In the second part of the talk we investigate the class of multivariate Levy
processes and characterize dependence properties by means of the Levy measure
and the Levy copula. Comparison results for Levy processes are also given. These
findings are applied to some financial and actuarial models.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
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Date: Mon, 5 Mar 2007 22:06:40 -0000
From: "Grigoriev, Dr P." <pg82(a)leicester.ac.uk>
Subject: lectureship in math.finance or math.biology
2 lectureships are opened at the University of Leicester.
One position in Financial Mathematics or Mathematical Biology and
another in Pure Mathematics
These "new blood lecturer" positions assume reduced level of teaching
for the first four years (no teaching in the first year). More
information about the new blood scheme and the application procedures
can be found at
http://www.le.ac.uk/newblood/mathematics.html
Salary will be on the Lecturer grade 8 scale (from August 2007 £32,796
to £40,335 and exceptionally to £45,397). The expected starting date
is September 1 2007.
Closing date for applications is March 20th 2007. Interviews are
expected in April. The expected starting date is 1st September 2007.
-------------------
The Department of Mathematics has two New Blood positions, one in Pure
Mathematics and one in Applied Mathematics. New Blood appointments
carry reduced teaching and administrative loads and start up funding.
In addition to these positions there is the possibility of two further
appointments, one in Pure Mathematics and one in Applied Mathematics.
Applied Mathematics
Applied Mathematics at Leicester has an international reputation for
computational modelling and algorithm development and in applied
dynamics, from molecular dynamics to modelling of complex materials,
chemical and physical kinetics, stochastic models with physical and
financial applications, biological mathematics and approximation
theory.
The Applied Maths group has a growing interest in the areas of
mathematical biology and financial and actuarial mathematics, and is
seeking to appoint excellent scholars in these areas.
The Applied Mathematics Group achieved a grade 5 in the last Research
Assessment Exercise. It works within a nexus of strong research groups
at the University of Leicester, gathered together at the University's
Centre for Mathematical Modelling (MMC). The MMC supports a number of
interdisciplinary research projects linking mathematics with groups in
physics, engineering and other sciences. National and international
seminars and workshops are regularly run by the Group, many of these
linking to other areas of the sciences. The MMC operates a 160 Opteron
CPU computer cluster. The Group has a strong track record of
developing excellent young applied mathematicians. The Group is
currently developing stronger research links with the grade 5
departments of Physics and Astronomy, Engineering, Biology, and
Economics, and the grade 5* Department of Genetics.
Pure Mathematics
Leicester has a strong, established research group in Pure Mathematics
covering a range of algebraic, topological and geometric topics, and
with a particular emphasis on the relationships between these areas
and other parts of mathematics. The group currently has, or has
recently enjoyed, funding for specific projects from many sources
including the EU, EPSRC, Leverhulme Trust, Nuffield Foundation,
British Council, Royal Society and the LMS, and is frequently host or
organiser of international meetings and workshops.
In response to its grade 5 RAE success in 2001, the group has
continued to grow with recent and forthcoming appointments.
Closing date for applications is March 20th 2007. Salary will be on
the Lecturer grade 8 scale (from August 2007 £32,796 to £40,335 and
exceptionally to £45,397). The expected starting date is September 1
2007.
For more information contact Professor J. Levesley (Applied)
(jl1(a)mcs.le.ac.uk, tel +44 116 2523897), Professor J. Hunton (Pure)
(jrh7(a)mcs.le.ac.uk, +44 116 2525354) or go to the website
http://www.le.ac.uk/newblood/mathematics.html
Thursday (!), 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 08.03.2007 Antonis Papapantoleon (University of Freiburg, Germany)
Semimartingales and Lévy processes in finance: duality
and valuation
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Tuesday, 27.02.2007
15:00
Gerhard Sorger (University of Vienna)
"Macro-economic factors in modelling yield curve dynamics"
16:30
Pawel Polak (Warsaw University, Poland)
"Immunization of the insurance portfolio
under random interest rates"
Both talks are located in seminar room 107:
Freihaus of TU Wien, green area, 6th floor.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
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Date: Fri, 16 Feb 2007 10:29:36 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26
Prof. Wolfgang Runggaldier
University of Padua
Monday, March 26, 17:15, HS 6
Title: Contagious default: Application of methods of Statistical
Mechanics in Finance.
Abstract: Firms may default and thus not be able to honor their
financial obligations. Default is in general contagious (infectious).
Its study is therefore important for an institution holding a credit
portfolio of a large number of defaultable firms.
Interacting particle methods turn out to be a convenient tool to deal
with these phenomena. We shall study limit distributions when the
number of firms goes to infinity as well as their approximations when
the number of firms is finite but large. This allows to explain
various phenomena like default clustering and, in general, it allows
to view a credit crisis as a microeconomic phenomenon driven by
endogenous financial indicators.
(Based on joint work with P. Dai Pra, E. Sartori, M. Tolotti).
Annette Weihs
Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences
Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs(a)oeaw.ac.at
http://www.ricam.oeaw.ac.at
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Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 22.02.2007
Nikolaos Georgiopoulos (Vienna Graduate School of Finance)
"Real Options Valuation under expected utility maximization"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
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Date: Tue, 13 Feb 2007 12:42:53 -0000
From: T.Rheinlander(a)lse.ac.uk
Research Assistant
Salary: £23,515 to £26,064 pa inc. 2-year fixed term position
Applications are invited for a research position funded by the
Engineering and Physical Sciences Research Council (EPSRC) at the
London School of Economics. You will work on the project .Valuation
and hedging of insurance derivatives. with Dr Thorsten Rheinlander.
Candidates should have a PhD (or expect to submit a thesis for PhD
before April 2007), preferably in Statistics or a related field.
Alternatively, a promising candidate for our PhD program would also be
considered.
For a full application pack, please see the instructions on how to
apply, job description, the person specification, and the personal
details form.
The closing date for applications is: 19 February 2007
Details at http://www.lse.ac.uk/collections/recruitment/jobsAtLSE/CurrentVacancies.htm…
Wednesday, 14.02.2007,
11:00, seminar room 107 (different day and time!)
Catherine Rainer (Université de Brest, France)
Stochastic differential games with asymmetric information
We investigate a two-player zero-sum stochastic differential game in
which the players have an asymmetric information on the random payoff.
We prove that the game has a value and characterize this value in terms
of dual solutions of some second order Hamilton-Jacobi equation.
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
seminars within one week
Tu, 06.02.2007 Takahiro Tsuchiya (Ritsumeikan University, Japan)
What is the natural scale for a Lévy process in
modelling term structure of interest rates?
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Betreff: Weltweite "5-min.-Aktion" zum Klimawandel.
Alles Ausschalten am 1.Februar 2007 von 19h55 bis 20h00
Am 1. Feb 2007: können Sie an der weltweit größten Bewegung gegen den
Klimawechsel teilnehmen. Verschiedene Naturschutz-Organisationen senden
eine Aufforderung an alle BewohnerInnen unseres Planten, die 5
"Schweigeminuten": jede(r) soll Licht, Strom und sonstiges ausschalten,
zwischen 19h55 und 20h00. Fünf Minuten, nicht nur um Energie zu sparen,
sondern besonders, um die Bevölkerung, die Medien und PolitikerInnen auf
die tägliche Energieverschwendung aufmerksam zu machen. Ein Akt, der nur
5 Minuten dauert, der nichts kostet, der aber Regierungen zeigt, dass
die Klimakatastrophe ein schwerwiegendes Thema der Weltpolitik sein
sollte.
Warum dieses Datum?
Am ersten Februar 2007 veröffentlicht die UNO die neuesten
Erkenntnisse zum Thema Klimawechsel!