Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 08.01.2008 Sühan Altay (Middle East Technical University, Istanbul)
"On forward interest rates: via random fields and
nuclear space valued semi-martingales"
Th, 10.01.2008 Mykhaylo Shkolnikov (Stanford University), Start-Seminar,
"Affine matrix-valued diffusions"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
------------------------------------------------------------------------
We also refer to a talk in math-space: http://math.space.or.at/
Tu, 10.01.2008, um 19:00 Uhr, math-space
Paul Embrechts (ETH Zürich)
"Holländische Deiche und
Risikokapital für Banken und Versicherungen"
Wie geht man mit Risiken um, rational und effektiv?
Wann wird ein Risiko als tolerierbar eingestuft?
Die klassische Antwort lautet: Wenn die Kosten für seine Minimierung
höher sind als die Kosten, die man bei Eintritt des Risikos zu erwarten hat.
Nicht allein die Flutkatastrophe des Jahres 1953 in Holland, auch
Risiken bei Hedgefonds und die jüngsten Kreditausfälle im
US-Immobilienmarkt, die sogar zur Existenzkrise von europäischen, im
nationalen Geschäft verwurzelten Instituten führten, kommen bei diesem
math.space-Vortrag zur Sprache.
address/map of math-space: http://math.space.or.at/kontakt/
------------------------------------------------------------------------
---------- Forwarded message ----------
Date: Sat, 22 Dec 2007 02:05:37 +0100
From: David Vyncke <david.vyncke(a)ugent.be>
Subject: Second announcement: Actuarial and Financial Mathematics Conference
(Feb 7-8, 2008)
*Actuarial and Financial Mathematics Conference (AFMathConf 2008)*
*"Interplay between Finance and Insurance"*
(Apologies for cross-posting)
Date: February 7-8, 2008
Registration deadline: January 11, 2008.
Location: Royal Flemish Academy of Belgium for Science and the Arts,
Brussels, Belgium
Main speakers: Laura Ballotta, Pauline Barrieu, Nicole Bäuerle, Freddy
Delbaen, Paul Embrechts, Farshid Jamshidian, Thomas Moeller and Antoon
Pelsser.
All Academics and Practitioners are welcomed to participate in this
Actuarial and Financial Mathematics Conference, please register online
at the AFMathConf website http://www.afmathconf.ugent.be
Participation is free. Note that there are a limited number of places
for lunches (10 Euro charge each) as well as for the conference dinner
(30 Euro charge), and this must be requested upon registration.
Participants are invited to be a discussant for one of the contributed
papers. Please indicate your choice(s) on the online registration form.
In January, the discussants will be contacted and the full papers will
be available.
For any further information we refer to the website
http://www.afmathconf.ugent.be
Best regards,
on behalf of Organizing Committee.
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 .
---------- 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
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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/