by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 11 Oct 2006 14:27:56 -0400
From: Klaus Schmidt <klaus.schmidt(a)univie.ac.at>
Subject: ESI Junior Research Fellowships
Dear Colleague,
I would be grateful if you could bring this information to the attention of
suitable candidates.
With my best regards,
Klaus Schmidt
P.S.: Apologies if you get this twice (there was a computer glitch).
[ attachment available at ftp://ftp.esi.ac.at/pub/call/junior.pdf ]
--
-------------------------------------------------------------------------
Klaus Schmidt e-mail: klaus.schmidt(a)univie.ac.at
President Telephone: +43-1-4277 28285 (office)
Erwin Schroedinger Institute +43-650-409 8170 (mobile)
Boltzmanngasse 9 Fax: +43-1-4277 28299 (office)
A-1090 Vienna, Austria www: http://www.esi.ac.at
-------------------------------------------------------------------------
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 11 Oct 2006 13:07:06 +0200
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] RICAM Group-Seminar - Financial Mathematics: Prof.
Christian Hipp - Nov. 9, 10:30
GROUP: Financial Mathematics
Prof. Christian Hipp
University of Karlsruhe
Thursday, November 9, 10:30, HF136
Title: Ruin probabilities: the right risk measure for insurers
Abstract: Ruin probabilities are classical risk measures for insurance
which, however, are used scarcely in real world. We emphasize the importance
of ruin probabilities, show that they can be computed easily even for
complex problems, and demonstrate how they facili-tate control problems. In
the case of insurance risk management with tax, we compute ruin
probabilities as well as total present value of collected tax. With these
results we answer the question wether a tax authority should tax an insurer
who is close to ruin.
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
[attachment with close to equal content removed by admin]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 10 Oct 2006 17:18:34 +0200
From: Hans-Joachim Zwiesler <Hans-Joachim.Zwiesler(a)uni-ulm.de>
Subject: Ausschreibung Post-Doc-Stipendium an der Uni Ulm
Liebe Freunde,
anbei die Ausschreibung des Post-Doc-Stipendiums im Graduierten-Kolleg
"Modellierung, Analyse und Simulation in der Wirtschaftsmathematik" an
unserer Fakultät in Ulm zum 1.4.2007. Bewerbungsschluss ist der
15.11.06. Falls Sie geeignete KandidatInnen kennen, machen Sie diese
doch bitte auf diese Ausschreibung aufmerksam.
Mit herzlichen Grüßen
Ihr Hajo Zwiesler
[ attachment converted to plain text by admin ]
DFG-Graduiertenkolleg 1100
.Modellierung, Analyse und Simulation in der Wirtschaftsmathematik.
Fakultät für Mathematik und Wirtschaftswissenschaften
Universität Ulm
Ausschreibung eines Stipendiums
An der Fakultät für Mathematik und Wirtschaftswissenschaften der
Universität Ulm ist im Rahmen des von der Deutschen
Forschungsgemeinschaft (DFG) eingerichteten Graduiertenkollegs
Modellierung, Analyse und Simulation in der Wirtschaftsmathematik
zum 01.04.2007
ein Post-Doc Stipendium
für maximal zwei Jahre zu vergeben.
Zielsetzung des Graduiertenkollegs ist die Untersuchung ökonomischer
Fragestellungen mit Hilfe von mathematischer Modellbildung, Analyse
und Simulation. Diese werden in Zusammenarbeit mit Praxispartnern
erarbeitet und stammen aus den Themenbereichen:
. Bewertung komplexer Finanzprodukte
. Risikoanalyse und -management
. Optimale Strategien
. Ökonometrische Analyse und Strategien
. Knowledge Discovery und Data Mining
Zur Lösung der Problemstellungen werden die Kollegiaten in den
folgenden mathematischen Forschungsschwerpunkten arbeiten:
. Stochastische Modelle, ihre Analyse und Simulation
. Statistische Inferenz und Datenanalyse
. Stochastische Steuerungen und Optimierung
. Partielle Differentialgleichungen und Funktionalanalysis
. Finanzmathematische Modellierung und Analyse
. Numerische Analysis und Simulation
. Methoden der Software-Entwicklung und des Software-Qualitätsmanagements
Zur weiteren Information gibt es u.a. eine Übersicht über die Betreuer
des Graduierten-Kollegs, unser Studienprogramm sowie die Titel der
einzelnen Projekte unter: Webseite des GK1100:
http://www.mathematik.uni-ulm.de/gradkoll/
Die Höhe der Stipendiensätze richtet sich nach den Vorgaben der DFG:
http://www.dfg.de/forschungsfoerderung/formulare/download/1_30a_w.pdf
Absolventinnen und Absolventen mathematisch orientierter Studiengänge
werden gebeten, ihre aussagekräftigen Bewerbungsunterlagen
(Zeugniskopien, Lebenslauf, Lichtbild) bis zum 15.11.2006 an den
Sprecher des Kollegs zu senden. Bis zum An- tritt des Stipendiums muss
die Promotion abgeschlossen sein.
Sprecher des Kollegs:
Prof.Dr. Karsten Urban
Universität Ulm
Institut für Numerische Mathematik
Helmholtzstrasse 18
89069 Ulm
Telefon: +49-731-502-3535
Fax: +49-731-502-3548
email: gradkoll(a)mathematik.uni-ulm.de
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Thu, 05 Oct 2006 15:22:39 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position in mathematical finance/economics
The Mathematics Department at the University of British Columbia is
looking to fill an opening in mathematical finance/economics as I will
retire in 2007. The group in mathematical finance and economics
consists of I. Ekeland, U. Horst and R. Kuske in the Mathematics
Department, and A. Lazrak and T. Wang in the Finance Division. We
offer an MSc program in the field and we participate in MITACS
( http://www.mitacs.ca/main.php?mid=10000019&pid=79&proid=16 ), a
government sponsored initiative to foster interaction with industry.
UBC hosts the headquarters of PIMS, the Pacific Institute for
Mathematical Sciences ( http://www.pims.math.ca/ ) which sponsors many
workshops and sessions in diverse areas of the mathematical sciences.
We are looking for outstanding candidates with some post-doctoral
experience. For further details please see
http://www.math.ubc.ca/Dept/deptJobs.shtml#RegularFaculty
Ulrich Haussmann
Ulrich Haussmann Tel: 604-822-3045
Department of Mathematics Fax: 604-822-6074
University of British Columbia email: uhaus(a)math.ubc.ca
121 - 1984 Mathematics Rd. URL:
Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 4 Oct 2006 13:51:13 +0200
From: Alexander Schied <schied(a)math.TU-Berlin.DE>
To: Recipient List Suppressed: ;
Subject: postdoc positions in Berlin
Dear collegue,
I would be grateful if you could pass on the following information to potential
applicants.
Applications are invited for up to 3 postdoctoral research positions in the
area of mathematical finance. The positions will be part of the new Quantitative
Products Laboratory, a joint research institute of Deutsche Bank, Humboldt
University and TU Berlin.
See attachment for more details. In case of questions please contact
Ms. Florence Siwak
Institut für Mathematik, MA 7-4
TU Berlin
phone: +49-30-314 24602
siwak(a)math.tu-berlin.de
[attachment converted to plain text by admin]
TECHNISCHE UNIVERSITÄT BERLIN
3 postdoctoral research positions . Vgr. Ib BAT
Fakultät II . Quantitative Products Laboratory
Kennziffer: FO-833 (limited to 4 years / closing date for applications
12.10.2006)
Responsibilities: applications are invited for up to 3 postdoctoral
research positions in the area of mathematical finance; the positions
will be part of the new Quantitative Products Laboratory, a joint
research institute of Deutsche Bank, Humboldt University and TU Berlin
Requirements: we are looking for applicants who are interested in
cooperating with Deutsche Bank in applied research projects concerning
liquidity risk, new market risk models, market microstructure or risk
management; candidates should hold a PhD and possess a strong
background in mathematical finance and stochastics
Please send your written application and the usual documents to the
Präsident der Technischen Universität Berlin, Fakultät II, Sekretariat
MA 4-1, Straße des 17. Juni 136, 10623 Berlin.
Weitere Informationen zur Tel.: +49(0)30 314 . 23756
Stelle erteilt Ihnen: email: grentzer(a)math.tu-berlin.de
Diese Stellenanzeige ist Zeit 05.10.2006
erschienen in:
by Walter Schachermayer by way of Andreas Schamanek
Liebe Family,
my lecture "Ausgewaehlte Kapitel der stoch FM" (wednesdays 9:45 - 11:15) is
adressed to PhD students in Math Fin and related areas and might also be of
interest for postdocs etc.
The first lecture will take place on
wednesday, 11 Oct.
I have not made up my mind yet what I am going to teach and I see 3
possibilities.
1. Recent papers (like the enclosed note on affine processes by Jan Kallsen)
on topics of interest (risk measures, transaction costs, utility
maximisation etc). In this case I would spend typically 2 - 3 lectures on
one paper and then take the next one.
2. Selected chapters of Revuz/Yor
3. Selected chapters of Bertoin (Levy processes).
Maybe we can discuss on wednesday over some sushis which of these plans is
most popular among you.
Regards from Walter
Attachment note:
Jan Kallsen: A didactic note on affine stochastic volatility models.
http://pcstatistik15.ma.tum.de/kallsen/timechange3.pdf
Timetable
Tuesday, 15:00
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 03.10.2006 Benedikt Blum (TU München)
15:00
Deterministic Pricing of Options on Levy driven Assets
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, 27 Sep 2006 15:55:06 +0200
From: Antonella Basso <basso(a)unive.it>
Subject: Call for Papers Workshop on Quantitative Finance 2007
CALL FOR PAPERS
WORKSHOP ON QUANTITATIVE FINANCE
January 25-26, 2007
Department of Applied Mathematics
University Ca' Foscari of Venice (Italy)
The present edition is the eighth one of an increasingly successful
initiative whose aim is to set a common forum of ideas and discussions
among researchers and practicioners interested in finance. As in the
previous edition of the workshop, we wish to particularly encourage an
international participation of young researchers and both theoretical
and applied contributions.
We welcome contributions in any of the following subjects:
Mathematical Finance
Financial Economics
Computational Finance
Econometrics and Statistics of Financial Markets
Corporate Finance
Papers (even in preliminary form) should be submitted before November
24, 2006. Notification of acceptance will be received by December 23,
2006. Each accepted paper will be assigned to a discussant. The
deadline for Registration is January 14, 2007 (there is no
participation fee).
E-mail: <mailto:wqf2007@unive.it>wqf2007(a)unive.it
For further information, please visit the web-site
http://caronte.dma.unive.it/QuantitativeFinance2007 .
SCIENTIFIC COMMITTEE
Fabio Antonelli, Emilio Barucci, Antonella Basso,
Damiano Brigo, Marcello Esposito, Carlo A.
Favero, Fulvio Ortu, Loriana Pelizzon, Fabio Trojani.
ORGANIZING COMMITTE
Diana Barro, Antonella Basso, Monica Billio,
Marco Corazza, Martina Nardon, Loriana Pelizzon, Paolo Pianca.
Antonella Basso
Dipartimento di Matematica Applicata
Università Ca' Foscari di Venezia
Dorsoduro 3825/E - 30123 Venezia - Italy
Tel. +39-041-2346914 - Fax +39-041-5221756
E-mail address: basso(a)unive.it
Web page: http://www.dma.unive.it/~basso
by Walter Schachermayer by way of Andreas Schamanek
Ich unterstuetze diesen "Campaign-Aufruf" nachdruecklich und bitte
alle, einen Schneeball-Effekt auszuloesen.
LG Walter
---------- Forwarded message ----------
Date: Mon, 25 Sep 2006 08:59:00 +0200 (CEST)
From: Prof. Heinz W. Engl <heinz.engl(a)jku.at>
Subject: "austrian of the year"
dear colleagues
the newspaper "presse" elects as every year 3 "austrians of the year". in
the category science, one of the candidates is karl sigmund, the chairman
of the radon institute kuratorium.
although such election might be considered a bit questionable, they
are connected with a lot of publicity. if simgund should be chosen,
this would certainly give more public visibility for mathematics. in
addition to his mathematical work, karl sigmund also planned and
organized some high profil public exhibitions, e.g. on forced
emigration from austria of jewish scientists and on kurt gödel.
for these reasons, i would like to "campaign" for karl sigmund. the
election can be done by sending a form published (e.g. today) in
"presse" to the journal, i can be done online via
http://diepresse.com/austria06 or by sending an sms with the text
"austria 1e" to 0900 872872 (i do not know if voting by sms one has to
vote also for a candidate in the other categories, so that i suggest
that those who want to participtae (this is a suggestion , nothing
more, of course!) do so via internet).
best regards
heinz engl
---------------------------------------------------------------------------
Prof.Dr.Heinz W. Engl E-Mail: heinz.engl(a)jku.at
Institut fuer Industriemathematik secretary: doris.nikolaus(a)jku.at
Johannes-Kepler-Universitaet Phone:+43-(0)732-2468 9219
Altenbergerstrasse 69 secretary: +43-(0)732-2468 9220
A-4040 Linz Fax:+43-(0)732-2468 8855
Oesterreich / Austria
World Wide Web: http://www.indmath.uni-linz.ac.at/
and
Johann Radon Institute for Computational and Applied Mathematics (RICAM),
Austrian Academy of Sciences; http://www.ricam.oeaw.ac.at
EMail: heinz.engl(a)oeaw.ac.at
Mobile Phone: +43-(0)664-5209029 Mobile Fax: +43-(0)664-5274338
---------------------------------------------------------------------------
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 28.09.2006 Gregor Dorfleitner (WU Wien)
"Coherent risk measures, coherent capital allocations,
and the gradient allocation principle"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/