by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
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!
by Walter Schachermayer by way of Andreas Schamanek
[This event has already been announced through FAM-news on November
22, 2006. The announcement now includes a preliminary programme.]
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Date: Wed, 24 Jan 2007 17:23:42 -0000
From: P.M.Barrieu(a)lse.ac.uk
Subject: Risk and Stochastics Day 2007
Dear All,
On March 19th 2007, the Risk and Stochastics Group at the London
School of Economics organises the Risk and Stochastics Day 2007, the
first in a series of annual events aiming to communicate current
advances in stochastic methods for measurement and management of risk in
the areas of insurance, finance, and their interface.
The first Risk and Stochastics Day features the following
invited speakers:
- Hans Foellmer (Humboldt University, Berlin),
- Stewart Hodges (University of Warwick),
- Monique Jeanblanc (University of Evry),
- Mogens Steffensen (University of Copenhagen),
- Angelos Dassios (LSE)
- Adrian Gfeller (LSE).
They will present results from their research reflecting the
ongoing merger of insurance and finance into a comprehensive concept of
risk management. They will consider especially the problems of risk
measurement and modelling and the design of exotic products based on
risks at the frontier of finance and insurance.
A preliminary programme is now available (see attachment).
Further updates on the conference programme can be found on the Risk and
Stochastics webpage
<http://www.lse.ac.uk/collections/riskAndStochastics/events.htm>.
To attend this event, registration is necessary. To register,
please complete the attached form and return it to the Risk and
Stochastics Group (email: t.w.hewlett(a)lse.ac.uk or fax: +44 (0) 20 955
7416). Queries can be directed to the Chair of the organizing
Committee, Pauline Barrieu (email: p.m.barrieu(a)lse.ac.uk ).
Do not hesitate to forward this message to anyone who might be
interested.
I am looking forward to seeing you there,
Best wishes,
Pauline Barrieu.
To learn about the Risk and Stochastics Group at LSE, please go
to our website <http://www.lse.ac.uk/collections/riskAndStochastics/>
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20070125T2029.pdf
Type: PDF document, version 1.4
Size: 24KB
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 23 Jan 2007 15:28:57 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] 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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Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 23.01.2007 Maria Siopacha
Taylor Expansions of Option Prices
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, 19.09.2006 Tom A. Ashu (University of Kaiserslautern, Germany)
Asset Liability Management for Pension funds using
Conditional Value at Risk constraints
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/