Timetable
Tuesday & Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 12.12.2006 Martin Keller-Ressel, Michael Kupper
"Equilibrium Pricing"
Th, 14.12.2006 Thomas Wenger
(Westfäische Wilhelms-Universität Münster,
at the moment: consultant)
"Perturbative methods in algebra and finance:
are there any relations?"
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, 06 Dec 2006 17:01:23 +0100
From: Paul Embrechts <embrecht(a)math.ethz.ch>
Subject: Post Doc positions
Dear Colleagues,
Together with the University of Aarhus, RiskLab at the Department of Mathema-
tics of the ETH Zurich is looking for candidates for two 2-year Post Doc
positions. The unique aspect of these positions is the expected intensive col-
laboration between ETH (Paul Embrechts) and Aarhus (Soeren Asmussen and Bent
Jesper Christensen) as detailed in the attached document. Please communicate
these positions to potentially interested candidates.
Thanks and kind regards,
Paul Embrechts.
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--
Prof. Dr. Paul Embrechts phone +41 44 632 3419
Department of Mathematics Fax +41 44 632 1523
ETH Zurich email embrechts(a)math.ethz.ch
CH - 8092 Zurich http://www.math.ethz.ch/~embrechts
Switzerland Secretary: Mrs Gabriele Baltes
+41 44 632 3400
baltes(a)math.ethz.ch
Timetable
Thursday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Th, 07.12.2006 Tomas Björk (School of Economics, Stockholm)
Optimals Investment under Partial Information
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
by Walter Schachermayer by way of Andreas Schamanek
<quote>
Sehr geehrte Damen und Herren!
In der Anlage an diese Mail befinden sich die Ausschreibungstexte für
den Förderungspreis und die Studienpreise der ÖMG. Diese
Ausschreibungen werden wie üblich im nächsten IMN-Heft veröffentlicht.
Ich ersuche die Landesvorsitzenden wie bisher, diese Ausschreibungen
an alle Habilitierten im Bereich der Mathematikinstitute Österreichs
ehebaldigst auszusenden. (...)
Mit besten Grüßen
Robert Tichy
------------------------------
Institut für Analysis und Computational Number Theory (Math A)
Technische Universität Graz
Steyrergasse 30 - A-8010
</quote>
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Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgendem Vortrag einladen:
Dienstag, 28. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Prof. Mark Davis
Department of Mathematics, Imperial College London
"Dynamic models for portfolio credit risk"
http://www.fam.tuwien.ac.at/vr/20061128.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 22 Nov 2006 15:47:47 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] REMINDER: RICAM Group Seminar - Financial Mathematics: Dr.
Stefan Kassberger- Nov. 23, 11:00
GROUP: Financial Mathematics
Dr. Stefan Kassberger
University of Ulm and Wharton School, University of Pennsylvania
Thursday, November 23, 11:00, HF136
Title: Efficient calibration of time-changed Lévy models to forward implied
volatility surfaces
Abstract: Time-changed Lévy models are capable of accurately calibrating
implied volatilities of plain vanilla options across strikes and maturities
at a fixed point in time. However, the quality of a pricing model is not
only determined by its static fitting capabilities, but also by its dynamic
properties, in particular if it is to be applied to the pricing of exotic
derivatives. In this paper, we investigate the dynamic properties of a
popular time-changed Lévy model by first calibrating it to a set of S&P 500
index options and then studying the forward implied volatilities it gives
rise to.
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 same text content removed by admin]
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Wed, 22 Nov 2006 15:13:26 -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.
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 by admin -- it's available at
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by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 21 Nov 2006 15:54:18 -0600
From: Summer School on Dynamical Systems and Number Theory
<dsnt-school(a)finanz.math.tugraz.at>
Reply-To: dsnt-school(a)finanz.math.tu-graz.ac.at
Subject: [Dsnt-school-info] Summer School on Dynamical Systems and Number Theory
========================= PLEASE CIRCULATE ============================
Dear Colleague!
We would like to announce that a
Summer School on Dynamical Systems and Number Theory
http://www.math.tugraz.at/DSNT/
will be held at the Technical University of Graz (Austria) from July 9
to July 13, 2007. This summer school is supported by the Autrian
Science Foundation (FWF) and is part of the National Research Network
"Analytic Combinatorics and Probabilistic Number Theory".
The summer school is designed for PhD-students and young Post-Docs
with some background in ergodic theory and number theory. We kindly
ask you to distribute this announcement among young mathematicians
that are interested in these topics.
In particular, the program provides four courses on recent
developments in the interplay between dynamical systems and number
theory:
Vitaly Bergelson:
Ramsey Theory, Uniform Distribution, and Ergodic Theory
Manfred Einsiedler:
Dynamics on Locally Homogeneous Spaces
Douglas Lind:
Dynamics, Algebra, and Number Theory
Thomas Ward:
Dynamical Properties of Commuting Automorphisms
Costs for accommodation (hotel including breakfest) will be covered
for a limited number of participants. We cannot give any support for
travel expenses.
Details about the application process are available at the homepage of
the summer school at
http://www.math.tugraz.at/DSNT/
For further questions please contact one of the organizers or send an
email to
dsnt-school(a)finanz.math.tugraz.at
Deadlines:
* April 30, 2007: Application for support
* May 15, 2007 : Decision about support
* June 15, 2007 : Application for participation (without support)
Organizing Committee:
* Guy Barat, Technische Universitaet Graz
* Mathias Beiglboeck, Technische Universitaet Wien
* Gerhard Dorfer, Technische Universitaet Wien
* Peter Grabner, Technische Universitaet Graz
* Klaus Schmidt, Universitaet Wien
* Joerg Thuswaldner, Universitaet Leoben
* Reinhard Winkler, Technische Universitaet Wien
Contact:
dsnt-school(a)finanz.math.tugraz.at
Thank you very much for circulating this announcement.
Yours Sincerely,
the organizers
============================PLEASE CIRCULATE=================================
_______________________________________________
Dsnt-school-info mailing list
Dsnt-school-info(a)finanz.math.tu-graz.ac.at
https://finanz.math.tu-graz.ac.at/mailman/listinfo/dsnt-school-info
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgenden Vorträgen einladen:
Dienstag, 21. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Dr. Eva Farkas
Erste Bank, Wien
"Copulae - Modellierung des gemeinsamen Verhaltens von
Risikofaktoren in der modernen Finanz- und
Versicherungsmathematik"
http://www.fam.tuwien.ac.at/vr/20061121.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Dr. Siegfried Sellitsch
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen
o.Univ.-Prof. Dr. Walter Schachermayer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
-----------------------------------------------------------------------
VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Thu, 16 Nov 2006 15:15:02 -00
From: Heinz Geyer <hgeyer(a)ta-consult.com>
Subject: Quant Position - Model Validator in Risk Management
Maybe you can help me to find candidates for the positions listed below. The
vacancy may not be of interest to you personally, but as you are working in a
quantitative function you may be aware of someone who is looking for a new
challenge. In any case I wish to thank you for your attention.
Our client, a major international investment bank, is looking to hire for its
London office a
MODEL VALIDATOR, QUANTITATIVE RISK MANAGEMENT
The Role:
The role is one of a model validator in the Quantitative Risk Management Group,
which consists of seven people across New York and London. The position is
located in London. The successful candidate will have a highly quantitative
background, educated to at least Masters level or with a PhD in Mathematics or
another quantitative discipline, combined with extensive programming experience,
including C/C++ and ideally Visual Basic. Experience of statistics and
stochastic calculus is also preferable.
Daily tasks include:
Completing reviews of models, both produced in-house by the Front Office
Quantitative Analytics function, and those in external vendor systems. This
necessitates a full understanding and critique of the underlying mathematics,
combined with independent implementation and discussion of limitations and
weaknesses of models.
Extensive interaction with traders and front office quants. Individuals in the
group need to be able to develop a deep understanding of models in a very short
time frame, as often we will be brought into discussions about highly complex
models after significant effort has been expended by the Front Office on their
development.
Assisting risk managers and Finance with quantitative issues.
Assisting in the maintenance of risk inventories by model and prioritization of
models for review.
In certain cases, development of bespoke models to further assess those produced
by the Front Office.
Qualifications
Essential
Excellent quantitative and statistical skills.
Strong programming skills, including expertise in numerical analysis
Strong communication skills, both written and verbal. Ability to converse with
both traders and quants
Must Have Qualifications
At least Masters, or PhD in Mathematics or related quantitative scientific
discipline
C/C++ and preferably Visual Basic skills
Excellent Excel skills
Salary depending on experience plus performance-based bonus and usual banking
benefits.
Thank you in for considering this message.
Kind regards
Heinz Geyer
Temple Associatesl Executive Search
Tel: 0044 (0) 20-8343 7785
http://www.ta-consult.com/Geyer.htmhttp://www.ta-consult.com