Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik" dürfen
wir Sie zu folgenden Vorträgen einladen:
Dienstag, 14. November 2006, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 2:
Prof. Dr. Ole E. Barndorff-Nielsen
University of Aarhus, Denmark
"Volatility and Power Variation"
(ab ca 17:30) Dr. Mark Podolskij
Ruhr-University of Bochum
"Estimation of Volatility Functionals in the Simultaneous
Presence of Microstructure Noise and Jumps"
http://www.fam.tuwien.ac.at/vr/20061114.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
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VR Finanz- und Versicherungsmathematik, http://www.fam.tuwien.ac.at/vr/
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Sun, 12 Nov 2006 14:56:45 -0000 (GMT)
From: Goran Peskir <goran(a)maths.manchester.ac.uk>
Subject: Two positions in Statistics/Applied Probability
Lecturer/Senior Lecturer in Statistics
Lecturer/Senior Lecturer in Statistics/Applied Probability
School of Mathematics, The University of Manchester
http://www.maths.manchester.ac.uk/
Closing date: 15/12/2006
Further particulars:
http://www.manchester.ac.uk/aboutus/jobs/academic/vacancy/index.htm?ref=783…
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Tue, 31 Oct 2006 08:44:17 -0800
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: post-doctoral position in mathematical finance/economics
The Mathematics Department at the University of British Columbia is
looking to fill a post-doctoral position in mathematical finance.
The group in mathematical finance consists of I. Ekeland, U. Horst and
R. Kuske in the Mathematics Department, and A. Lazrak in the Finance
Division. Details about the department can be found at
http://www.math.ubc.ca
The successful applicant will collaborate with a faculty member and
will teach one elementary course (3 hrs/week) for one or two semesters
per year. Interested applicants should submit a resume and arrange for
three letters of recommendation, to be sent either electronically or
by mail to uhaus(a)math.ubc.ca
Ulrich Haussmann
Department of Mathematics
University of British Columbia
121 - 1984 Mathematics Rd.
Vancouver, BC, V6T 1Z2
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: Mon, 30 Oct 2006 11:13:35 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
Subject: [Ricam-all] 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
[attachments removed by admin]
please note the unusual day/time/room of this week's seminars!
Mo, 30.10.2006 Kasper Larsen (Carnegie Mellon University)
15:00, SEM 104
Stability of utility-maximization
Mo, 30.10.2006 Stefan Gerhold
16:15, SEM 104
Automatisches Beweisen von Identit?ten
Vortragsreihe: Wissenswertes der Mathematik
Seminar room 104:
Freihaus of TU Wien, green area, 5th floor.
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, 25 Oct 2006 08:47:34 +0200
From: Helga <helga.prieler(a)actuariat.at>
Subject: OeFdV Seminar am 7.11.2006 -
"Risiken in der Personenversicherung und deren Beurteilung"
Seminareinladung
Dienstag, 07. November 2006
Thema : "Risiken in der Personenversicherung und deren Beurteilung"
Beginn 09:30 Uhr bis 17:00 Uhr
Ort : Hotel Modul, 1190 Wien, Peter Jordan Straße 78
Referate :
Dr. Klaus Wegenkittl - Präsident der AVÖ
Begrüßung und Einleitung
Dr. Richard Herrmann - Vorstand der Heubeck AG, Köln
"Value-at-Risk, Tail-Value-at-Risk und Schadenverteilung in der
Personenversicherung"
Dr. Winfried Heinen - Chefmathematiker der GenRe, Köln
"Mögliche Auswirkungen einer Pandemie auf die Leben-/Krankenversicherung"
Norbert Wackerle - Aktuar der PartnerRe Zurich Branch
Impaired Life Annuity - die Rente für Schwerkranke
Michael Winkler - Winterthur Versicherungen / Schweiz
Die Zukunft des Risikotransfers bei Lebensversicherungen
Dr. Klaus Wegenkittl - Präsident der AVÖ
Zusammenfassung und Abschluß
anschließend Diskussion
Weitere Informationen und das Anmeldeformular unter
http://www.avoe.at/veranstaltungen_avoe.html#Risiken
Aktuarvereinigung Österreichs (AVÖ)
Sekretariat AVÖ - Helga Prieler
Postfach 1
A-7002 Eisenstadt
Tel: +43 / 2682 / 72794
FAX: +43 / 2682 / 72794-0
EMail : sekretariat(a)avoe.at
Internet : www.avoe.at
by Walter Schachermayer by way of Andreas Schamanek
Who is interested? Let s discuss it over the brown bag. Walter
---------- Forwarded message ----------
Date: Mon, 16 Oct 2006 12:45:36 -0700 (PDT)
From: Ulrich Horst <horst(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
Subject: Summer School Banff 07
Dear Walter.
I am writing this e-mail to draw your attention to our upcoming summer school
"The Mathematical Modeling of Climate and Energy Risk".
The focus of the summer school will be on a series of five lectures (by R.
Carmona, C. Gollier, R. Guesnerie, T. Wang and probably R. Wets) on risk
sharing, optimization under uncertainty, and environmental risk.
The summer school is accompanied by a research workshop. Both events will take
place at the Banff International Research Station from
April 29, 2007 to May 07, 2007 (Summer School)
and
May 09, 2007 to May 13, 2007 (workshop).
I would like to invite you to the workshop and encourage you to promote one or
two of your students or postdocs for the summer school. Michael Kupper is
already on our list.
Accommodation and meals will be provided by BIRS.
I am looking forward to your response.
With best wishes,
Ulrich
Timetable
Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.
Tu, 17.10.2006 Prof. Laszlo Gyorfi
(Budapest University of Technology and Economics)
"Empirical portfolio selection
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, 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 ]
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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
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