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reminder, this week's seminars
by Sandra Trenovatz 26 Feb '07

26 Feb '07

Tuesday, 27.02.2007 15:00 Gerhard Sorger (University of Vienna) "Macro-economic factors in modelling yield curve dynamics" 16:30 Pawel Polak (Warsaw University, Poland) "Immunization of the insurance portfolio under random interest rates" Both talks are located in seminar room 107: Freihaus of TU Wien, green area, 6th floor. For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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RICAM Colloquia: Prof. Wolfgang Runggaldier, March 26 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 21 Feb '07

21 Feb '07

---------- 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 [PDF attachment with same though less text content removed by admin]

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reminder, this week's seminar on thursday
by Sandra Trenovatz 19 Feb '07

19 Feb '07

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/

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postdoc-Stelle ... 2-year fixed term position, project "Valuation and hedging of insurance derivatives"
by Walter Schachermayer by way of Andreas Schamanek 14 Feb '07

14 Feb '07

---------- Forwarded message ---------- 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…

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reminder, this week's seminars
by Sandra Trenovatz 11 Feb '07

11 Feb '07

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.

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reminder, this week's seminars
by Sandra Trenovatz 05 Feb '07

05 Feb '07

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/

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Klimawandel
by Walter Schachermayer 29 Jan '07

29 Jan '07

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!

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Risk and Stochastics Day 2007 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 25 Jan '07

25 Jan '07

[This event has already been announced through FAM-news on November 22, 2006. The announcement now includes a preliminary programme.] ---------- Forwarded message ---------- 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

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[/Ricam-all] RICAM Group Seminar - Financial Mathematics: Prof. Nicole Baeuerle - March 6 (fwd)
by Walter Schachermayer by way of Andreas Schamanek 23 Jan '07

23 Jan '07

---------- 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 [PDF attachment with same text content removed by admin]

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reminder, this week's seminars
by Sandra Trenovatz 22 Jan '07

22 Jan '07

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/

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