---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 11 May 2006 08:43:40 +0200
From: ELIE Romuald <Romuald.Elie(a)ensae.fr>
Subject: <Bachelier> Workshop on risk measures, Evry, 6-7 July 2006
Groupe BACHELIER <http://www.bachelier-paris.com>
CMAP, CREST, INRIA, Paris VI, Paris VII, Paris IX, Université d'Evry.
(Org. : B. Bouchard, L. Campi, R. Cont, N. El Karoui, M. Jeanblanc, H. Pham,
M.-C. Quenez)
--------------------------------------------------
"Workshop on Risk Measures" at Evry University, on the 6th and 7th of July 2006.
Schedule:
Thursday july 6
10h00 R. A Dana. - G. Carlier (Ceremade) Microeconomic problems
with concave law invariant utilities.
10h45 F. Maccheroni, (Univ. Bocconi) Dynamic Variational
Preferences & Monetary Utility Functions
14h00 M. Fritelli (Firenze Univ) To be announced
14h45 S. Uryasev (Univ. of Florida, St. & Poor's) Generalized Deviations
are Counterparts to Risk Measures
16h30 M. Kupper, (ETH Zurich) Time-consistency
of indifference prices and monetary utility functions.
17h15 S. Kloeppel (ETH Zurich) Dynamic Good
Deal Bounds
Friday, July 7
10h00 M. Crouhy (IXIS-CIB) Risk Management,
Capital Attribution and Performance Measurement.
10h45 H. Föllmer (Humboldt University, Berlin) Convex risk measures:
consistency and asymptotic precision
14h00 F. Delbaen (ETH Zurich) To be announced
14h45 N. ElKaroui (CMAP) Optimal risk
transfer with interest rates ambiguity
16.30 J. Bion Nadal (CMAP) Dynamic risk
measuring and pricing in incomplete markets
Fees: 50 euros for academics, 150 euros for practitioners
For registration, please contact Valerie Picot at: valerie.picot(a)univ-evry.fr.
Map: How to reach Evry university?
http://www.univ-evry.fr/PagesHtml/Moyen_Acces.htm
Web site: http://www.maths.univ-evry.fr/mathfi/RM06.doc
---------- Forwarded message ----------
Date: Wed, 26 Apr 2006 08:58:46 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 25 Apr 2006 10:00:09 -0400
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Applications are invited for a postdoctoral fellowship position in
financial mathematics in the Department of Mathematics & Statistics.
This fellowship provides an opportunity to spend up to two years engaged
in research, with a limited amount of teaching, and is particularly
suitable for a talented young mathematician who has recently completed
the Ph.D. degree.
McMaster University is located 65 km from downtown Toronto, the
financial heartland of Canada. The Department of Mathematics and
Statistics is home to PhiMAC, the Financial Mathematics Lab at McMaster,
a group of faculty, postdoctoral fellows and graduate students working
in financial mathematics (please see http://www.math.mcmaster.ca/phimac/)
for more information. The appointee will be expected to participate in
PhiMAC seminars and meetings.
The Fellowship is open to candidates of any nationality and selection will be
based upon the candidate's research potential. McMaster is
committed to Employment Equity and encourages applications from all
qualified candidates, including aboriginal peoples, persons with
disabilities, members of visible minorities and women.
Starting July 1, 2006 or thereafter, the stipend will be CAD 40,000 per
annum plus a CAD 2,000 grant per annum for research expenses.
Applications will be accepted until the position is filled. Applications and
three letters of reference should be sent immediately to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
We are delighted to announce that Professor Nicos Christofides, Centre for Quantitative Finance, Imperial College, will be speaking on Portfolio Trading for Hedge Funds at our forthcoming conference "New Directions in Financial Modelling", London, 23-24 May 2006. The presentation covers optimization for calibration of pricing (also risk management) models to market data, a "hot topic" of great interest in the City at the moment.
Following are the details of Professor Christofides' presentation:-
Portfolio Trading for Hedge Funds
Nicos Christofides, Centre for Quantitative Finance, Imperial College
· The choice of asset and macroeconomic time-series to include in a dynamic trading model.
· Determination of driving factors using non-linear Independent Components
· Dynamic stochastic modelling with Neural Networks.
· Training by global optimization using the Bionomic Algorithm
· Construction of an arbitrage-free state transition graph for the tradable assets
· Solving an optimal portfolio trading problem using state-space relaxation within Dynamic Programming
· Examples of real-life results obtained from applications to hedge funds.
On 25 May Professor Christofides will also give a demonstration of the system - this computer demo will be of a real hedge fund and not an example.
For full programme details, including how to book, please go to www.carisma.brunel.ac.uk/finance2006 <http://www.carisma.brunel.ac.uk/finance2006> , www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> or write to info(a)unicom.co.uk <mailto:info@unicom.co.uk> for PDF brochure.
We look forward to welcoming you to the event; please also make your colleagues aware of it.
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
Timetable
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 25.04.2006 Karel Janecek (RSJ Invest, Prague)
Optimal investments with proportional profit-share fee:
Analysis of the high-water-mark fee structure
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 04.04.2006, Stefan Gerhold
"The current state of the OeBFA module
of the CD laboratory"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 16:19:12 +0100 (BST)
From: Sam Howison <howison(a)maths.ox.ac.uk>
Subject: Chair at Oxford
Dear Colleague
The Oxford Mathematical Finance group is delighted to announce that we are able
to appoint to a Chair in the subject. This is a senior position and offers an
exciting opportunity to take a leading role in one of the UK's top groups in the
subject. Further details can be found on
http://www.maths.ox.ac.uk/notices/vacancies/institute/professor3.shtml
I will be happy to answer any queries about this position.
Sam Howison
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 17:07:09 +0200 (CEST)
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 17:00:27 +0200
From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de>
Subject: Ausschreibung "SCOR-Preis für Aktuarwissenschaften 2006"
SCOR-Preis für Aktuarwissenschaften 2006
========================================
Sehr geehrte Kolleginnen und Kollegen,
zum nunmehr zehnten Mal stiftet das Rückversicherungsunternehmen SCOR
Deutschland, Tochtergesellschaft der französischen SCOR-Gruppe, die zu den
Top Ten unter den internationalen Rückversicherern zählt, in Zusammenarbeit
mit der Universität Ulm drei Preise zur Förderung von
Nachwuchswissenschaftlern deutschsprachiger Universitäten, deren Arbeiten
einen Bezug zu aktuarwissenschaftlichen Fragestellungen aufweisen. Die
Ausschreibung ist bewusst breit und interdisziplinär angelegt und erlaubt
auch die Einreichung von Dissertationen und Diplomarbeiten.
Im Namen der Jury und von SCOR Deutschland möchte ich Sie herzlich bitten,
die beiliegende Ausschreibung (siehe Attachment) an geeignete Interessenten
weiterzugeben und diese zur Teilnahme zu ermutigen.
Mit freundlichen Grüßen
Hans-Joachim Zwiesler
[attachment removed by admin, same data available at
http://www.scor.com/www/index.php?id=139&L=2 ]
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 27 Mar 2006 15:31:21 +0200
From: "Feichtinger, Gustav" <or(a)server.eos.tuwien.ac.at>
Subject: Akademie-Vortrag von Prof. Kaplan (Yale) ueber HIV
Die OeAW veranstaltet am 5. April im Rahmen der Boehm-Bawerk Lectures einen
Vortrag ueber Vorbeugungsstrategien zur HIV/AIDS-Pandemie (siehe unten).
Als Moderator der Veranstaltung lade ich dazu herzlich ein (Anmeldung nicht
erforderlich).
Prof. Kaplan ist einer der weltweit fuehrenden Experten zur effizienten
Allokation von Ressourcen fuer HIV-Praevention.
Mit besten Gruessen,
Gustav Feichtinger
xxxxxxxxxxxxxxxxxxx
Edward Kaplan (http://mba.yale.edu/faculty/professors/kaplan.shtml)
Sex, Drugs and Shadow Prices: The Economics of HIV Prevention
Worldwide, human immunodeficiency virus (HIV) infection and acquired immune
deficiency syndrome (AIDS) remain a major preventable cause of death, thus
the importance of programs intended to prevent HIV infection is obvious.
Less obvious is how to apportion those resources available for HIV
prevention among programs targeting members of different risk groups in
different locations. Getting this right requires joining the epidemiology of
HIV and the evaluation of prevention programs with economic analysis. How to
do so is the subject of this talk.
Zeit: 5. April, 18.15
Ort: Festsaal der Oesterreichischen Akademie der Wissenschaften, 1010 Wien,
Dr. Ignaz Seipel-Platz 2
Timetable
Tuesdays, 15:30-16:30 + 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 28.03.2006 15:30
Umut Cetin (London School of Economics)
An equilibrium model for default risk
Tu, 28.03.2006 16:30
Michael Hanke (Universität Innsbruck)
Structural Credit Risk Models Beyond Merton:
Solutions via PDEs vs. Change-of-Numeraire
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/