Wednesday, 04.01.2006, 16:30, Sem 107
Andreas Hula (TU Wien)
"Nonarchimedean Functional Analysis"
The talk will give a general view of functional analysis
over nonarchimedean fields. The main focus will be on
differences and similarities to the archimedean case.
Eventually the nonarchimedean spectral theorem can be
treated too.
The talk will be in german.
---
For further talks and events
(6 talks and a half-day workshop in january)
see:
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 22 Dec 2005 14:57:57 -0000
From: Sarah Doberska <SDoberska(a)cepr.org>
Subject: Call for Papers: Spring Meeting of the Adam Smith Asset Pricing (
ASAP) Workshop; London School of Economics, 17 March 2006
Call for Papers: Deadline 30 January 2006
Spring Meeting of the Adam Smith Asset Pricing (ASAP) Workshop
London School of Economics, 17 March 2006
Organizers: Tarun Ramadorai (University of Oxford and CEPR), Raman
Uppal (London Business School and CEPR) and Dimitri Vayanos (London
School of Economics and CEPR)
On behalf of the organizers, I am writing to invite you to submit a paper to
the spring 2006 meeting of the Adam Smith Asset Pricing (ASAP) Workshop,
which will be hosted by the Financial Markets Group at the LSE. The
Workshops aim to increase interaction between people on all continents of
our planet who share an interest in asset pricing theory and empirical work,
and to give young researchers an opportunity to present their research and
get early feedback on their work.
Four to six papers will be selected for presentation at the Workshop, with
25 minutes for presentation, 15 minutes for a discussant, and 20 minutes for
a general discussion. The papers for the workshop will be selected by the
organizers.
Authors whose papers are accepted will be notified by Monday 6 February,
2006. There is no funding available for travel or accommodation, but the FMG
will provide lunch.
If you would like to attend the workshop and/or submit a paper to be
presented at the workshop, please complete and return the attached
application form by 30 January 2006. If you would like to submit a paper,
please email it to me ( SDoberska(a)cepr.org <mailto:SDoberska@cepr.org> ) by
the same date. Please do not send your papers directly to Tarun, Raman or
Dimitri!
We encourage you to forward this message to other people who may be
interested in participating in this workshop.
If you have any queries regarding this meeting, please do not hesitate to
contact us on +44 20 7878 2900.
Yours sincerely
Sarah Doberska
Meetings Assistant
CEPR
90-98 Goswell Road
London
EC1V 7RR
T: +44 20 7878 2900
F: +44 20 7878 2999
http://www.cepr.org
[attachment removed and saved to below URL by admin]
URL : http://www.fam.tuwien.ac.at/listsdata/20051222T1715.doc
Type: Microsoft Office Document
Size: 76800
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Thu, 15 Dec 2005 11:26:57 -0300 (UYT)
From: Ernesto Mordecki <mordecki(a)cmat.edu.uy>
Subject: communications ICAM
Dear Collegues:
Time to submission of communications to ICAM 2006
is ending. We have two submissions (see below).
I think it is wise to wait a little more.
I asked for two collegues for submission here in the region,
and would like to know if you can help us to complete
the 4 or 5 communications, suggesting to some
collegues or students to participate.
There is information about support in
http://icam2006.cmm.uchile.cl/index.php
Best regards,
Ernesto
-------------------------------------
Pennanen Teemu -- Teemu . Pennanen @ hse . fi
Title:
Nonlinear price processes
Abstract:
This paper presents a stochastic model for trading in double auction
markets where the marginal cost of buying is a
nondecreasing function of the number of shares bought. The model admits a
generalized version of the fundamental theorem of
asset pricing.
------------------------------------------
\title{Convex Hedging in Incomplete Markets\\ and Generalizations}
\author{Birgit Rudloff, \\Martin-Luther-University Halle-Wittenberg, Germany}
In incomplete financial markets not every contingent claim can be
replicated by a self-financing strategy. The risk of the resulting
shortfall can be measured by convex risk measures. The dynamic
optimization problem of finding a self-financing strategy that
minimizes the convex risk of the shortfall can be split into a
static optimization problem and a representation problem. The
optimal strategy consists in superhedging the modified claim
$\widetilde{\varphi}H$, where $H$ is the payoff of the claim and
$\widetilde{\varphi}$ is the solution of the static optimization
problem, the optimal randomized test.
\\
In this talk, we will deduce necessary and sufficient optimality
conditions for the static problem using convex duality methods. We
deduce the dual problem and prove the validity of strong duality.
The solution of the static optimization problem turns out to be a
randomized test with a typical $0$-$1$-structure.
\\
The results can be generalized to solve the hedging problem for a
more general class of risk measure. Furthermore, we can apply
these results to the problem of testing compound hypothesis. This
extends previous results.
\end{document}
----------------------------------------------------------
Ernesto Mordecki
http://www.cmat.edu.uy/~mordecki mordecki(a)cmat.edu.uy
Postal Address: Facultad de Ciencias. Centro de Matematica
Igua 4225, C.P. 11400, Montevideo, Uruguay
Tel: (598 2) 525 25 22 Int. 122 Fax: (598 2) 522 06 53
-----------------------------------------------------------
Tuesdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 13.12.2005 Paolo Guasoni (Boston University)
Consistent Prices and Face-lifting Pricing under Transaction
Costs (open abstract)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Sun, 11 Dec 2005 12:50:35 -0500
From: Paul Feehan <feehan(a)rci.rutgers.edu>
Reply-To: director(a)finmath.rutgers.edu
Subject: Math finance postdoctoral position at Rutgers University
Dear Professor Schachermayer,
I would like to bring the September 2006 launch of our master's in
mathematical finance program to your attention. A description of our
program and the faculty involved is available at
http://www.finmath.rutgers.edu
Subject to budget constraints, we hope to have one non-tenure-track
assistant professor position available for a recent PhD recipient
specializing in mathematical finance, probability theory, or stochastic
processes. This would be an attractive position because of the
opportunities presented by the new program at Rutgers and the proximity
of our campus to major financial centers in New Jersey and New York and
research groups at Princeton, Columbia, and NYU.
I would be grateful if you could please direct any candidates you
believe would be suitable to our Positions Available page for
application instructions,
http://www.math.rutgers.edu/positions/position.html
and suggest that they notify either myself or Professor Dan Ocone
(ocone(a)math.rutgers.edu) when they submit their application. I encourage
potential candidates to apply as soon as possible. Please feel free to
forward this email to anyone you think might be interested.
Best regards,
Paul Feehan
--
Director
Mathematical Finance Option
Department of Mathematics
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019
Telephone: (732) 445-3864
Fax: (732) 445-5530
Email: director(a)finmath.rutgers.edu
-------- Original Message --------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 05 Dec 2005 18:57:07 +0200
From: METE SONER <msoner(a)ku.edu.tr>
Subject: Position in MathFin in Bilkent
Dear Friends
Attached is a job announcement in Bilkent University in Ankara. Most
of you know the university but for the benefit of the others, Bilkent is
the first private university in Turkey and an excellent one. They would
like to establish a research group in mathematical finance. They and I
also would appreciate it if you let those you might be interested.
with best wishes,
Mete
------------------
Bilkent University
New Position in Mathematical Finance
The Faculty of Business Administration at Bilkent University seeks
applications from qualified candidates to fill a new position in
Mathematical Finance. Expertise in stochastic calculus,
continuous-time finance, and/or financial optimization, demonstrated by
a suitable publication record, is required. Rank is open and salary
will be commensurate with experience and publication record.
Bilkent University is a private, not-for-profit, research-intensive
university in Ankara, Turkey. The language of instruction is English.
Bilkent attracts students of the highest caliber. It has 10,000
undergraduate and 1,000 graduate students, and a teaching staff of
1,000. Faculty members come from 40 different countries and most are
trained in leading North-American schools.
The Faculty of Business Administration has over 30 faculty members, and
is a full-service faculty offering Bachelor, MBA, MSc, and PhD programs,
as well as Executive Education. The regular teaching load is 4 courses
per year, with a maximum class size of 50 in the undergraduate program
and 35 in the MBA program
Bilkent offers excellent research, teaching, and computing facilities.
Faculty members are provided with research and teaching assistants,
provision for international travel, health and other benefits, and
rent-free furnished housing on campus, where the suburban location
offers a pleasant living environment. There is also an excellent
international school(with grades pre-K to 12) for those faculty members
with families. For more information on Bilkent's programs and
facilities, visit http://www.bilkent.edu.tr/.
The closing date for applications is January 31, 2006. Resumes should
be mailed to Prof. Erhan Erkut, Dean, Faculty of Business
Administration,Bilkent University, Ankara 06800, Turkey, or e-mailed to
erkut(a)bilkent.edu.tr.
-------- Original Message --------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 5 Dec 2005 17:26:47 +0800 (HKT)
From: Zhou Xun-Yu <xyzhou(a)se.cuhk.edu.hk>
Subject: Academic Positions in Mathematical Finance/Financial
Engineering available at Chinese Univ of Hong Kong
Dear Colleagues,
The Dept of Systems Engineering and Engineering Management (SEEM) at
The Chinese University of Hong Kong has several positions open (mainly
at the junior level; but consideration will be given for exceptionally
outstanding senior persons as well) in the field of Mathematical
Finance/Financial Engineering, as well as in a few other areas.
A job advertisement is attached. Please forward it to your
colleagues/students/friends who might be interested in the positions.
Salaries and other benefits of these positions are one of the most
competitive in the world. On the other hand, the dept has very strong
groups in Mathematical Finance/Financial Engineering, and related fields
such as Stochastic Control, Supply Chain/Logistics, and Operations Research.
The profiles of the faculty members of the dept include multiple
positions on the editorial board of the premier journals in the related
fields,such as Mathematical Finance, Operations Research, Management
Science,SIAM Journal on Optimization, and IEEE Transactions on Automatic
Control,and winners of prestigious awards, such as the 1999 Franz
Edelman Award and the 2003 SIAM Outstanding Paper Prize. There are two
IEEE fellows and one INFORMS fellow in the dept.
Best regards,
Xun Yu Zhou
-------------------------------
Ad. content for teaching posts:
The Department of Systems Engineering and Engineering Management (SE&EM)
at the Chinese University of Hong Kong invites applications for the
following positions:
1. Assistant Professor / Associate Professor in the fields of (1)
Financial Engineering, (2) Logistics and Supply Chain Management, (3)
Optimization and Operations Research or related areas. The positions are
on fix-term contracts up to 3 years from January / September 2006, with
prospect for contract renewal or reappointment on a longer term basis,
subject to budget and mutual agreement.
2. Assistant Professor / Associate Professor / Professor on a visiting
basis, from January / September 2006, renewable subject to budget and
mutual agreement, in the fields of (1) Financial Engineering, (2)
Information Systems (3) Logistics and Supply Chain Management, (4)
Optimization and Operations Research or related areas.
Candidates for all the positions above should have earned doctorate
degrees and have outstanding academic records and firm commitment to
both excellent teaching and research. Salaries for the respective
levels of appointment will be highly competitive. Starting salary and
level of appointment will be commensurate with qualifications and
experience. Eligible appointees may also be entitled to other generous
benefits such as housing allowance, annual leave, medical care, incoming
passage allowance and contract-end gratuity. Applications including the
curriculum vitae and names of at least three referees (with email and
postal address, telephone and fax numbers) should be sent to:
Chairman
Department of Systems Engineering & Engineering Management
Room 609, William M.W. Mong Engineering Building
The Chinese University of Hong Kong
Shatin, N.T.
Hong Kong.
Tel: +852 2609 8313
Fax: +852 2603 5505
Email: recruit(a)se.cuhk.edu.hk
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 6. Dezember 2005, 16:30,
Technische Universität Wien, 1040 Wien, Wiedner Hauptstrasse 8,
Freihaus, Hörsaal FH 8 (Nöbauer Hörsaal):
Dr. Johanna Neslehova
RiskLab, ETH Zurich
"Modeling Dependence of Non-Continuous Random Variables
and Compound Poisson Processes"
http://www.fam.tuwien.ac.at/vr/20051206.php
Mit freundlichen Grüßen,
Mag. Dr. Klaus Wegenkittl
Präsident der Aktuarvereinigung Österreichs
Präsident des Österr. Förderungsvereins der Versicherungsmathematik
Gen.-Dir. 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/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 29 Nov 2005 21:16:52 -0000
From: Igor Evstigneev <igor.evstigneev(a)manchester.ac.uk>
Subject: research position in Mathematical Finance/Financial Economics
Dear Colleagues,
I would like to bring to your attention an opening of a research
position in Mathematical Finance/Financial Economics at the Economics
Department of the University of Manchester:
http://www.socialsciences.man.ac.uk/economics/about/vacancies.htm .
Please forward this announcement to those colleagues who fit the
profile described below and might be interested in the position.
The appointment will be made to Post-Doctoral Fellow or Research
Fellow, according to the experience and relevant qualifications of the
successful candidate. The position is established under the support
of Samuel Gratrix Fund to pursue research in Mathematical Finance or
Financial Economics. The research will be focused on the following
areas:
(a) random dynamical systems and models of financial markets
(evolutionary finance, growth theory);
(b) interactions-based models in economics and finance;
(c) new approaches to asset pricing in markets with frictions.
An ideal candidate for the position is a mathematician having research
experience and publications in Mathematical Finance or Financial
Economics, with a preferred background in one of the following fields:
(1) probability and dynamical systems;
(2) probability and control (stochastic control and optimization,
stochastic games);
(3) probability and functional analysis.
The period of employment is for two years, with the possibility of
extension for a third year. The annual salary will be in the range of
GBP 20 000 to GBP 30 000, depending on the experience and
qualifications of the candidate. The starting date is 1 March 2006 or
as soon as possible thereafter. The closing date for applications is 6
January 2006.
There are no teaching duties associated with this position.
For a formal position announcement and job specification, please see
the website indicated above. Informal enquiries can be addressed to
igor.evstigneev(a)manchester.ac.uk .
Sincerely,
Professor Igor Evstigneev
Chair in Mathematical Economics
Economics Department
University of Manchester
Oxford Road
Manchester M13 9PL
UK
Tel.: (+)44-161-2754275
Fax: (+)44-161-2754812
E-mail: igor.evstigneev(a)manchester.ac.uk
WWW: http://les1.man.ac.uk/ses/staff/evstigneev/
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 29.11.2005 Mesrop Janunts (Institut für Mathematik, TU Berlin)
"Duality methods for portfolio optimization"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/