The announced talk of Peter Friz will be held on 28th of April.
This thursday Josef Teichmann will hold a talk about a joint work
with Barbara Forster and Eva Luetkebohmert:
Tu, 07.04.2005, 16:30, Seminarraum 107 (TU FH, Turm A, 6. Stock)
Josef Teichmann (FAM @ TU Vienna)
"Calculation of Greeks with jumps"
(joint work of B. Forster, E. Luetkebohmert, J. Teichmann)
We show partial integration results for jump diffusions in a very
traditional way, i.e. without applying partial integration on Poisson
spaces. The key result is to find a bound for the p-norm of the inverse of
the Malliavin derivative.
Tu, 28.04.2005 Peter Friz (Statistical Laboratory, University of
Cambridge)
16:30, Seminarraum 107 (TU FH, Turm A, 6. Stock)
"Levy's Area under Conditioning and Applications"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 5 Apr 2005 15:14:34 +0200
From: Traore Fanda <Fanda.Traore(a)ensae.fr>
Subject: BOURSE DE RECHERCHE 2005-2006
BOURSES DE THESE
Le CREST (Centre de Recherche en Economie et Statistique) dispose de 7
bourses de recherche. Celles-ci, d'un montant mensuel d'environ 1 326
EUR, peuvent être attribuées soit pour la préparation d'une thèse
(durée de deux ans éventuellement renouvelable un an), ou en vue de
terminer une thèse déjà très avancée (durée d'un an).
Elles concernent :
- soit d' anciens élèves de l'ENSAE et de l'ENSAI qui souhaitent mener
leur recherche au CREST ou dans un organisme extérieur (université,
centre de recherche ou d'études, français ou étranger).
- soit des étudiants d'universités ou d'écoles françaises ou
étrangères, qui souhaitent mener leur recherche dans le cadre d'un
laboratoire du CREST.
Aucune condition de nationalité n'est exigée des candidats.
Les bourses sont attribuées de façon prioritaire à des thèmes de
recherche liés aux orientations des différents laboratoires. Les
dossiers de candidature sont à retirer sur le site du CREST
www.crest.fr <http://www.crest.fr> , où vous trouverez aussi toutes
les informations concernant les divers thèmes de chaque laboratoire.
Les dossiers de candidature doivent parvenir avant le
15 Mai 2005.
<<annonceboursesfrancais.doc>>
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Timetable
seminars within one week
Tu, 05.04.2005 Dietmar Pfeifer (Carl von Ossietzky Universität
Oldenburg)
16:30, FH 6 (TU FH, Turm A, 2. Stock)
Copula change-point detection and dynamic copula models for
multivariate high-frequency data in finance
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
Tu, 07.04.2005 Peter Friz (Statistical Laboratory, University of
Cambridge)
16:30, Seminarraum 107 (TU FH, Turm A, 6. Stock)
Levy's Area under Conditioning and Applications
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 04 Apr 2005 10:56:13 +0200
From: Gerhard Hanappi <hanappi(a)pop.tuwien.ac.at>
Subject: Einladung zu einem Vortrag
Liebe Kolleginnen und Kollegen!
Attached eine Einladung zu einem interessanten Vortrag von Professor
Hollingsworth (vom IWM / Ökonomie mitorganisiert) zum Thema
Why Some Research Organizations Make Major Discoveries But Most Make None
am nächsten Freitag.
Mit freundlichen Grüßen
Hardy Hanappi
Univ-Prof.Mag.Dr. Hardy Hanappi
Jean Monnet Professor für Politische Ökonomie der Europäischen Integration
Leiter der Forschungsgruppe Ökonomie, Institut für Wirtschaftsmathematik
Technische Universität Wien
Argentinierstr. 8
A-1040 Wien, Österreich
Tel. +43 1 58801 175 55, Fax. +43 1 58801 175 99
Email: hanappi(a)pop.tuwien.ac.at
http://www.vwl.tuwien.ac.at/hanappi/
[attachment removed by admin since it is available online
at http://www.econ.tuwien.ac.at/AussendungSASE.pdf ]
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 17 Mar 2005 16:59:05 +0100
From: Christine Binder <Christine.Binder(a)univie.ac.at>
Subject: Statistische Kolloquien
Einladung
Kolloquium zum Gedenken an
Prof. Leopold Schmetterer
(1919 - 2004)
Ort: Österreichische Akademie der Wissenschaften, Sitzungssaal,
Ignaz-Seipel Platz 2, 1010 Wien
Montag, 4. April 2005
15:15 - 15:30 Begrüßung
15:30 - 16:15 Klaus Krickeberg:
Neue mathematisch-statistische Anwendungen von
Gesundheitsregistern.
16:15 - 17:00 Johann Pfanzagl:
Was ist ein "optimaler" Schätzer ? *
17:00 - 17:30 Pause
17:30 - 18:15 Herbert Heyer:
Hypergruppen in der Analysis und
Wahrscheinlichkeitstheorie. *
* Vortrag im Rahmen des Arbeitskreises "Statistische Kolloquien" der
ÖSG.
Dienstag, 5. April 2005
15:15 - 15:30 Begrüßung
15:30 - 16:15 Helmut Strasser:
Statistik als Gegenstand mathematischer
Forschung.
16:15 - 17:00 Jean-Baptiste Hiriart-Urruty:
Some open problems in nonlinear analysis and
optimisation.
17:00 - 17:30 Pause
17:30 - 18:15 Walter Schachermayer:
Anwendung der Wahrscheinlichkeitstheorie auf
Finanzmathematik.
Diese Veranstaltung wird durch die Österreichische Akademie der
Wissenschaften, die Gemeinde Wien und das Institut für Statistik der
Universität Wien unterstützt.
I. Bomze
Moderator des Arbeitskreises "Statistische Kolloquien"
Timetable
Tuesdays and Thursdays, 16:30-18:00.
Tu, 15.03.2005 Alexandra Dias (Credit Suisse and ETH Zurich)
16:30, FH 6
Copula change-point detection and dynamic copula models for
multivariate high-frequency data in finance
Vortragsreihe aus Finanz- und Versicherungsmathematik
Th, 17.03.2005 Dmitry Rokhlin (Rostov State University, Russia)
16:30, Seminarraum 107
On some problems of no-arbitrage: constructive criteria in
the case of finite discrete time and the Kreps-Yan theorem
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Th, 03.03.2005: Daniel Dvorak
An Extension of Panjer's Recursion
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 24 Feb 2005 11:47:33 +0000 (GMT)
From: Josef Hofbauer <jhofb(a)math.ucl.ac.uk>
To: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
Subject: lectureship at UCL
2 Lectureships in
Mathematical Economics/
Mathematical Finance
Because of the overwhelming popularity of the joint courses in Economics,
the Departments of Mathematics and Statistical Science wish to make two
lecturer appointments from October 2005. The appointees will be expected
to teach basic first and second year modules in Economics. Applicants
should also have demonstrated considerable research potential in some
branch of Mathematics/Statistical Science. Salary will be according to
experience on the Lecturer B scale from £30,319 to £38,213 inclusive of
London Allowance.
Please send a full CV and details of three referees and current salary to
Prof D G Larman, Head of the Department of Mathematics, University College
London, Gower Street, London, WC1E 6BT telephone: +44 (0)20 7679 2855; fax
+44 (0)20 7383 5519; e-mail: d.larman(a)ucl.ac.uk. Please also return the
Equal Opportunities Form found on the Further Particulars page of the
Mathematics Department website.
Further particulars (which should be read prior to sending an
application), as well as general information about UCL can be found on our
websites:
http://www.ucl.ac.uk/maths/http://www.ucl.ac.uk/Mathematics/Adverts/MathEconPosts05/MathEconAdvert.html
The closing date for receipt of applications is Friday, 25 February 2005.
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
I remind that I am organizing a week on "Fundamentals" from april 25 - 29.
Walter
---------- Forwarded message ----------
Date: Mon, 21 Feb 2005 09:31:56 +0000
From: Victoria Henderson <vhenders(a)princeton.edu>
Subject: Developments in Quantitative Finance, 4-8 July 2005
Dear collegues,
This is a brief reminder that the closing date for applications to
attend the INI conference is next Monday 28th Jan.
We have generous EU and Nomura funding to assist phd students, postdocs
and young researchers and senior researchers who are EU nationals but
working outside the EU.
Please remind your collegues and students to apply.
Best regards
Vicky Henderson
David Hobson
Stan Pliska
Chris Rogers
[quote signs removed from the following text by admin#fam.tuwien.ac.at]
Dear collegues,
Please find below the announcement for the INI conference
"Developments in Quantitative Finance" to be held in Cambridge this
July.
We have generous funding from the EC and Nomura for this event, so
will be able to fund local expenses of students, young participants
and Europeans working outside the EU.
The official website for the conference can be found :
http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html
where there is an application form. The deadline is 28th February.
There are also more details about funding categories and accomodation
options on a second website :
http://www.bath.ac.uk/~masdgh/INI/conference.html
Please accept our apologies if you receive multiple announcements - we
want to advertise widely.
Best wishes,
Vicky Henderson
David Hobson
Stan Pliska
Chris Rogers
------------------------------------------------------------
Isaac Newton Institute for Mathematical Sciences, Cambridge, UK
Quantitative Finance: Developments, Applications & Problems
(4 - 8 July 2005)
Supported by the European Commission, Sixth Framework Programme
Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and
NOMURA
in association with the Newton Institute programme entitled
Developments in Quantitative Finance (24 January to 22 July 2005)
Organisers: V Henderson (Princeton), D Hobson (Bath), S Pliska
(Illinois), C Rogers (Cambridge).
Theme of Conference: The objective of this conference is to bring
together academics from various fields, including mathematicians, but
also researchers from economics and finance, together with industry
practitioners, to discuss the latest developments in the theory of
mathematical finance, the application of this theory to current issues
facing the industry and to identify the substantive problems
confronting academic researchers and finance professionals. Many
individual themes within quantitative finance are covered elsewhere in
the programme, and this conference will aim to promote the
developments in those areas to a wider audience, whilst simultaneously
providing a forum for the discussion of advances in other areas within
the field.
Invited Speakers: Y Ait-Sahalia (Princeton), P. Bank (Columbia), M.
Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M.
Davis (Imperial), D. Duffie* (Stanford), R Frey (Leipzig), S Hodges
(Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini
(Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M.
Monoyios (Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet
(Toulouse), S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar
(Princeton) and M. Zervos (Kings).
*to be confirmed
Location & Cost: The Conference will take place at the Newton
Institute and accommodation for participants will be provided in
single study bedrooms with shared bathroom at Wolfson Court. The
conference package, costing 440GBP, includes accommodation, breakfast
and dinner from dinner on Sunday 3 July to breakfast on Saturday 9
July 2005, and lunch and refreshments during the days that lectures
take place. Self-supporting participants are very welcome to apply.
Further Information and Applications Forms are available from the WWW
at:
http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html
Completed application forms should be sent to Tracey Andrew at the
address below, or via email to: t.andrew(a)newton.cam.ac.uk
Closing Date for the receipt of applications is 28 February 2005
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
seminars within one week
Tu, 22.02.2005 Stefan Ankirchner
Enlargement of filtrations, continuous Girsanov-type
embeddings and utility maximization of insiders
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/