---------- Forwarded message ----------
From: Walter Schachermayer
Liebe Fam-ily,
Mag. Kocher ist Geschaeftsfuehrer der öst. Bundesfinanzierungsagentur,
mit der wir ein CD-Modul planen.
Ich empfehle allen den Besuch des sicherlich interessanten Vortrags.
LG WS
---------- Forwarded message ----------
Date: Tue, 17 Jan 2006 18:19:36 +0100
From: Hardy Hanappi TU Vienna <hanappi(a)econ.tuwien.ac.at>
Subject: Einladung zum Gastvortrag am 19.1.06, 14h
Liebe Kolleginnen und Kollegen !
Im Rahmen unseres Dissertantenseminar findet
demnächst wieder ein interessanter Vortrag statt
zu dem ich hiermit herzlichst einlade:
Der Vortrag von unserem externen Gast, Dr. Paul
Kocher, zum Thema "Das Schuldenmanagement des
Staates: Finanzierungsstrategien und Risken für
den öffentlichen Haushalt" findet am Donnerstag
den 19.1.2006 um 14 h s.t. statt.
Details auf der Homepage des Seminars :
http://www.vwl.tuwien.ac.at/hanappi/Lehre/L026HH05.html
Mit herzlichen Grüßen
Hardy Hanappi
Univ.-Prof. Dr. Hardy Hanappi
Jean Monnet Chair for Political Economy of European Integration
Head of Economics, Institute for Mathematical Methods in Economics
University of Technology Vienna
Argentinierstrasse 8/ 105-3
A-1040 Vienna, Austria
http://www.vwl.tuwien.ac.at/hanappi/
FAM-ily Financial and Actuarial Mathematics
at Vienna University of Technology, Austria
Timetable
Tuesday, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 17.01.2006
Irina Slinko (Stockholm School of Economics)
"On Finite Dimensional Realizations of the
Two Country Interest Rate Models"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------
Further Events of FAM:
"Half-Day Workshop
on Credit Risk and Risk Transfer"
Wednesday, January 25, 2006, 2pm to 6pm
http://www.fam.tuwien.ac.at/events/wwtf2006/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Wed, 11 Jan 2006 12:02:27 +0100
From: VGSF-U.Walser <office(a)vgsf.ac.at>
To: Ulli Walser <ulrike.walser(a)vgsf.ac.at>
Subject: Invitation to apply to VGSF PhD Program - scholarship
Dear Colleague,
please find attached an invitation to apply for scholarships and
admission to the PhD program of the Vienna Graduate School of Finance
(VGSF).
We would be very grateful if you could forward this information to
students who are looking for an opportunity to obtain a PhD in Finance
with financial support allowing them to cover their costs of living in
Vienna. Also, I would appreciate if you could post the attached pdf
document at your department.
The VGSF offers a high-quality PhD program preparing students for an
academic career. As a joint venture of three established academic
institutions, the VGSF draws on a well-connected local faculty with very
diverse research interests. In addition, internationally leading
scholars affiliated with other academic institutions are teaching in our
program.
On our homepage www.vgsf.ac.at you will find the curriculum as well as
information about faculty, students and application details.
Thank you for your support,
Josef Zechner
Speaker of the VGSF
Professor of Finance at the University of Vienna
Contact:
VGSF
Dorothea Grimm
Administrative Manager
c/o University of Vienna
Bruenner Strasse 72
1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Mail: vgsf(a)vgsf.ac.at
[ attachment VGSF_inv06.pdf removed by admin since information is ]
[ available on-line at http://www.vgsf.ac.at ]
Dear Friends,
the Financial and Actuarial Mathematics Group
wishes everyone a prosperous New Year.
In 2006 the FAM-group plans 2 workshops and
numerous talks within the new Christian Doppler Laboratory:
"Half-Day Workshop
on Credit Risk and Risk Transfer"
Wednesday, January 25, 2006, 2pm to 6pm
http://www.fam.tuwien.ac.at/events/wwtf2006/
"Final Workshop
of the Research Training Network
Evolution Equations for Deterministicand Stochastic Systems"
June 5 to June 8, 2006
http://www.fam.tuwien.ac.at/events/rtn-workshop/
7 talks of young researchers in January 2006:
http://www.fam.tuwien.ac.at/events/
Christian Doppler Laboratory
"Portfolio Risk Management (PRisMa)"
http://prisma.fam.tuwien.ac.at/
For events in 2005 our webpages are updated:
"Workshop on Portfolio Risk Management (PRisMa 2005)"
http://www.fam.tuwien.ac.at/prisma2005/
Now you can find more information to the talks,
e.g. presentation slides, related publications, ...
FAM goes public:
"Von A wie Aktie bis S wie Sterbewahrscheinlichkeit"
http://www.fam.tuwien.ac.at/public/
This pages are in German language:
You can find simulations, games, and a lot of interesting
information and explanations which were presented on 8 posters
at the "Lange Nacht der Forschung" in October 2005.
To make all this activities possible, we sincerly thank our sponsors
(CDG, WWTF, FWF, ÖNB, EU, BA-CA), all persons collaborating with us, as well
as our dedicated colleagues within the research group FAM.
Walter Schachermayer Uwe Schmock
Head of Department Head of Research Group
--
Financial & Actuarial Mathematics Group: http://www.fam.tuwien.ac.at/
FAM @ TU Vienna, Wiedner Hauptstraße 8 / e105, A-1040 Vienna, Austriaaa
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 6 Jan 2006 10:26:41 +0000 (GMT)
From: Sam Howison <howison(a)maths.ox.ac.uk>
Subject: Position at Oxford
Dear Colleague
We are filling a faculty position at Oxford in Mathematical Finance;
details are available at the web address below:
http://www.maths.ox.ac.uk/notices/vacancies/institute/lecturer11.shtml
This is an exciting time for Mathematical Finance at Oxford as we are
about to advertise a Chair in the subject as well as the current vacancy.
I would be grateful if you would bring this position to the attention of
any potential candidates.
Best wishes for 2006
Sam Howison
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
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