---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 5 Nov 2004 11:19:03 +0100
From: Annette Weihs <annette.weihs(a)oeaw.ac.at>
To: RICAM-All <ricam-all(a)ricam.oeaw.ac.at>
Subject: [Ricam-all] RICAM-Kolloquium
Prof. Albrecht Irle
Mathematisches Seminar, Christian-Albrechts-Universität zu Kiel
Dienstag, 9. November, 15:30 Uhr, HS 5
Optimal Stopping Problems in Mathematical Finance
Abstract: Optimal stopping theory has again become an active area of
research, one of the reasons being their importance for pricing American
options. In this talk two new methods for finding optimal stopping rules
are described. The first method is discrete in nature and may be used to
construct algorithms of simulation type. The second method pertains to
diffusion processes and uses suitable martingales. Applications to
mathematical finance are described.
Annette Weihs
Johann Radon Institute for Computational and Applied Mathematics (RICAM)
Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz, Austria
E-mail: Annette.Weihs(a)oeaw.ac.at
Tel: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
http://www.ricam.oeaw.ac.at
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Size: 207335
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 27 Oct 2004 11:17:18 +0100
From: Andrew Cairns <A.Cairns(a)ma.hw.ac.uk>
To: Andrewc(a)ma.hw.ac.uk
Subject: ANNOUNCEMENT: conference/workshop
Dear Colleagues,
I have appended below a short announcment of a workshop
on quantitative finance and insurance that will be held in
Edinburgh in 2005.
Please forward this announcement to any colleagues that
you think might be interested.
For further details please see the draft workshop website at
http://www.ma.hw.ac.uk/~andrewc/workshop/
To give me an idea of numbers, persons hoping to
attend and/or give a talk should e-mail me at A.Cairns(a)ma.hw.ac.uk
Yours sincerely,
Andrew Cairns
Heriot-Watt University, Edinburgh
Workshop on the Interface between Quantitative Finance and Insurance
Dates: 4-8 April, 2005
A satellite workshop of the Quantitative Finance programme of the
Isaac Newton Institute, January - June 2005.
Organised jointly by:
Heriot-Watt University, Edinburgh
The International Centre for Mathematical Sciences, Edinburgh
The Isaac Newton Institute, Cambridge
Organising Committee:
Andrew Cairns (Heriot-Watt University)
Claudia Klueppelberg (Technical University of Munich),
Susan Pitts, Chris Rogers (University of Cambridge)
General Summary
This workshop aims to discuss leading-edge research on the interface
between insurance, pensions and quantitative finance. It is intended that
the meeting will concentrate on two closely linked themes. First,
all insurance companies and pension plans are subject to a degree
of financial and economic risk as well as their traditional
insurance risks. Considerable research in the international actuarial
community is ongoing which attempts to model and manage these risks.
Much of this research is building upon existing knowledge in financial
mathematics. Equally, though, the specific problems being encountered
are throwing back new challenges for financial mathematicians.
This introduces us to the second theme. Namely the issue of securitisation
of insurance risks. This presents many new challenges which
require a combination of financial mathematics, mathematical
economics and good contract design.
Workshop Themes
A: Stochastic asset models for life insurance and pensions
B: Fair value, solvency testing and capital adequacy
C: Long-term risks: pricing and risk assessment
D: Dependence modelling, extreme-value theory, Levy processes
and their application in insurance problems
E: Optimal stochastic control and optimal hedging problems in insurance
F: Issues relating to specific contracts and securitisation of insurance
risks
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Th, 28.10.2004
Philippe Clement (TU Delft)
R-Boundedness and Operator-valued Multipliers
In this lecture we shall introduce the notion of R-bounded family of
operators in a Banach space. Recently many new results in the theory of
operator-valued multipliers (of Marcinkiewicz, Mihlin or Schur type) have
been obtained by using this new notion of boundedness. Connections with the
problem of Lp-maximal regularity for abstract differential equations in
Banach spaces will also be considered.
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Sun, 17 Oct 2004 20:38:21 -0700
From: Edwin Perkins <perkins(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
(...)
POSTDOCTORAL FELLOWSHIPS IN PROBABILITY
UNIVERSITY OF BRITISH COLUMBIA, CANADA
Applications are invited for one or more postdoctoral fellowships in
probability theory in the Mathematics Department, University of British
Columbia, Vancouver, Canada. Positions are for two years (subject to
review after one year) starting no later than September 1, 2005. Salary
is $47,500 Canadian per annum. Postdoctoral fellows teach one 13-week
course each year. Applicants should have, or expect to receive, a PhD in
mathematics, and should show excellent potential in research and teaching.
The Department has a very active probability group, with permanent faculty
in a wide variety of areas. For details see
http://www.math.ubc.ca/Research/probab.html. There is a Period of
Concentration in Probability and Statistical Mechanics, sponsored by the
Pacific Institute for the Mathematical Sciences, for the period 2004-2006.
This incorporates an extensive array of research activities; see
http://www.pims.math.ca/CRG/probability/overview.html.
The city of Vancouver is cosmopolitan and culturally rich, and is set in
an outstanding natural area.
Applicants should send a curriculum vitae and list of publications, and
arrange for three letters of reference to be sent to Professor Gordon
Slade at slade(a)math.ubc.ca. The deadline for applications is December 1,
2004. Applications received after this date may also be considered.
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 11 Oct 2004 14:29:16 +0200
From: Nicole Gruber <oek(a)eos.tuwien.ac.at>
Subject: Ökonometrisches Seminar
Sehr geehrte InteressentInnen,
am Montag, 18. Oktober 2004 (13:15 bis 14:45 Uhr) hält Herr Dr. Thomas
Ribarits einen Vortrag mit dem Titel: "Neue Parametrisierungen für
lineare Zeitreihenmodelle: der stationäre und der kointegrierte Fall"
Ort: Seminarraum 105A (Argentinierstraße 8, 1. Stock).
Abstract:
Im Vortrag betrachten wir die Maximum Likelihood Schätzung von linearen
dynamischen Systemen in Zustandsraumdarstellung. Zur Schätzung muß vorab
die Modellklasse geeignet parametrisiert werden. Wir stellen neue
Parametrisierungen vor: 'separable least squares data driven local
coordinates' (slsDDLC). SlsDDLC basiert einerseits auf der Grundidee von
DDLC, einer Parametrisierung, die in (McKelvey et al., 2004) eingeführt
wurde. Andererseits fußt slsDDLC auf der Anwendung der 'separable least
squares Methodologie', d.h. slsDDLC wird zur Optimierung einer geeignet
konzentrierten Likelihoodfunktion verwendet. Dies bedeutet natürlich
auch eine verminderte Zahl von zu schätzenden Parametern im
nichtlinearen Likelihood-Optimierungsproblem.
Die Anwendung der Parametrisierungen auf die Maximum Likelihood
Schätzung von stationären Zeitreihenmodellen wird illustriert.
Simulationsstudien zeigen, daß die Verwendung von slsDDLC deutliche
numerische Vorteile im Vergleich zu traditionellen Parametrisierungen,
aber auch zu DDLC, aufweist.
Schließlich wird die Anwendung auf die Schätzung kointegrierter
Zeitreihenmodelle besprochen. Die in (Johansen, 1995) behandelte VAR
(vektor-autoregressive) Modellierung von kointegrierten Prozessen wird
verallgemeinert und slsDDLC wird für die Schätzung des neu eingeführten
Zustandsraum-Fehlerkorrekturmodells verwendet.
Schlagworte: Multivariate Zeitreihenanalyse, Zustandsraummodelle,
Parametrisierungen, stationäre Prozesse, Kointegration.
Mit freundlichen Grüßen
Manfred Deistler
Nicole Gruber
Institute for Mathematical Methods in Economics
Research Unit: Econometrics and System Theory
Argentinierstrasse 8
1040 Vienna
Tel: +43 1 58801 11911
Fax: +43 1 58801 11999
e-mail: nicole.gruber(a)tuwien.ac.at
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 8 Oct 2004 13:40:19 -0700
From: Edwin Perkins <perkins(a)math.ubc.ca>
To: wschach(a)fam.tuwien.ac.at
Subject: 2005 Summer School in Probability June 6-30, U. British Columbia
As part of our PIMS Collaborative Research Group in Probability and
Statistical Physics we will again be running two advanced graduate
courses at UBC in the summer of 2005. The lectures in 2005 will take
place from June 6 to June 30 and be given by Yuval Peres, U
Cal. Berkeley, and Gordon Slade, UBC. The course descriptions are
below. We plan these to be official courses at UBC and so graduate
students at universities in W. Canada can receive credit for them
through the Western Deans Agreement. There will be total of 30 hours
of lectures in each course. Support for these courses comes from the
Pacific Institute for the Mathematical Sciences and the Department of
Mathematics at UBC.
Those interested in attending these courses (graduate students, pdf's
, faculty members) are encouraged to sign up asap at our website
http://www.pims.math.ca/science/2005/ssprob/ as there will be limited
space in the lecture rooms.
There will be some financial support available for a limited number of
graduate students and postdoctoral fellows who would like to attend.
This will basically cover the cost of a dorm room for the duration of
the course. Applications for support should consist of a brief letter
of application, a cv of the prospective student/pdf and a letter from
the applicant's supervisor all of which may be emailed to
ssprob(a)pims.math.ca. Plain text is preferred. The deadline for
applications for financial support is Dec. 31. It would help us
greatly with planning if you could let us know of your interest before
Oct. 31 at the above address.
If you have queries about the courses please check our website at
http://www.pims.math.ca/science/2005/ssprob/ or send questions to
Gordon Slade at slade(a)math.ubc.ca.
Sincerely, David Brydges and Ed Perkins.
For summer 2005 the courses will be given by Yuval Peres and Gordon Slade,
and will run from 6 June 2005 - 30 June 2005
-----------------------------------------------------------------
Yuval Peres (Math 610D)
Title: Mixing for Markov Chains and Spin Systems
Instructor: Yuval Peres, UC Berkeley
Given an aperiodic irreducible Markov chain on a finite state space,
the rate at which it approaches its stationary distribution is
intensively studied by mathematical physicists, computer scientists
and probabilists. The key insight is that as we consider running the
chain for longer times, we should also be considering chains on larger
spaces. Two celebrated families of chains that still pose mysteries
are random walks on the symmetric group (card shuffles) and
"Glauber dynamics" of spin systems; canonical examples for
the latter are the Ising model and graph colorings.
Planned topics:
* Markov chains and electrical networks: a brief primer.
* Probabilistic methods: coupling and strong uniform times.
* Mixing via spectral gap and isoperimetric inequalities.
* Expanders via random constructions and zigzag products.
* The Ising model and the random cluster model.
* The Ising model on trees, and its interpretations in
mathematical genetics and noisy computation.
* Glauber dynamics for spin systems.
* Correlation inequalities and their implications for mixing.
* Cover times and lamplighter groups.
* Exact sampling via coupling from the past.
Three areas, teeming with unsolved problems, that we will explore:
* Connections between mixing in time and space for spin systems
* Comparison of updates at random locations and systematic scans
* The cutoff phenomenon for distance to stationarity
Gordon Slade (Math 609D)
``The lace expansion and its applications"
Abstract:
Several superficially simple mathematical models, such
as the self-avoiding walk and percolation, are paradigms
for the study of critical phenomena in statistical mechanics.
It remains a major challenge for mathematical physics
and probability theory to obtain a mathematically rigorous
understanding of the scaling theory of these models at
criticality. The lace expansion has become a powerful tool for
the analysis of the critical scaling of a number of models above
their upper critical dimensions, including the self-avoiding walk, lattice
trees, lattice animals, oriented and non-oriented percolation, and the
contact process. Results include proof of existence of critical exponents,
with mean-field values, and construction of the scaling limit.
For lattice trees and critical percolation, the scaling limit
is described in terms of super-Brownian motion.
The lectures will provide an introduction to the lace expansion
and several of its applications. No previous exposure to the lace
expansion will be assumed, and necessary background will be
provided.
Lecture notes for the course are available at
http://www.math.ubc.ca/~slade/sf_v1.ps.gz
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 06 Oct 2004 13:37:41 +0200
From: Damir Filipovic <filipo(a)math.ethz.ch>
To: Damir.Filipovic(a)mathematik.uni-muenchen.de
Subject: W2-professor position at LMU Munich
Dear Colleague,
please find attached the announcement (in German) of an open
W2-professor position available in the Mathematics Institute at the
Ludwig-Maximilians University Munich.
I would be very grateful if you could pass this advert on to anyone you
think may be interested in this position.
Yours sincerely,
Damir Filipovic
Mathematics Institute
Ludwig-Maximilians University Munich
Germany
Email: Damir.Filipovic(a)mathematik.uni-muenchen.de
(FYI: I am with LMU Munich since October 2004. Formerly with ETH Zurich
and Swiss Federal Office of Private Insurance)
[attachment removed and saved to below URI by admin]
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Type: PDF document, version 1.4
Size: 25872
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 6 Oct 2004 09:59:28 +0200 (METDST)
From: Christian Schmeiser <schmeise(a)deana.math.tuwien.ac.at>
Subject: Pauli Colloquium, WK seminar
============================================
WISSENSCHAFTSKOLLEG "DIFFERENTIAL EQUATIONS"
============================================
http://deana.math.tuwien.ac.at/
Dear colleagus:
There are two talks in this week's Pauli colloquium and WK seminar:
Location: WPI seminar room, Nordbergstrasse 15, 7th floor
Date: Oct. 7, 2004
15:00 Martin Wechselberger Calcium signals in excitable
(Ohio State Univ.) and non-excitable cells
16:00 Luis Caffarelli On Obstacle Problems for
(University of Texas Fractional Powers of the Laplacian
at Austin)
Best regards, Christian Schmeiser
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 1 Oct 2004 15:10:51 +0200 (CEST)
From: Reinhard Winkler <reinhard.winkler(a)tuwien.ac.at>
To: Abonnenten für Wissenswertes: ;
Subject: Wissenswertes, Programm fürs Wintersemester 2004/05
Wissenswertes aus der Mathematik
Vorträge im Wintersemester 2004/05
2004-10-18
Hellmuth Stachel (TU Wien):
Starr oder beweglich -- die entscheidende Rolle der Geometrie
2004-11-08
Wolfgang Wertz (TU Wien):
Fraktale und Zufall
2004-11-22
Arnold Beckmann (TU Wien):
Aussagenlogik - eine Trivialität?
2004-11-29
Gabriel Maresch (TU Wien):
Mittelbare Gruppen
2004-12-13
Peter Raith (Uni Wien):
Topologische Entropie für stückweise monotone Abbildungen
2005-01-10
Gustav Feichtinger (TU Wien):
Dynamik und Kontrolle epidemischer Prozesse
2005-01-24
Christa Binder (TU Wien):
Platonische und archimedische Körper -- Entwicklung der Definition
Die Vorträge finden jeweils am
Montag um 16.00 s.t.(!)
im Seminarraum 104 der TU (1040 Wien, Wiedner Hauptstr. 8-10 "Freihaus",
grüner Bereich, 5.Stock) statt. Als Rahmen für eine Sitzung sind etwa 90
Minuten geplant. Einzelne Vorträge können aber auch kürzer sein;
insbesondere dann, wenn eine längere Diskussion zu erwarten ist.
Wie auch in den letzten Semestern bitten wir darum, das Programm an
Interessierte, die noch nicht auf unserer Liste stehen, weiterzuleiten.
Wir werden demnächst einen Ausdruck des Programms an unsere
"Kontaktpersonen" an den einzelnen Instituten schicken und bitten darum,
diesen allen Institutsmitgliedern zugänglich zu machen.
(Eine Postscriptdatei mit dem Programm ist auch auf der Homepage
der "Wissenswerten" Reihe zu finden.)
Martin Goldstern und Reinhard Winkler
http://www.tuwien.ac.at/goldstern/wissen/
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 10 Sep 2004 14:00:18 +0200
From: Sylvie Hansbauer <sylvie.hansbauer(a)univie.ac.at>
Subject: wtfs 7. Okt
Wirtschaftstheoretisches Forschungsseminar
der Universität Wien gemeinsam mit dem
Institut für Höhere Studien und der
Nationalökonomischen Gesellschaft
07.10.2004:
16.00 s.t.: Charalambos D. ALIPRANTIS (Purdue University)
Some Applications of Riesz Spaces to Economics,
Finance and Econometrics
17.30 s.t.: Jim MALLEY (University of Glasgow and CESifo)
Electoral Uncertainty, Fiscal Policies and Growth:
Theory and Evidence from Germany, the UK and the US
Nächster Termin: 21.10.04 mit Vorträgen von Robert Nuscheler (WZ Berlin)
und Roland Strausz (FU Berlin)
Abstracts (soweit vorhanden) finden Sie im Anschluss/umseitig.
Die Papiere zu den Vorträgen liegen auf
http://www.univie.ac.at/Wirtschaftswissenschaften/events/WS0304/economicthe…
Die Vorträge finden im Institut für Wirtschaftswissenschaften,
Hohenstaufengasse 9, A-1010 Wien statt. Das Seminar steht allen
Interessierten offen. Insbesondere wird die Teilnahme von
fortgeschrittenen Studierenden begrüßt.
Prof. Gerhard Orosel
Abstracts
Charalambos D. ALIPRANTIS (Purdue University)
Some Applications of Riesz Spaces to Economics, Finance and
Econometrics
Investors often wish to insure themselves against the payoff of their
portfolios falling below a certain value. One way of doing this is by
purchasing an appropriate collection of traded securities. However,
when the derivatives market is not complete, an investor who seeks
portfolio insurance will also be interested in the cheapest hedge that
is marketed. Such insurance will also be interested in the cheapest
hedge that is marketed. Such insurance will not exactly replicate the
desired insured-payoff, but it is the cheapest that can be achieved
using the market.
Analytically, the problem of finding a cheapest insuring portfolio is
a linear programming problem. The present paper provides an
alternative portfolio dominance approach to solving the
minimum-premium insurance portfolio problem. This affords remarkably
rich and intuitive insights to determining and describing the
minimum-premium insurance portfolios.
Jim MALLEY (University of Glasgow and CESifo)
Electoral Uncertainty, Fiscal Policies and Growth:
Theory and Evidence from Germany, the UK and the US
In this paper we study the link between elections, fiscal policy and
economic growth/fluctuations. The set-up is a dynamic stochastic
general equilibrium model of growth and endogenously chosen fiscal
policy, in which two political parties can alternate in power. The
party in office chooses jointly how much to tax and how to allocate
its total expenditure between public consumption and production
services. The main theoretical prediction is that forward-looking
incumbents, with uncertain prospects of re-election, find it optimal
to follow relatively shortsighted fiscal policies, and that this
lowers economic growth. The model is estimated using quarterly data
for Germany, the UK and the US from 1960 to 1999. Our econometric
results provide clear support for the main theoretical prediction.
They also give plausible and significant estimates for the
productivity of public production services, the weight which
households place on public consumption services relative to private
consumption and the time discount rate. Moreover, we find that changes
in electoral uncertainty produce the longest lasting fluctuations in
the European economies followed by the US.