Sehr geehrte Damen und Herren,
die Forschungsgruppe Finanz- und Versicherungsmathematik ladet Sie
herzlich zu einer eintägigen Vortragsveranstaltung am Montag,
den 26. September 2005 (9 bis 17 Uhr), an der TU Wien ein:
PRisMa 2005 - One-Day Workshop on Portfolio Risk Management
http://www.fam.tuwien.ac.at/events/prisma2005/
Programm (9-17 Uhr):
Prof. Dr. Saul Jacka
(Department of Statistics, University of Warwick)
"(Partial) Hedging for Coherent Risk Measures"
Dr. Michael Kupper
(Operations Research & Financial Engineering, Princeton Univ.)
"Dynamic Monetary Utility Functions"
Giovanni Puccetti
(Department of Mathematics for Decisions, University of Firenze)
"Bounds for Functions of Multivariate Risks"
Dr. Riccardo Gusso
(Department of Applied Mathematics, University of Venice)
"Urn-Based Credit Risk Models for Portfolios of Dependent Risks"
Dr. Jörn Sass
(Research Group "Financial Mathematics", Johann Radon Institute
for Computational and Applied Mathematics (RICAM))
"Reducing the Risk of Optimal Portfolio Policies"
Dr. Hansjörg Albrecher
(Department of Mathematical Sciences, University of Aarhus
and Department of Mathematics A, Graz University of Technology
"Ruin Estimates for an Insurance Portfolio with Dependent Risks"
Teilnahme und Registrierung:
Die Teilnahme ist gratis. Für die Anmeldung schreiben Sie bitte
ein kurzes E-mail an Sandra.Trenovatz(a)fam.tuwien.ac.at.
Ort: TU Wien, Hauptgebäude, Karlsplatz 13, 1040 Wien
Hörsaal "HS 16 Karl von Terzaghi Hörsaal" (Stiege I, 3. Stock)
Zeit: Montag, 26. September 2005.
Wir würden uns freuen, Sie beim Workshop begrüssen zu dürfen.
Mit freundlichen Grüssen,
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
----------------------------------------------------------------------
Sehr geehrte Damen und Herren,
im Rahmen der Vortragsreihe "Finanz- und Versicherungsmathematik"
dürfen wir Sie zu folgendem Vortrag einladen:
Dienstag, 8. November 2005, 16:30, TU Wien, Nöbauer Hörsaal (FH 8):
Univ.Prof. Dr. Damir Filipovic
Mathematisches Institut, LMU München
"Equilibrium and optimality for monetary
utility functions under constraints"
http://www.fam.tuwien.ac.at/events/vr/20051108.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. W. Schachermayer
Univ.-Prof. Dr. U. Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien
----------------------------------------------------------------------
Sandra Trenovatz, FAM @ TU Wien, http://www.fam.tuwien.ac.at/vr/
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Fri, 9 Sep 2005 09:46:31 +0200
From: Martine Verneuille <Martine.Verneuille(a)inria.fr>
Subject: European Conference on Numerical Methods in Finance (Amamef)
Dear Colleague;
We are organizing a conference on Numerical Methods in Finance in the
framework of the European network Amamef (Advanced Mathematical Methods
in Finance)
(see http://www.iac.rm.cnr.it/amamef/ ).
This congress will be held in Rocquencourt, at INRIA, February 1-3,
2006.
There will be 6 plenary sessions and sessions of contributed talks.
The main topics and objectives of the congress can be found in the
attached pdf file. The webpage of the conference will soon be created at
the address: http://www-rocq.inria.fr/mathfi/Amamef.html
The financial support of the ESF and Amamef has made possible to
organize this workshop free of charge. There are no registration costs.
Nevertheless the number of participants is limited to 150. Therefore, we
encourage participants to pre-register well in advance. The confirmation
of registration will be sent by January 1, 2006.
The registration form and practical information will soon be available
on the conference web site.
At this time we invite you to participate in this congress and we are
now receiving proposals for contributed talks.
If you are interested in participating with a contributed talk, please
send an e-mail to Arturo.Kohatsu-Higa(a)inria.fr with a
detailed abstract of maximum 2 pages, filling the attached format for
contributed talks.
We hope to be able to give a quick reply at your proposal but all
submissions will be evaluated at the latest by January 1, 2006.
We sincerely hope that you are interested in participating and look
forward to receiving your contribution,
Sincerely yours,
The Organizing Committee
Arturo Kohatsu-Higa
Damien Lamberton
Agnes Sulem
--
------------------
Martine Verneuille
Assistante des projets
Digiplante-Mathfi-Maxplus
Metalau-Scilab-Sosso2-Sydoco
REI-Rocq.
Inria-Rocquencourt
78153 Le Chesnay cedex
Tel. 0139635481
Fax. 0139635786
Email. Martine.Verneuille(a)inria.fr
------------------------------------------------
[attachments removed by admin; see webpage or contact sender]
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 5 Sep 2005 15:51:12 +0100
From: Heinz Geyer <hgeyer(a)ta-consult.com>
Subject: Junior Quant Analyst - Fund Management - London
Dear WALTER,
The salary numbers involved in this search are quite modest but we are
looking to fill this entry-level position for a good client and are
therefore going the extra mile.
Our client, the London branch of a Global Money Management Firm, is
looking for a
Junior Quantitative Analyst - Assistant Fund Manager
The role of the successful candidate will be to support a small and
successful fixed income fund management team (with particular emphasis
on corporate bonds).
Duties will include the following among others:
- maintenance of valuation spread sheets
- provision of performance data
- preparation of client presentations
- development and programming of new analytics and valuation models
The successful candidate will have a strong numerical degree (PhD is
optional) and good programming skills.
The role may be of special interest for someone who has just completed
an internship but for one reason or another has not yet succeeded in
getting a full-time position.
Location London. Salary circa Pound Sterling 35-45000 plus benefits.
Sincerely yours,
Heinz Geyer
Temple Associates
+(44)20-8343 7785
www.ta-consult.com/Geyer.htm
hgeyer(a)ta-consult.com
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
seminars within one week
Tu, 06.09.2005 Umut Cetin homepage (London School of Economics, UK)
Modelling liquidity effects in discrete time
(joint work with Chris Rogers)
Th, 08.09.2005 Thorsten Schmidt homepage (Universität Leipzig)
Credit Risk - Incomplete Information
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
-----------------------------------------------------------------
PRisMa 2005 - http://www.fam.tuwien.ac.at/prisma2005/
One-Day Workshop on Portfolio Risk Management
(Vienna, 2005-09-26)
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Tu, 30.08.2005 Mihai Sirbu (Columbia University, NY)
Risk-Tolerance Wealth Processes and Sensitivity Analysis of
of Utility Based Prices (joint work with D. Kramkov)
Th, 01.09.2005 Beatrice Acciaio (University of Perugia, Italy)
Optimal Risk Sharing and Mean-Variance Principle
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, 23 Aug 2005 01:04:14 +0100 (BST)
From: Goran Peskir <goran(a)maths.manchester.ac.uk>
Subject: Positions in Statistics
School of Mathematics, The University of Manchester, England
------------------------------------------------------------
Please bring the following two positions to the attention of
anyone who might be interested:
--> Chair in Statistics
--> Lecturer/Senior Lecturer in Statistics
For details see http://www.man.ac.uk/news/vacancies/academic.html#EPS200
===============
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 07 Jul 2005 15:38:22 +0200
From: Edith Rosta <edith.rosta(a)tuwien.ac.at>
Subject: Konferenzankuendigung
Sehr geehrte Frau Kollegin!
Sehr geehrter Herr Kollege!
Vom 20. bis 27. Juli 2005 findet in Wien eine Tagung über „Convex
Geometrym and High Dimensional Phenomena“ als 1. Jahrestagung des
EU-Programms über hochdimensionale Phänomene in den Räumen der
Technischen Universität in den Freihausgründen statt.
Details zur Tagung sind der Homepage
http://www.dmg.tuwien.ac.at/phd/
zu entnehmen. Das genaue Programm ist eine Woche vor Tagungsbeginn auf
der Homepage abrufbar.
Besucher zu Vorträgen sind herzlich willkommen.
Mit freundlichen Grüßen
Peter M. Gruber
Monika Ludwig
Vitali Milman
Matthias Reitzner
Carsten Schütt
Timetable
Tuesdays and Thursdays,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 12.07.2005, __16:00__ s.t.
Peter Grandits
Optimal Expected Exponential Utility of Dividend Payments in a Brownian Risk
Model (joint work with F. Hubalek, W. Schachermayer and M. Zigo)
Tu, 14.07.2005, 16:30 s.t.
Pavel Grigoriev
t.b.a.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Th, 16.06.2005, 16:30, Seminar room 107
Jürgen Hartinger (Graz University of Technology)
Rare Events - Monte Carlo and Quasi-Monte Carlo Methods
(joint work with Dominik Kortschak)
Recently, there has been much interest in developing Monte Carlo methods for
estimating rare event probabilities. The reason seems to be two-fold: The
topic is of major interest in areas such as credit and insurance risk or
telecommunication networks and presents a challenge from mythological point
of view as naive methods lead to ineligible variances for the estimates.
After an overview on existing methods in a Monte Carlo setting, in this talk
we focus on theoretical and empirical aspects of (randomized) QMC methods in
rare event sampling.
Mo, 20.06.2005, 16:15 in seminar room 104
Reinhold Kainhofer
Quasi-Monte Carlo Methoden -- Am Schnittpunkt von numerischer
Analysis, Zahlentheorie und Finanzmathematik
Vortragsreihe: Wissenswertes der Mathematik,
http://info.tuwien.ac.at/goldstern/wissen/
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 07.06.2005 Grigory Temnov, St. Petersburg State University
Risk models with stochastic premium income.
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/