FAM-Seminar
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Nicolas Victoir (Oxford University)
A Short Introduction to Rough Paths and Applications to Numerical Analysis
A short introduction to Rough Paths will allow us to present the algorithm
"Cubature on Wiener space", which offers a new way of approximating weakly
SDEs. The method consists of replacing the Wiener measure by a linear
combination of Dirac measures, which means that our solution is approximated
by a weighted average of solution of ordinary differential equations. We
give some applications to Option pricing.
http://www.fam.tuwien.ac.at/events/
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 21 Dec 2004 12:32:59 +0000 (GMT)
From: Sam Howison <howison(a)maths.ox.ac.uk>
To: Sam Howison <howison(a)maths.ox.ac.uk>
Subject: Position available
Dear Colleague
The Mathematical Finance Group at Oxford has just advertised a
postdoctoral research position in Mathematical Finance, the Nomura Junior
Research Fellowship. It consists of a postdoctoral position in the Nomura
Centre for Quantitative Finance (www.maths.ox.ac/ociam/ncqf) within the
Mathematics Department, combined with a Junior Research fellowship at
Wadham College, and is funded by a generous benefaction from the Nomura
group. The Fellow will be expected to carry out research in mathematical
finance, and will have many opportunities to interact with researchers at
Nomura's London offices. The post is for two years, renewable for a third.
We aim to make a high-level appointment and would be grateful if you would
bring this opportunity to the attention of any suitable candidates.
Further details are on
http://www.maths.ox.ac.uk/notices/vacancies/institute/nomura.shtml
The closing date is 31 January 2005.
Sam Howison
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Tel: +44 1865 270500
270506 (messages)
270515 (FAX)
Mathematical Institute
24-29 St Giles
Oxford
OX1 3LB
UK
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 20 Dec 2004 17:58:11 -0500
From: John Chadam <chadam(a)imap.pitt.edu>
Subject: Tenure track position in Stochastic Analysis/Mathematical Finance
Dear Colleague
This is to let you know that this year we will be interviewing
candidates for a tenure stream position at the Assistant Professor
level in the area of Stochastic Analysis/Mathematical Finance.
Details of the position, along with information about the application
procedures, can be found on the Mathematics Department web site
www.math.pitt.edu as well as on the AMS and SIAM job postings. For
your convenience a copy of the ad is attached.
We will begin looking at completed applications on January 3, 2005
and continue the interviewing process until the position is filled. I
should be grateful if you were to pass this information on to
potential applicants. Candidates should have an outstanding track
record of pure or applied research in some area of financial
mathematics.
Yours sincerely
John Chadam
My apologies if you get this message more than once !
[MS Word attachment converted to plain text by admin, see below]
Stochastic Analysis/Mathematical Finance
The Mathematics Department of the University of Pittsburgh invites
applications for a tenure-track position in Stochastic
Analysis/Mathematical Finance to begin in the Fall Term 2005,
pending budgetary approval. The appointment is at the Assistant
Professor level. We seek excellence in teaching and research so
applicants should demonstrate substantial research accomplishment
and dedication to teaching. Send a vita, three letters of
recommendation, a research statement and evidence of teaching
accomplishments to: Search Committee in Stochastic Analysis,
Department of Mathematics, University of Pittsburgh, Pittsburgh, PA
15260. Review of completed files will begin on January 3, 2005 and
continue until the position is filled. The University of Pittsburgh
is an Affirmative Action, Equal Opportunity Employer. Women and
members of minority groups under-represented in academia are
especially encouraged to apply.
Workshop on Stochastic Analysis
(First Announcement)
Wednesday 18 - Saturday 21, May 2005
Department of Mathematics and Statistics
University of Jyvaeskylae, Finland
The workshop is the closing workshop of the National Visitors
Program in Mathematics 2004-2005: New Techniques in Applied
Stochastics. It is intended to bring together researchers and
graduate students interested in Stochastic Analysis and its
applications.
Among the invited speakers are:
Fabrice Baudoin (University Toulouse 3)
Hans-Juergen Engelbert (University Jena)
Peter Imkeller (Humboldt-University Berlin)
Antti Kupiainen (University of Helsinki)
David Nualart (University of Barcelona)
Timo Seppalainen (University of Wisconsin-Madison)
Lutz Weis (University of Karlsruhe)
Conference page : www.math.jyu.fi/research/stoch/
Conference place: Hankasalmi next to Jyvaeskylae, www.revontuli.fi
Contact : stoch-analysis(a)maths.jyu.fi
The details for the registration and traveling will be soon available
on the conference page.
WELCOME
Stefan Geiss
Goran Hognas
Esko Valkeila
-------------------------------------------------------
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Mon, 13 Dec 2004 15:35:51 -0500
From: IME 2005 Organizing Committee <info(a)IME2005.ULAVAL.CA>
Reply-To: vincent.goulet(a)ACT.ULAVAL.CA
To: IME2005-PARTICIPANT(a)LISTES.ULAVAL.CA
Subject: Announcement: IME 2005, Québec
Dear colleague,
The École d'actuariat of Université Laval will host the 9th
International Congress on Insurance: Mathematics and Economics on July
6-8, 2005. The Congress will feature invited talks by Andrew Cairns
(Heriot-Watt University, Scotland), Jan Dhaene (Katholieke
Universiteit Leuven, Belgium) and Gordon Willmot (University of
Waterloo, Canada).
Prior to the Congress, the École d'actuariat also hosts two days of
Short Courses of six hours each on two different topics. In one
course, Jan Beirlant (Katholieke Universiteit Leuven, Belgium) will
speak on "Extreme Value Analysis and Applications to Reinsurance". In
the other course, Gordon Willmot (University of Waterloo, Canada)
will speak on the "Analysis of the Insurer's Surplus and Related
Quantities". These courses should appeal to researchers and
practitioners alike.
Over the past eight years, the IME Congress has established itself as
one of the main actuarial conferences worldwide. The Congress provides
researchers --- actuaries and non-actuaries --- with the opportunity
to present their latest work in the general area of Actuarial Science.
Topics covered are relevant to the aims and scope of the
international journal "Insurance: Mathematics and Economics". More
information is available in the attached Call for Papers.
In 2005, the Congress and Short Courses will be held in historic
Québec during the lively International Summer Festival. The old
quarter of Québec was declared a world heritage site by UNESCO in
1985. This is the only fortified city in North America. The host of
the Congress, École d'actuariat, distinguishes itself by its
comprehensive specialized degree in Actuarial Science. The ten Faculty
members are active in fields of Actuarial Science such as Risk Theory,
Life and Non-Life Insurance, and Pension Mathematics. The École
d'actuariat also hosted the 36th Actuarial Research Conference in
2001.
For registration in the Congress and all related information, see the
web site
http://ime2005.ulaval.ca/
We look forward to seeing you in Québec next summer!
Best regards,
Vincent Goulet, on behalf of the IME 2005 Organizing Committee
=== IME 2005 Organizing Committee ===
Vincent Goulet (Chairperson), Claire Bilodeau (Vice-Chairperson),
Hélène Cossette, Michel Jacques, Andrew Luong, Étienne Marceau
=== IME 2005 Scientific Committee ===
Étienne Marceau (Chairperson), Hélène Cossette, Michel Denuit, José
Garrido, Hans U. Gerber, Marc J. Goovaerts, Michel Jacques, Rob Kaas,
Sheldon X. Lin, Andrew Luong, Elias Shiu.
=== Contact ===
Vincent Goulet
Email: info(a)ime2005.ulaval.ca
Phone: (+1) 418-656-5736
Fax: (+1) 418-656-7790
[attachment removed by admin, information available on webpage]
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 09 Dec 2004 14:45:21 +0100
From: Gerhard Hanappi <hanappi(a)pop.tuwien.ac.at>
Subject: Einladung zum Vortrag v. Prof. Ping Chen
Liebe Kollegin, lieber Kollege!
Hiermit möchte ich Sie auf einen Vortrag eines von mir eingeladenen
Professors der Fudan Universität in Shanghai hinweisen.
Professor Ping Chen spricht zum Thema
>From Microfoundations to Evolutionary Macrodynamics
Montag 13.12.04, 17.30-19.30, HS 18 Hauptgebäude, TU Wien
Professor Ping Chen hat als ausgebildeter Physiker zunächst mit dem
Nobelpreisträger Prigogine in Europa zusammengearbeitet, danach eine
Professur in Austin (Texas) angenommen und ist letztlich seit Herbst
dieses Jahres Head of Economics (Schwerpunkt Evolutionary Economics) an
der Fudan Universität in China.
Weitere Details, CV und neuere Papers des Vortragenden finden Sie unter
http://www.vwl.tuwien.ac.at/hanappi/event041213.html
Mit besten Grüßen
Hardy Hanappi
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
Th, 02.12.2004 Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 2)
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, 22 Nov 2004 12:19:06 +0100
From: Oliver Blaskowitz <blaskowitz(a)wiwi.hu-berlin.de>
Subject: DLS2005: Dynamic Models of Implied Volatility
Dear Madams, Dear Sirs,
CASE - Center for Applied Statistics and Economics - an
interdisciplinary research center of Humboldt-Universität zu Berlin
announces the Distinguished Lecture Series 2005 - "Dynamic Models of
Implied Volatility" ( Prof. Stewart Hodges, PhD, Warwick University ) on
January 27 and 28, 2005, at Deutsche Bank in Berlin.
The course outline:
1. Stylised facts
2. Insights from theory
3. Insights from empirical studies
4. Insights and puzzles related to exotic options
Abstract:
Understanding the dynamics of the implied volatility surface is
important for tasks such as hedging derivatives, measuring risk
exposures, valuing exotic options and trading volatility. The literature
related to these topics has expanded dramatically over the last few
years. This series of lectures will attempt a comprehensive survey.
We start from the main observed regularities in the shape and dynamics
of implied volatility surfaces. We then review what theory can tell us.
For example, about how implied volatility is related to local
volatility, and about the shape and dynamics of the surface under
alternative models. Armed with this theory, we take a more discerning
look at the empirical literature, and also consider the nature of risk
premia in volatility markets. Finally, we address situations in which
model specification is critical, and we take stock of what we know and
what remains to be discovered.
Fee:
The fees for researchers / professionals are 200,- / 400,- Euro
(excluding VAT).
Further information you find on
http://www.case.hu-berlin.de
or in the flyer attached to this mail. If you have any more questions
about the course and the enrolment procedure, don't hesitate to contact us.
Yours sincerely
Prof. Dr. Wolfgang Härdle (+49 - 30 - 2093 - 5630)
Oliver Blaskowitz (+49 - 30 - 2093 - 5705)
Ying Chen (+49 - 30 - 2093 - 5807)
Enzo Giacomini (+49 - 30 - 2093 - 5623)
[ attachment removed by admin, file apparently available at ]
[ http://www.case.hu-berlin.de/DLS2005/DLS2005.pdf (185 kB) ]
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107.
seminars within one week
Tu, 23.11.2004 Josef Teichmann
Calculation of the Greeks by Cubature Formulas II
Th, 25.11.2004 Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 1)
The above seminars are also announced via the FAM-news mailing list, one of
the public mailing lists maintained by FAM.
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: Fri, 19 Nov 2004 08:29:18 -0600
From: srpliska <srpliska(a)uic.edu>
Subject: Google Announces 'Google Scholar' for academic research
For your information:
Story
http://www.thestandard.com/internetnews/000628.php
Link
http://scholar.google.com