Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
seminars within one week
Th, 18.11.2004 Michel Verschuere (Risk Analyst, Luminus Hasselt and FAM@TU)
Optimal forward investment in power markets
other future seminars
Th, 25.11.2004 Irene Klein (Uni Wien)
No Market Free Lunch and Large Financial Markets (part 1)
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, 15 Nov 2004 12:37:38 -0800 (PST)
From: Lane Hughston <lane_hughston(a)yahoo.com>
Subject: Positions at King's College London
Dear Colleague
Positions at King's College London
This is to let you know that there are two permanent positions now
available in financial mathematics at King's College London. One is a
Lectureship in Financial Mathematics, and the other is a new Professorship
in Financial Mathematics. Both posts are based in the Department of
Mathematics. Details of these posts, along with information about the
application procedures, can be found on the Mathematics Department
website:
http://www.mth.kcl.ac.uk
The deadline for applications is 31 January 2005. I should be grateful if
you were to pass this information on to potential applicants
(or consider applying yourself, if that is appropriate ! ). Candidates
should (of course) have an outstanding track record of pure or applied
research in some area of financial mathematics. Please feel free to
contact me (Lane.Hughston(a)kcl.ac.uk) or Dr Mihail Zervos
(Mihail.Zervos(a)kcl.ac.uk) in connection with any informal enquiries.
Yours sincerely
Lane Hughston
My apologies if you get this message more than once !
=====
Professor Lane P. Hughston
Chair in Financial Mathematics
Department of Mathematics, King's College London
The Strand, London WC2R 2LS, UK
office 0207 848 2855
mobile 07768 710677
home 0207 639 0302
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
From: Sabine Grob <grob(a)wiiw.ac.at>
Subject: [Noeg-l] wiiw Seminar International Economics
Date: Mon, 15 Nov 2004 14:36:59 +0100
Dear Colleagues,
We apologize for the previous announcement with a wrong date.
The next wiiw Seminar in International Economics
will be this week:
Friday, November 19th, 2004 at 1 pm
wiiw Seminarraum, Oppolzergasee 6, 1010 Wien, 2nd floor
Felix Eschenbach
Sciences Po, Paris
Financial Sector Competition, International Trade in Financial Services,
and Economic Growth
joint paper with Joseph Francois (Erasmus University Rotterdam)
Abstract:
We explore dynamic linkages between financial/banking sector openness,
financial sector competition, and growth. We first develop a model
highlighting links between long-run economic performance and services
trade, through scale economies and market and cost structures in the
financial services sector. This is followed by an econometric exercise
based on data for 130 countries for the 1990s. Our results point to a
strong positive relationship between financial sector competition
/performance and financial sector openness (meaning foreign bank
access to domestic markets), and between growth and financial sector
competition/performance. They also point to the presence of scale
economies in the sector.
Keywords: financial services trade, service trade and imperfect
competition, trade in services and growth, financial competition
JEL codes: F40, F13, F43, G15
We cordially invite to this talk!
Julia Wörz
Sabine Grob
The Vienna Institute for International Economic Studies (wiiw)
Wiener Institut für Internationale Wirtschaftsvergleiche (wiiw)
A-1010 Vienna, Oppolzergasse 6
( Tel: +43 1 533 66 10 - 40, 4 Fax: +43 1 533 66 10 - 50
, e-mail: grob(a)wiiw.at
wiiw Homepage: www.wiiw.at
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 10 Nov 2004 16:51:45 +0100
From: ESI Secretary <secr(a)esi.ac.at>
To: seminars(a)doppler.thp.univie.ac.at
Action: ANNOUNCE
Title: Workshop: "Stochastic processes from physics and biology"
Speaker: for information please see
http://www.esi.ac.at/activities/Stochastic2004.html
Date: 2004-11-26
Time: 9:00
Duration:
Location: ESI lecture hall
Invited_by: A. Wakolbinger
--
The Erwin Schroedinger
International Institute for Mathematical Physics
Boltzmanngasse 9
A-1090 Vienna
phone: +43-1-4277-28282
fax: +43-1-4277-28299
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 10 Nov 2004 15:19:00 -0000
From: Lyons T J Prof <tlyons(a)maths.ox.ac.uk>
Subject: Position in Mathematical Finance - Oxford
Dear Colleague
Re: Position in Mathematical Finance - Oxford
Oxford University has just announced a Lectureship in Mathematical Finance,
based in the Mathematical Institute, and I am writing to ask for your help
in bringing it to the attention of any strong potential candidates. The post
arises out of the success of our part-time Masters course in Mathematical
Finance, and the teaching duties will be largely on that programme. Please
note that the closing date is 30th November 2004.
We attract outstanding graduate students in finance, have a thriving and
substantial Masters programme with core funding from the European financial
sector, and have a strong and diverse group of faculty working in the area.
An important goal in making this appointment will be to capitalise on these
strengths and help develop Oxford as a leading centre for the subject in
Europe; it is essential that the appointee is able to contribute at a high
academic level.
Details of the post are on
http://www.maths.ox.ac.uk/notices/vacancies/institute/lecturer7.shtml
Note that a substantial supervision fee is paid for supervising part-time
masters students, and there is the opportunity to undertake up to 30 days of
consultancy per year without loss of salary.
We will be happy to try to answer any other questions you may have.
Best regards
Sam Howison - howison(a)maths.ox.ac.uk
Terry Lyons - tlyons(a)maths.ox.ac.uk
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Wed, 10 Nov 2004 11:25:52 +0100
From: Helmut Strasser <Helmut.Strasser(a)wu-wien.ac.at>
Subject: Statistics and Decisions, Contents
Sehr geehrte Fachkollegen !
Wie Sie sicher seit geraumer Zeit wissen, ist die von Prof. Plachky
gegründete und jahrelang herausgegebene Zeitschrift "Statistics and
Decisions" seit 2003 mit einem neuen Editorial Board ausgestattet. Details
zum Editorial Board, zur Herausgeberpolitik und zum veränderten Layout
finden Sie auf der Homepage der Zeitschrift:
http://www.oldenbourg.de/verlag/statistics-international/
Ich möchte Sie auf diesem Weg dazu ermuntern, bei der Veröffentlichung Ihrer
Arbeiten und von Arbeiten Ihrer Mitarbeiter die Zeitschrift "Statistics and
Decisions" in betracht zu ziehen. Zu Ihrer Information sende ich Ihnen
nachstehend die Inhalte der Hefte seit dem Herausgeberwechsel. Sie sehen
daraus, dass die veröffentlichten Arbeiten hinsichtlich des inhaltlichen
Spektrums im Bereich der Mathematischen Stochastik weit gestreut sind.
Zahlreiche prominente Kollegen haben uns bereits ihr Vertrauen geschenkt und
Arbeiten in "Statistics and Decisions" veröffentlicht.
Ich hoffe, dass diese Information Ihr Interesse findet.
Mit besten Grüssen, Helmut Strasser.
**********************************************************************
Helmut Strasser
o.Univ.Prof., Dr.phil.
----------------------------
Member of the Austrian Academy of Sciences
Editor of Statistics and Decisions
---------------------------
Department of Statistics and Mathematics
Vienna University of Economics and Business Administration
A-1090 Vienna, Augasse 2-6
---------------------------
Phone: +43+1+31336 5051 (5050)
Fax: +43+1+31336 734
Email: Helmut.Strasser(a)wu-wien.ac.at
WWW: http://matrix.wu-wien.ac.at/homepage/helmutstrasser
***********************************************************************
Eine Reihe von Editoren der Zeitschrift haben durch Publikation einer
persönlichen Arbeit zum gelungenen Neustart beigetragen: L. Rüschendorf, W.
Schachermayer, A. van der Vaart (forthcoming), L. Devroye, A. N. Shiryayev,
A. Janssen, F. Liese, M. Nussbaum, W. Wefelmeyer.
Weitere Autoren und Titel finden Sie nachstehend:
Volume 22, Issue 2:
P. Dencker, F. Liese: Local maximin properties of tests in Gaussian shift
experiments.
J. Fehrenbach, L. Rüschendorf: Markov chain algorithms for Eulerian
orientations and 3-colourings of 2-dimensional Cartesian grids.
D. Ferger: A two-dimensional Cramer-von Mises test for the two-sample
problem with dispersion alternatives.
P. Guasoni, W. Schachermayer: Necessary conditions for the existence of
utility maximizing strategies under transaction costs.
Volume 22, Issue 1:
E. Belitser: On asymptotic expansion of pseudovalues in nonparametric median
regression.
A.S. Dalalyan, Y.A. Kutoyants: On second order minimax estimation of
invariant density for ergodic diffusion.
L. Heinrich, F. Pukelsheim, U. Schwingenschlögl: Sainte-Lague's chi-square
divergence for the rounding of probabilities and its convergence to a stable
law.
H. Peng, A. Schick: Estimation of linear functionals of bivariate
distributions with parametric marginals.
A.N. Shiryaev: A remark on the quickest detection problems.
Volme 21, Issue 4:
A. Janssen: Which power of goodness of fit tests can really be expected:
intermediate versus contiguous alternatives.
Y. Sheena and A.K. Gupta: Estimation of the multivariate normal covariance
matrix under some restrictions.
A. Steland: Jump-preserving monitoring of dependent time series using pilot
estimators.
S.T. Garren: Improved estimation of medians subject to order restrictions in
unimodal symmetric families.
Volume 21, Issue 3:
M. Jähnisch, M. Nussbaum: Asymptotic equivalence for a model of independent
non identically distributed observations.
A.A. Gushchin, E. Valkeila: Approximations and limit theorems for likelihood
ratio processes in the binary case.
R. Kühne, L. Rüschendorf: Optimal stopping and cluster point processes.
L. Wang: Limit theorems in change-point problems with multivariate
long-range dependent observations.
Volume 21, Issue 2:
T. Sottinen, E. Valkeila: On arbitrage and replication in the fractional
Black-Scholes pricing model.
J. Forrester, W. Hooper, H. Peng, A. Schick: On the construction of
efficient estimators in semiparametric models.
A. Korostelev: The Bahadur risk in probability density estimation.
J. Rahnenführer: On preferences of general two-sided tests with applications
to Kolmogorov-Smirnov-type tests.
K. Pötzelberger: Estimating the dimension of factors of diffusion processes.
M. Revyakov: Ranking of populations in parameter's modulus.
Volume 21, Issue 1:
Ioannis Karatzas: A note on Bayesian detection of change-points with an
expected miss criterion.
Luc Devroye, Dominik Schaefer, Laszlo Györfi, Harro Walk: The estimation
problem of minimum mean squared error.
Hans M. Dietz, Yury A. Kutoyants: Parameter estimation for some
non-recurrent solutions of SDE.
Jeannette H.C. Woerner: Variational sums and power variation: a unifying
approach to model selection and estimation in semimartingale models.
Yuzo Maruyama: A robust generalized Bayes estimator improving on the
James-Stein estimator for spherically symmetric distributions.
Wolfgang Schmid, Yarema Okhrin: Tail behaviour of a general family of
control charts.
---------- 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
[attachment removed and saved to below URL by admin]
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Type: PDF document, version 1.2
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.