there is _no_ seminar today. the talk of lutz von grafenstein will be on
another day, which is not fixed jet.
best regards, sandra trenovatz
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 04.05.2004 Dirk Tasche
Konzentrationssensitive Kapitalanforderungen für
Kreditrisiken
Vortragsreihe aus Finanz- und Versicherungsmathematik
Tu, 06.05.2004 Lutz von Grafenstein
Power markets and HJM-methodology
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 (map).
seminars within one week
Tu, 20.04.2004 Gallus Steiger (ETH Zürich)
On the optimal martingale measure for exponential utiity
indifference pricing (open abstract)
Th, 22.04.2004 Luciano Campi
Hedging for an insider in incomplete markets
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Vortragsreihe: Wissenswertes der Mathematik:
Mo, 19.04.2004 Uwe Schmock (16.00 im Seminarraum 104)
Einführung in die Kreditrisikomodellierung,
http://info.tuwien.ac.at/goldstern/wissen/
TU FH, Turm A, 6. Stock, Seminarraum 107.
Th, 15.04.2004, 16:30 - 17:30
Karel Janecek
(student of D. Kramkov applying for a RICAM-position)
title of talk was not sended.
Th, 15.04.2004, 17:30
Bulat Khaydarov
Market Liquidity and Its Effect on Portfolio Risk
http://www.fam.tuwien.ac.at/events/
Time: Monday, 15. March 2004 from 13.00 to 14.30
Location: Seminarraum 105a (Mehrzweckraum), Argentinierstr. 8, 1. Floor
Speaker: Dr. Daniel Straumann (RiskLab, ETH Zurich)
Title: Estimation in Conditionally Heteroscedastic Time Series Models
Abstract: This talk deals with the estimation in certain conditionally
heteroscedastic time series models, such as e.g. GARCH, asymmetric GARCH
or EGARCH. By exploiting the techniques of stochastic recurrence
equations, we develop a general and unifying limit theory for the
maximum-likelihood estimator (MLE) and quasi-maximum likelihood
estimator (QMLE) in a certain parametric class of conditionally
heteroscedastic time series models. This generalizes and clarifies work
of Lumsdaine (1996) and Berkes et al.(2003). We furthermore discuss the
issue of misspecification in the MLE and the behavior of the QMLE in the
presence of a heavy-tailed noise distribution. A second part of the
thesis studies the asymptotic behavior of the classical Whittle
estimator when it is applied to the squares of GARCH(1,1). We focus on
the case of an unconditional distribution with an infinite 8th moment
and thereby generalize results by Giraitis and Robinson (2001).
A copy of Dr. Straumann's recent Ph.D. thesis on this topic is in my office.
With best regards,
Uwe Schmock
Timetable
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
Th, 11.03.2004
---> 17:00-18:00 <---
Umut Cetin:
An Alternative Proof of Fundamental Theorem of Asset Pricing with
Proportional Transaction Costs
I'll try to give a, somewhat rigorous, sketch of the proof of the
fundamental theorem in the setting of Jouini and Kallal (1995) using
arguments from utility maximization.
http://www.fam.tuwien.ac.at/events/
---------- Forwarded message ----------
Date: Mon, 23 Feb 2004 16:51:07 -0500
From: Matheus Grasselli <grasselli(a)math.mcmaster.ca>
Subject: POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Dear Colleagues
Tom Hurd and I are pleased to announce the following opening for a
Postdoc position within our group at McMaster University. We would
ask you to forward this message to any strong candidates you might
think would be interested in applying for it.
Best regards,
Matheus Grasselli
Assistant Professor and Sharcnet Chair in Financial Mathematics
Dept. of Math & Stats - McMaster University
grasselli(a)math.mcmaster.ca - 905 525 9140 x 23406
www.math.mcmaster.ca/grasselli
************************************************************************
POSTDOCTORAL FELLOWSHIP IN FINANCIAL MATHEMATICS
Applications are invited for a postdoctoral fellowship position in
financial mathematics in the Department of Mathematics & Statistics.
This fellowship provides an opportunity to spend up to two years
engaged in research, with a limited amount of teaching, and is
particularly suitable for a talented young mathematician who has
recently completed the Ph.D. degree.
McMaster University is located 65 km from downtown Toronto, the
financial heartland of Canada. The Department of Mathematics and
Statistics is home to PhiMAC, the Financial Mathematics Lab at
McMaster, a group of faculty, postdoctoral fellows and graduate
students working in financial mathematics (please see
http://www.math.mcmaster.ca/phimac/) for more information. The
appointee will be expected to participate in PhiMAC seminars and
meetings.
The Fellowship is open to candidates of any nationality and selection
will be based upon the candidate's research potential. McMaster is
committed to Employment Equity and encourages applications from all
qualified candidates, including aboriginal peoples, persons with
disabilities, members of visible minorities and women.
Starting July 1, 2004 or thereafter, the stipend will be CAD 40,000
per annum plus a CAD 2,000 grant per annum for research expenses.
Applications will be accepted until the position is filled.
Applications and three letters of reference should be sent immediately
to:
Dr. Matheus Grasselli and Dr. Tom Hurd
Mathematics & Statistics
McMaster University
Hamilton, Ontario
Canada, L8S 4K1
Matheus Grasselli
Assistant Professor and Sharcnet Chair in Financial Mathematics
Dept. of Math & Stats - McMaster University
grasselli(a)math.mcmaster.ca - 905 525 9140 x 23406
www.math.mcmaster.ca/grasselli