From: Mark Owen <mowen(a)ma.hw.ac.uk>
Dear colleague,
I would be very grateful if you could pass on on some information to
members of your department about a newly advertised RA position at the
department of Actuarial Mathematics and Statistics, Heriot-Watt
University.
This is a two year, EPSRC funded position, and would suit recent postdocs
with a background in financial mathematics, functional analysis or
stochastic analysis. More details can be found in the attached particulars
or on my homepage: http://www.ma.hw.ac.uk/~mowen/
Many thanks indeed,
Mark Owen.
--
Dr. Mark P. Owen,
School of Mathematical and Computer Sciences,
Scott Russell Building,
Heriot-Watt University, Riccarton,
Edinburgh EH14 4AS, Scotland.
School of Mathematical and Computer Sciences
Department of Actuarial Mathematics and Statistics
Post-Doctoral Research Fellowship in Financial Mathematics -
`Optimal investment in semimartingale markets for the writer of a
contingent claim'.
--
Further Particulars
Salary: £18,265 - £20,311
Applications are invited for a 24 month Post-Doctoral Fellowship in the
Department of Actuarial Mathematics and Statistics at Heriot-Watt
University, funded by the EPSRC. The pro ject will be concerned with the
existence of solutions to problems of optimal investment in general
semimartingale models of financial markets, using a combination of
martingale methods, convex duality, and functional analysis.
Applicants should have a PhD in either financial
mathematics, functional analysis or stochastic analysis. Due to the nature
of the pro ject, a background in functional analysis would be
advantageous. The candidate should have as a minimum, a basic knowledge
of financial mathematics and the desire to work in this field.
Opportunities are available for participation in international
conferences.
The aim of the project is to investigate optimal investment for an
economic agent who wishes to maximise their expected utility of wealth
from trading, in the framework of a general model of an incomplete
semimartingale financial market. It is proposed to treat
the case where the agent has written a European style contingent claim,
with possibly unbounded payoff. This would extend previous work by the
principal investigator, Dr M. Owen. One of the main goals of this pro ject
will be to formulate a tractable (dual) optimisation problem within a
locally convex topological vector space generated by pricing measures. In
addition to this, properties of the optimal terminal wealth will be
investigated, with the aim of relating it to an optimal wealth process or
an optimal trading strategy.
The Department of Actuarial Mathematics and Statistics is part of the
School of Mathematical and Computer Sciences at Heriot-Watt University.
The Department is one of the world's leading centres of research in
actuarial and financial mathematics, and was awarded Grade 5 in the 2001
Research Assessment Exercise.
Much useful information about the Department can be found in the Annual
Reports on our website at http://www.ma.hw.ac.uk/ams.html.
Further information is available from http://www.ma.hw.ac.uk/mowen/ or
from Dr M. Owen (Tel: +44-(0)131 451 4366, email: M.P.Owen(a)ma.hw.ac.uk).
It is expected that the Post-Doctoral Research Fellowship will start as
soon as possible after 1 April 2004.
For application details, please contact the Human Resources Office,
Heriot-Watt University, Edinburgh EH14 4AS, tel/fax +44-(0)131 451 3475
(24 hours), hr(a)hw.ac.uk, quoting Ref 31/04/J. Closing date: 12 March 2004.
ein weiterer vortrag an unserem institut, ausnahmsweise an einem mittwoch,
dafür aber zur gewohnten zeit um 16:30. da der seminarraum 105 besetzt ist,
findet der vortrag im besprechungszimmer des instituts 107 (freihaus, 6.
stock, grüner bereich) statt.
We, 28.01.2004 Alexander Uljanov
Fondsgebundene Lebensversicherungen mit Mindestgarantie
(in deutscher sprache)
abstract siehe http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00
TU FH, Turm A, 6. Stock, Seminarraum 107
seminars within one week
Mo, 26.01.2004 Josef Teichmann (16.00 im Seminarraum 118)
Geometrie der Zinsen,
Vortragsreihe: Wissenswertes der Mathematik
Tu, 27.01.2004 Josef Teichmann
Generalising the Hobson-Rodgers model
Th, 29.01.2004 Alexander Schied
Optimal investments for robust utility functionals
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/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
seminars within one week
Tu, 20.01.2004 Josef Teichmann
Cubature on Wiener Space from the point of view of central
limit theorems
Th, 22.01.2004 Andreas Kull
'Solvency II': Ein neues Aufsichtsmodell für die
Versicherungswirtschaft in der EU
Vortragsreihe aus Finanz- und Versicherungsmathematik
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, 13.01.2004 Peter Friz
Rough Path and Stochastic Analysis
other future seminars
Th, 22.01.2004 Andreas Kull
'Solvency II': Ein neues Aufsichtsmodell für die
Versicherungswirtschaft in der EU
Vortragsreihe aus Finanz- und Versicherungsmathematik,
Mo, 26.01.2004 Josef Teichmann (16.00 im Seminarraum 118)
Geometrie der Zinsen, Vortragsreihe: Wissenswertes der
Mathematik
Th, 29.01.2004 Alexander Schied
Optimal investments for robust utility functionals
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, 16 Dec 2003 18:57:30 -0500 (EST)
From: Steven Shreve <shreve(a)matt.math.cmu.edu>
Subject: Post-doc at Carnegie Mellon
CARNEGIE MELLON UNIVERSITY
Center for Computational Finance
The Center for Computational Finance expects to appoint a post-doctoral
fellow in mathematical finance, beginning in September 2004.
This position will be funded by Morgan Stanley and the National
Science Foundation, and is contingent upon approval of the
National Science Foundation funding. Applicants should have a strong
record of accomplishment in probability research and a serious interest
in the applications of probability to finance. This will be a two-year
appointment with no teaching duties. The recipient will be expected to
make short visits to Morgan Stanley during the academic year, and Morgan
Stanley is expected to offer an internship in the summer between the
academic years. Applicants should send a vita, list of publications, a
statement describing current and planned research, and arrange to have at
least three letters of recommendation sent. For full consideration,
applications should be received by January 12, 2004. All communications
should be addressed to: Computational Finance Post-doctoral Committee,
Department of Mathematical Sciences, Carnegie Mellon University,
Pittsburgh, PA 15213. Carnegie Mellon University is an Affirmative
Action/Equal Opportunity Employer
--
Steven E. Shreve
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA 15213-3890
shreve(a)cmu.edu
http://www.math.cmu.edu/users/shreve
Direct Telephone: 412-268-8484
Department Telephone: 412-268-2545
Fax: 412-268-6380
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 16 Dec 2003 15:34:55 +0000 (GMT)
From: Chris Rogers <L.C.G.Rogers(a)statslab.cam.ac.uk>
Subject: Positions in Cambridge ...
(...)
There are currently two positions available at any point on the
Lecturer scale in this department, one in math finance, the other
in any area but with a preference for math finance. These are
very attractive for a variety of reasons, which I'm happy to
explain to anyone who is interested further after checking out
http://www.statslab.cam.ac.uk/Vacancies/
Please bring to the attention of anyone you think may be
suitable.
Closing date 5th Jan 2004.
Chris
///////////////////////////////////////////////////////////////////
// Professor L C G Rogers Tel: +44 1223 766806 //
// Statistical Laboratory Fax: +44 1223 337956 //
// Wilberforce Road Web: www.statslab.cam.ac.uk/~chris //
// Cambridge CB3 0WB, GB //
///////////////////////////////////////////////////////////////////
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Th, 11.12.2003 Stefan Geiss
Approximations of European type pay-offs, fractional
Sobolev spaces, and random time nets
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/