Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
seminars within one
week
Tu, 13.05.2003 Umut Cetin (Cornell
University)
Liquidity Risk and Arbitrage pricing Theory (open
abstract)
Th, 15.05.2003 Martin Schaden (New York
University)
The Distributions of Historic Stock Returns and
Quantum
Theory (open abstract)
http://www.fam.tuwien.ac.at/events/
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
Tu, 25.03.2003 Peter Grandits
Some remarks on asymptotic ruin probabilities and investment
Th, 27.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (3)
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
Th, 20.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (2)
next week on tuesday:
Tu, 25.03.2003 Peter Grandits
Some remarks on asymptotic probabilities and investment
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
-----------------
Tu, 18.03.2003 Josef Teichmann
Generic evolutions of the term structure of interest rates (open abstract)
We provide a hypoellipticity result in the spirit of Paul Malliavin for the
HJM-equation. The result can be interpreted as an argument for the
necessity of finite dimensional realizations in interest rate theory.
-----------------
Th, 20.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (2)
Lecture notes on Nizar Touzi's homepage:
http://www.crest.fr/pageperso/lfa/touzi/pise02.pdfhttp://www.crest.fr/pageperso/lfa/touzi/touzi.htm
------------------
http://www.fam.tuwien.ac.at/events/
Tu, 21.01.2003 Josef Teichmann
Non-affine Term Structure Models
Th, 23.01.2003 Fabrice Baudoin,
!!! 15:00-16:30, FH HS 3 !!!
On the Markov property of radial motions
on a Riemannian manifold
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Also note the lectures on Computational Finance this week, organized by
the Institut fuer Angewandte und Numerische Mathematik, TU Wien:
==========================================
VIENNA LECTURES ON COMPUTATIONAL FINANCE
==========================================
am 20. und 21.01.2003
von Prof. Peter Kloeden
(J. W. Goethe Universitaet, Frankfurt am Main)
Titel: What are Stochastic Differential Equations (SDEs)?
Zeit: Montag 20. Jaenner 2003, 16:00 Uhr
Ort: SEM 115, Freihaus, Wiedner Hauptstrasse 8-10, 4. Stock (gruen)
Titel: Higher Order Numerical Methods for SDEs
Zeit: Dienstag 21. Jaenner 2003, 09:30 Uhr
Ort: SEM 105, Freihaus, Wiedner Hauptstrasse 8-10, 7. Stock (gruen)
Titel: Practical Issues Concerning the Use of Numerical Methods for SDEs
Zeit: Dienstag 21. Jaenner 2003, 16:15 Uhr
Ort: SEM 115, Freihaus, Wiedner Hauptstrasse 8-10, 4. Stock (gruen)
Abstract:
http://www.anum.tuwien.ac.at/~carsten/VLCompFin2003
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Th, 16.01.2003 Andreas Eckner; 16:30-17:15
Pricing Derivatives of American and Game Type in Incomplete
Markets (open abstract)
Th, 16.01.2003 Walter Schachermayer; 17:15-18:00
Optimization of Dividend Payments
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at
Tu, 17.12.2002 Eva Strasser
On the Duality Theorem of Utility Maximization
Th, 19.12.2002 Jacopo Zani; Banca IMI, Politecnico of Turin
Static Hedging of Barrier Options
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/