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PostDoc Fellow in Financial Math. (McMaster University)
by Andreas Schamanek 24 Feb '04

24 Feb '04

---------- 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

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reminder, this week's seminars
by Sandra Trenovatz 23 Feb '04

23 Feb '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 Tu, 24.02.2004 Pavel Grigoriev On low dimensional Case in the Fundamental Asset Pricing Theorem with Transaction Costs © by Financial and Actuarial Mathematics, TU Vienna, 2002-2004

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RA position in mathematical finance (fwd)
by Friedrich Hubalek 20 Feb '04

20 Feb '04

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.

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FAM-reminder, this week's seminars
by Sandra Trenovatz 16 Feb '04

16 Feb '04

Timetable Tuesdays and Thursdays, 16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107 (map). seminars within one week Tu, 17.02.2004 Umut Cetin A Very Simple Model for Liquidity Risk © by Financial and Actuarial Mathematics, TU Vienna, 2002-2004 For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/

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fam-news
by Sandra Trenovatz 27 Jan '04

27 Jan '04

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/

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reminder, this week's seminars
by Sandra Trenovatz 26 Jan '04

26 Jan '04

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/

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reminder, this week's seminars
by Sandra Trenovatz 19 Jan '04

19 Jan '04

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/

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reminder, this week's seminars
by Sandra Trenovatz 12 Jan '04

12 Jan '04

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/

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Post-doc at Carnegie Mellon (fwd)
by Andreas Schamanek 17 Dec '03

17 Dec '03

---------- 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

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Positions in Cambridge ... (fwd)
by Andreas Schamanek 17 Dec '03

17 Dec '03

---------- 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 // ///////////////////////////////////////////////////////////////////

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