---------- Forwarded message ----------
Date: Tue, 9 Sep 2003 10:04:08 -0400
From: Ulrich Horst <horst(a)mathematik.hu-berlin.de>
To: Berlin Workshop 2003 <finance(a)math.hu-berlin.de>
Subject: Mathematical Finance for Young Researchers
Dear colleagues,
some weeks ago we sent you a first announcement of our upcoming
Workshop on Mathematical Finance for Young Researchers:
Modeling, Measuring, and Managing Financial Risk.
The workshop will be held on
January 8 - January 10, 2004 at Humboldt University of Berlin.
The aim of the workshop is to bring together promising Ph.D. students
and postdocs, and to give them the opportunity to discuss their research
in an informal atmosphere. Keynote lectures will be given by
David Hobson, University of Bath,
Wolfgang Schmidt, Hochschule fuer Bankwirtschaft,
Martin Schweizer, ETH Zuerich
Thaleia Zariphopoulou, University of Texas at Austin.
We also invite applications for up to 15 contributed talks from young
researchers, in particular from recent PhDs. Accommodation expenses for
speakers will be covered. Very limited support for travel expenses
may also be available.
Please remember that that the deadline for applications is approaching
fast! All those member of groups who are interested in presenting
their research should not hesitate to contact us by October 15th.
Further information can be found on the workshop's website
http://www.math.hu-berlin.de/~finance/workshop/
Thank you very much for your cooperation,
the organizing committee
Peter Bank, Hans Foellmer, Ulrich Horst, Peter Imkeller, Alexander
Schied
===========================================
Ulrich Horst
Humboldt-University of Berlin
Department of Mathematics
Unter den Linden 6
D-10099 Berlin
Phone: +49 (0) 30 2093 5414
Fax: +49 (0) 30 2093 5848
e-mail: horst(a)mathematik.hu-berlin.de
---------- Forwarded message ----------
Date: Thu, 04 Sep 2003 14:46:59 -0700
From: Ulrich Haussmann <uhaus(a)math.ubc.ca>
Subject: position in mathematical finance
Please bring the following vacancy to the attention of qualified
individuals. The posting can also be found
at http://www.math.ubc.ca/Dept/jobs.htm
Tenure-track position in Mathematical Finance and Mathematical
Economics The Mathematics Department at the University of British
Columbia is seeking candidates for a tenure-track Assistant
Professorship, subject to funding, with a starting date of 1 July
2004. Exceptional candidates at the Associate Professor or Professor
level may be considered. Applicants must have an outstanding research
record in one or more of: computational methods in finance, stochastic
analysis applied to finance or economics, or optimization/control
applied to finance or economics.
The successful applicant is expected to interact with related groups
in the Mathematics Department and have demonstrated interest and
ability in teaching. The Mathematics Department has strong connections
with the Pacific Institute for the Mathematical Sciences (PIMS). The
salary will be commensurate with experience and research record.
Applicants should send a current CV including a list of publications,
statement of research and teaching interests, and should arrange for
three letters of reference to be sent directly to:
Chair, Departmental Committee on Appointments
Department of Mathematics
University of British Columbia
#121 - 1984 Mathematics Road
Vancouver, B.C. Canada V6T 1Z2
The deadline date for applications is November 24, 2003. The
University of British Columbia hires on the basis of merit and is
committed to employment equity. We encourage all qualified persons to
apply.
Ulrich Haussmann Tel: 604-822-3045
Department of Mathematics Fax: 604-822-6074
University of British Columbia email: uhaus(a)math.ubc.ca
121 - 1984 Mathematics Rd. URL:
Vancouver, BC, V6T 1Z2 http://www.math.ubc.ca/~uhaus
------- Forwarded Message Follows -------
From: "taylor" <taylor(a)cam.wits.ac.za>
Subject: RESEND - APOLOGIES IF YOU RECEIVED THIS EARLIER
Date: Fri, 22 Aug 2003 15:08:32 +0200
Dear Colleague
We would be very grateful if you would alert potential candidates to
the following position in Mathematical Finance in the School of
Computational & Applied Mathematics at the University of the
Witwatersrand, Johannesburg, described below. The closing date for
applications is 31 October, 2003. Yours sincerely David Taylor
UNIVERSITY OF THE WITWATERSRAND, JOHANNESBURG
School of Computational & Applied Mathematics
Permanent Senior Lecturer/Lecturer Position in Mathematical Finance
Applications are invited for a permanent position in Mathematical
Finance at the University of the Witwatersrand - Johannesburg, to be
taken up with effect from 1 January 2004 or as soon as possible
thereafter.
Candidates should have a PhD and, in the case of the Senior
Lectureship, an established track record of research in some area of
financial mathematics. Applications are particularly encouraged from
candidates with a background in stochastic analysis, or some other
area of analysis. The appointee to this permanent post in the School
of Computational & Applied Mathematics will be expected to maintain an
active programme of research, and to play a significant role in all
aspects of the organisation and teaching of financial mathematics at
all levels.
The School of Computational & Applied Mathematics has a
history of involvement in Financial Mathematics dating back to 1992,
and the local finance community has been absorbing our graduates for
over ten years. We have also had numerous research collaborations and
funding agreements with local and international financial
institutions.
The appointment will be made at the appropriate point on the
Lecturer or Senior Lecturer scale. Further particulars of the post,
including information about remuneration, may be obtained from Prof
David Taylor at mfinance(a)cam.wits.ac.za or +27-11-717-6149 (fax). More
information can be found on our website: www.cam.wits.ac.za/mfinance
To apply, please submit a covering letter, detailed CV with names and
contact details of three referees & certified copies of degrees to:
Mrs Saajida Ooni,
Human Resources Officer,
Faculty of Science
Wits University
Private Bag 3
Wits 2050
South Africa
The closing date for the receipt of completed applications is 31st
October 2003.
Equality of opportunity is University policy
Prof David R Taylor
Mathematics of Finance Programme
Room SH1135
School of Computational & Applied Mathematics
University of the Witwatersrand
PO WITS, 2050
South Afrika
http://www.cam.wits.ac.za/mfinance/
(+27)-11-717-6110 (O); (+27)-11-403-9317(FAX)
Timetable
http://www.fam.tuwien.ac.at/events/
This Friday there are two talks from guests from Germany. Both applied for
the open position in our department.
Fr, 11.07.2003, 9:30, Sem 107
Juri Hinz (Eberhard-Karls Universität Tübingen, D)
''Modeling electricity auctions''
Fr, 11.07.2003, 14:30, Sem 107
Angelika Esser (Goethe University, Frankfurt, D)
''Modeling feedback effects with stochastic liquidity''
Abstracts:
Juri Hinz (Eberhard-Karls Universität Tübingen, D)
''Modeling electricity auctions''
The recent worldwide introduction of competition to electricity production
and trading raises a number of interesting problems concerning optimal
market design, risk estimation, and strategy optimization for power
producers. We address the last problem, discussing an auction model which
captures key features of real-time electricity trading. It turns out that,
under certain conditions, the expected total payment to electricity
producers is independent on particular auction type. This result is similar
to the revenue equivalence theorem for classical auctions and could help to
compare different electricity auction formats.
Angelika Esser (Goethe University, Frankfurt, D)
''Modeling feedback effects with stochastic liquidity''
We model the interactions between the trading activities of a large
investor, the stock price, and the market liquidity. Our framework
generalizes the model of Frey (2000) where liquidity is constant by
introducing a stochastic liquidity factor. This innovation has two
implications. First, we can analyse trading strategies for the large
investor that are affected by a changing market depth. Second, the
sensitivity of stock prices to the trading strategy of the large investor
can vary due to changes in liquidity. Features of our model are demonstrated
using Monte Carlo simulation for different scenarios. The flexibility of our
framework is illustrated by an application that deals with the pricing of a
liquidity derivative. The claim under consideration compensates a large
investor who follows a stop loss strategy for the liquidity risk that is
associated with a stop loss order. The derivative matures when the asset
price falls below a stop loss limit for the first time and then pays the
price difference between the asset price immediately before and after the
execution of the stop loss order. The setup to price the liquidity
derivative is calibrated for one example using real world limit order book
data so that one gets an impression about the order of magnitude of the
liquidity effect.
the talk from baudoin/teichmann/verschure is replaced by:
Tu, 24.06.2003
Robert Tompkins
Unconditional disturbances: a new approach to asset pricing
------------------------------------------------------------
http://www.fam.tuwien.ac.at/events/
Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107 (map).
Tu, 24.06.2003 Fabrice Baudoin, Josef Teichmann, Michel Verschuere
Stochastic control problems, viscosity solutions, and
applications to finance (7)
Th, 26.06.2003 Christoph Hummel (Converium, CH)
(Attention: this talk takes place at FH 3)
Tarifierung in der Kredit(rück-)versicherung
Vortragsreihe aus Finanz- und Versicherungsmathematik
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
The above seminars are also announced via the FAM-news mailing list, one of
the public mailing lists maintained by FAM.