Tu, 08.10.2002 Christoph Kühn
Zur Bewertung von Amerikanischen Optionen und Spieloptionen
in unvollständigen Märkten
Th, 10.10.2002 Rainer Münz
Alterung in Europa: Auswirkungen auf Kapitalmarkt und soziale
Sicherung,
Vortragsreihe aus Finanz- und Versicherungsmathematik
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
June 18, 2002
16:30-18:00, TU FH, Turm A, 6. Stock, Seminarraum 107
> Conditioned Stochastic Differential Equations -
> Applications to Finance
> FABRICE BAUDOIN (Universit´es Paris 6 et Paris 7)
Abstract:
(1) We generalize the notion of Brownian bridge. More precisely, we
study a standard Brownian motion for which a certain functional is
conditioned to follow a given law. Such processes appear as weak
solutions of stochastic differential equations that we call
conditioned stochastic differential equations. The link with the
theory of initial enlargement of filtration is made and after a
general presentation several examples are studied: the conditioning of
a standard Brownian motion (and more generally of a Markov
diffusion) by its value at a given date, and the conditioning of a
standard Brownian motion by its first hitting time of a given level.
(2) As an application, we introduce the notion of weak information on
a complete or incomplete market, and we give a "quantitative" value to
this weak information.
(3) As the end of the talk, we will go one step further by considering
a flow of information: as the price process is revealed, the weak
anticipation is updated.
> Time Table
Tuesdays and Thursdays, 16:30-18:00
Tu, 14.05.2002
> Peter Koenig (Attention: this talk takes place at FH HS 6)
Anlagemanagement von Pensionsfonds
(Vortragsreihe aus Finanz- und Versicherungsmathematik)
Th, 16.05.2002
> Alfred Müller (Attention: this talk starts at 16:00
and takes place at FH HS 6)
Abhängigkeitsordnungen und ihre Anwendungen in der
Versicherungsmathematik
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/schedule/
Thursday, May 2, 2002, 16:30
TU Vienna, Wiedner Hauptstr. 8-10,
Freihaus, 6th floor, green section,
Seminar room 107
Michel Verschuere, Catholic University of Leuven, Belgium
"An Overview on the modelling of Electricity Markets"
Abstract: Recently, national electricity markets have been deregulated
in
several countries in order to make electric power a traded commodity.
We
give an overview of the particular features of electricity markets and
present some recently developed models.