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.
---------- Forwarded message ----------
Date: Tue, 23 Apr 2002 21:27:29 +0200
From: Dr. Rudolf Taschner <Rudolf.Taschner(a)tuwien.ac.at>
To: <Undisclosed-Recipient:@iatms11.iatm.tuwien.ac.at;>
Subject: Wiener Vorlesung am 7. 5. 2002
"Die Frage nach dem Unendlichen hat wie keine andere Frage von jeher so
tief das Gemüt der Menschen bewegt. Das Unendliche hat wie kaum eine
andere Idee auf den Verstand so anregend gewirkt. Das Unendliche ist aber
auch wie kein anderer Begriff der Aufklärung bedürftig."
David Hilbert
Der Bürgermeister der
Bundeshauptstadt Wien
Dr. Michael Häupl
und der amtsführende
Stadtrat für
Kultur und Wissenschaft
Dr. Andreas Mailath-Pokorny
laden ein zu einer
Wiener Vorlesung
Dienstag
7. Mai 2002
19 Uhr
Univ.-Prof. Dr. Rudolf Taschner
spricht zum Thema
"Musil, Gödel, Wittgenstein und das Unendliche"
Lesung
Franz Robert Wagner
Moderation
Dr. Klaus Kastberger
Ort
Österreichische Nationalbibliothek, Prunksaal
Josefsplatz 1, 1010 Wien
Planung und
Koordination:
Univ.-Doz. Dr. H. Ch. Ehalt,
Kulturabteilung der Stadt Wien,
Wissenschafts- und Forschungsförderung,
Friedrich Schmidt-Pl.5
1082 Wien,
Telefon: (01) 4000
DW 88741, 88744
E-Mail.:
str(a)m07.magwien.gv.at
Rudolf Taschner, geb. 1953, 1976 Promotion sub auspiciis Praesidentis an
der Universität Wien. 1979 Gastaufenthalt an der Stanford University in
Kalifornien, 1981 Habilitation an der Technischen Universität Wien, wo er
Mathematik am Institut für Analysis und Technische Mathematik lehrt.
Verfasser einer Reihe von fachmathematischen Aufsätzen in renommierten
österreichischen, deutschen, schweizer und U.S.-amerikanischen
Zeitschriften, Autor mathematischer Sach- und mehrbändiger Lehr- und
Fachbücher, u.a. "Lehrgang der konstruktiven Mathematik", "Das Unendliche.
Mathematiker ringen um einen Begriff"
Franz Robert Wagner, geb. 1944, Schauspielausbildung am Konservatorium der
Stadt Wien, daneben Privatunterricht bei Julia Janssen, Fritz Lehmann, Boy
Gobert; Engagements u.a. bei den Wiener Festwochen, am Theater an der
Wien, am Staatstheater Oldenburg, am Schauspielhaus Düsseldorf, am Theater
in der Josefstadt. Sprechertätigkeit für den WDR, HR, NDR und den ORF
(u.a. "Universum").
2nd CONFERENCE IN ACTUARIAL SCIENCE AND FINANCE IN SAMOS SEPTEMBER 20-22,
2002, GREECE
The Department of Statistics & Actuarial Science of the
University of the Aegean is pleased to host the 2nd
Conference in Actuarial Science and Finance, to be held
in Samos, on September 20-22, 2002.
This event is jointly organized with the Katholieke
Universiteit Leuven (Department of Applied Economics and
Department of Mathematics) and the Universite catholique
de Louvain (Institute of Statistics and Actuarial research
group), Belgium.
The Conference allows the presentation of the latest works
in the area of actuarial science and finance. It is open
to all persons interested in actuarial science and finance,
be they from universities, insurance companies, banks,
consulting firms or regulatory authorities. The conference
aims to facilitate the contact and the communication between
the practicians and the researchers; a special session will
be devoted to different aspects of actuarial practice.
The main topics include
· Life, pension and health insurance
· Collective Risk Models, Dynamic Solvency Testing
· Claims Distributions and Statistics
· Nonlife insurance
· Extreme Value Theory and Applications
· Financial Risk Management
A number of sessions will explore the different aspects of
these areas.
There will 3 pre-conference short courses from
September 16-19, 2002:
· Extremes, with applications in insurance and finance,
by Professor J. Teugels
· Modelling of dependence, by Professor J. Dhaene
· Building projected lifetables to manage the longevity risk,
by Professor M. Denuit
Postgraduate students and young reseachers are specially
welcome.
For further information, please refer to
http://www.stat.ucl.ac.be/Samos2002/
<http://www.stat.ucl.ac.be/Samos2002/>
This tuesday's seminar starts 30 minutes earlier, i.e., it takes places
from 16:00 to 17:30, at the usual place, Seminarraum 107.
Tu, 23.04.2002
--------------
Fred Espen Benth, Merton's portfolio optimization problem and non-Gaussian
stochastic volatility
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/schedule/
--
|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