dear fam-ily,
rainer muenz is discussing today in the peter weinberger's series
"streitgespraeche" about "wissenschaft und aussenpolitik". further
information can be found at http://www.tuwien.ac.at/streitgespraeche/
best regards, joandi
Josef Teichmann
Institut für Finanz- und Versicherungsmathematik
Technische Universität Wien
Wiedner Hauptstraße 8-10
A-1040 Wien
Austria
tel ++43/1/5880110514
fax ++43/1/5880110599
http://www.fam.tuwien.ac.at/~jteichma
Tu, 15.10.2002 Cristian Popa
Relaxation with measure-valued functions in problems of Best
Approximation
Th, 17.10.2002 Tanja Veza
Seminar on
"Coherent Risk Measures on General Probability Spaces"
ATTENTION: this talk takes place in Seminarraum 105
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, 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.