Timetable
Tuesdays and Thursdays, 16:30-18:00,
TU FH, Turm A, 6. Stock, Seminarraum 107
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Tu, 18.03.2003 Josef Teichmann
Generic evolutions of the term structure of interest rates (open abstract)
We provide a hypoellipticity result in the spirit of Paul Malliavin for the
HJM-equation. The result can be interpreted as an argument for the
necessity of finite dimensional realizations in interest rate theory.
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Th, 20.03.2003 Josef Teichmann
Stochastic control problems, viscosity solutions, and applications to
finance (2)
Lecture notes on Nizar Touzi's homepage:
http://www.crest.fr/pageperso/lfa/touzi/pise02.pdfhttp://www.crest.fr/pageperso/lfa/touzi/touzi.htm
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http://www.fam.tuwien.ac.at/events/
Tu, 21.01.2003 Josef Teichmann
Non-affine Term Structure Models
Th, 23.01.2003 Fabrice Baudoin,
!!! 15:00-16:30, FH HS 3 !!!
On the Markov property of radial motions
on a Riemannian manifold
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Also note the lectures on Computational Finance this week, organized by
the Institut fuer Angewandte und Numerische Mathematik, TU Wien:
==========================================
VIENNA LECTURES ON COMPUTATIONAL FINANCE
==========================================
am 20. und 21.01.2003
von Prof. Peter Kloeden
(J. W. Goethe Universitaet, Frankfurt am Main)
Titel: What are Stochastic Differential Equations (SDEs)?
Zeit: Montag 20. Jaenner 2003, 16:00 Uhr
Ort: SEM 115, Freihaus, Wiedner Hauptstrasse 8-10, 4. Stock (gruen)
Titel: Higher Order Numerical Methods for SDEs
Zeit: Dienstag 21. Jaenner 2003, 09:30 Uhr
Ort: SEM 105, Freihaus, Wiedner Hauptstrasse 8-10, 7. Stock (gruen)
Titel: Practical Issues Concerning the Use of Numerical Methods for SDEs
Zeit: Dienstag 21. Jaenner 2003, 16:15 Uhr
Ort: SEM 115, Freihaus, Wiedner Hauptstrasse 8-10, 4. Stock (gruen)
Abstract:
http://www.anum.tuwien.ac.at/~carsten/VLCompFin2003
--
|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
Th, 16.01.2003 Andreas Eckner; 16:30-17:15
Pricing Derivatives of American and Game Type in Incomplete
Markets (open abstract)
Th, 16.01.2003 Walter Schachermayer; 17:15-18:00
Optimization of Dividend Payments
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, 17.12.2002 Eva Strasser
On the Duality Theorem of Utility Maximization
Th, 19.12.2002 Jacopo Zani; Banca IMI, Politecnico of Turin
Static Hedging of Barrier Options
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
Today's seminar (Josef Teichmann, Cubature on Wiener Space, II) has to be
rescheduled slightly and will start at 17:00. We are sorry for any
inconveniences this might cause.
Tu, 26.11.2002 Josef Teichmann
Cubature on Wiener Space, II
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, 19.11.2002 Josef Teichmann
Cubature on Wiener Space
Th, 21.11.2002 our seminar on "Coherent Risk Measures" continues
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
Note: the talk originally planned for this Thursday has be rescheduled!
Tu, 12.11.2002 Igor Melichercik
Multi Stage Bond Portfolio Optimization under Model Risk
Th, 14.11.2002 Zoran Vondracek
Levy Processes and Pollaczek-Khintchin formula
Tu, 19.11.2002 Josef Teichmann
Cubature on Wiener Space
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