It's a pleasure to announce the following seminars, details (including
abstracts) can be found under http://www.fam.tuwien.ac.at/schedule/
Tu, 9.10.2001
-------------
Friedrich Hubalek, Long forward rates never fall - A general proof of the
Dybvig-Ingersoll-Ross Theorem
Th, 11.10.2001
--------------
Christopher Summer, our seminar on "Optima and Equilibira" starts
Tu, 16.10.2001
--------------
Christopher Summer, Risk Averse Asymptotics and the Optional Decomposition
Th, 18.10.2001
--------------
N.N., our seminar on "Optima and Equilibira" continues
Tu, 23.10.2001
--------------
Hansjörg Albrecher, Department of Mathematics, Graz University of
Technology, On some generalizations of the classical ruin model in risk
theory
|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
Dear FAMily!
Our new thursday seminar will start next thursday, 11.10.2001!
We will go through the book "Optima and Equilibria, An Introduction to
Nonlinear Analysis" by Jean-Pierre Aubin. The book has an extensive
collection of exercises and problems (solutions for the problems are
included) which will give us the opportunity to go really thoroughly
through the material.
http://www.fam.tuwien.ac.at/schedule/optima.html
Wissenswertes aus der Mathematik
Liste der geplanten Vorträge im WS 2001/02
2001-10-22
Klaus Schmidt (Universität Wien):
Mehrparametrische Ergodentheorie
2001-10-29
Michael Fuchs (TU Wien):
Metrische Kettenbruchtheorie und Diophantische Approximation
2001-11-12
Heinz Langer (TU Wien):
Spektraleigenschaften von Blockoperatormatrizen
2001-11-26
Sophie Frisch (TU Graz):
Nicht Noethersche Ringe sind auch Menschen
2001-12-10
Monika Ludwig (TU Wien):
Additive Funktionale für konvexe Körper: Von Hilberts drittem
Problem zu neueren Ergebnissen
2002-01-14
Arne Winterhof (Akademie der Wissenschaften):
Generierung von Pseudozufallszahlen
2002-01-21
Barbara Bittner (Universität Wien):
Statistik in der Genetik
Die Vorträge finden jeweils am
Montag um 16.00 s.t.
im Seminarraum 118 der TU (1040 Wien, Wiedner Hauptstr. 8-10 "Freihaus",
grüner Bereich, 5.Stock) statt. Als Rahmen für eine Sitzung sind etwa 90
Minuten geplant. Einzelne Vorträge können aber auch kürzer sein;
insbesondere dann, wenn eine längere Diskussion zu erwarten ist.
Wie auch in den letzten Semestern bitten wir darum, das Programm an
Interessierte, die noch nicht auf unserer Liste stehen, weiterzuleiten.
Wir werden demnächst einen Ausdruck des Programms an unsere
"Kontaktpersonen" an den einzelnen Instituten schicken und bitten darum,
diesen allen Institutsmitgliedern zugänglich zu machen.
Martin Goldstern und Reinhard Winkler
http://www.tuwien.ac.at/goldstern/wissen/
Thursday, 27.09.2001, 16:30; TU FH, Turm A, 6. Stock, SR 107
Alexei Filinkov: Interest Rate Theory and White Noise Calculus
Prof. Alexei Filinkov
Department of Pure Mathematics
University of Adelaide
South Australia 5005
Australia
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see also: http://www.fam.tuwien.ac.at/schedule/
---------------------------------------------------------------------
---------- Forwarded message ----------
Date: Thu, 13 Sep 2001 17:50:06 +0200
From: ESI Secretary <secr(a)esi.ac.at>
To: seminars(a)thp.univie.ac.at
Action: ANNOUNCE
Title: Random Walks and Spontaneous Emergence of Opinions
Speaker: Mike Keane
CWI, Amsterdam
Date: 2001-09-18
Time: 15:00-15:50
Duration:
Location: ESI lecture hall
Invited_by: K. Schmidt
To officially welcome the new semester there will be a seminar this
thursday!
---------------------------------------------------------------------
Thursday, 13.09.2001, 16:30; TU FH, Turm A, 6. Stock, SR 107
Peter Grandits: Ruin Probability in the Presence of Regularly Varying
Tails & Optimal Investment
---------------------------------------------------------------------
Dear FAM-news subscriber,
There are currently two mailing lists for announcements in the fields
of finance and financial mathematics:
1) our Financial and Actuarial Mathematics Newsletter (FAM-news) and
The FAM-ily Newsletter provides news and announcements of, from,
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Mathematics of Vienna University of Technology.
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The Vienna Finance Newsletter is a mailing list for announcements
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It's likely that one announcement is interesting for both lists. If you
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We suggest that you subscribe at least to VFN-L (see below for details).
If you are subscribed to FAM-news (you probably *are* if you are reading
this) then you will sure benefit from a subscription to VFN-L. Since the
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worth being subscribed to.
This decision was originally posted to FAM-news in April 2000. A copy of
the original message can be found at
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Yours administratively,
-- Andreas
P.S.:
How to subscribe to the Vienna Finance Newsletter (VFN-L):
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You can easily subscribe yourself at the WWW at address
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An alternative way is to write the word 'subscribe' (e.g. in the
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To check out the VFN-L archive (of previous postings) go to
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---------------------------------------------------------------------
ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
SE Schachermayer (Thursday 16:30-18:00)
12.07.2001 - Kasper Larsen (Odense University, Denmark)
Title: The American Put Option, some numerical aspects.
Abstract:
There does not exist a closed form solution to the problem of pricing
an American Put. However, this pricing problem can be characterized as
an optimal stopping problem and in turn as a solution to a free boundary
problem. This formulation can be used for numerical experiments. We will
discuss some of the difficulties in applying the methods normally used
for such non-linear problems.
Finally we apply such a numerical procedure on some artificial example.
This will show other problems connected to this pricing issue; e.g. the
behaviour of the approximate solution when we change the grid size.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html
Technische Universitaet Wien
15. Workshop
Austrian Working Group on Banking and Finance
30. 11. / 1. 12. 2001
CALL FOR PAPERS
Der Workshop findet am Freitag, dem 30. 11. 2001, nachmittags und am
Samstag, dem 1. 12. 2001, vormittags an der TU Wien statt. Bezueglich
der Themen ist keine Einschränkung vorgesehen. Papers oder extended
abstracts (ca. 2 Seiten) können bis spätestens 5. 11. 2001 bei Prof.
Helmut Uhlir und Prof. Stefan Pichler, TU Wien, Abteilung für
Industriefinanzierung und Investment Banking, Favoritenstrasse 11, 1040
Wien (Tel.: 01-58801-33080, Fax: 01-58801-33098), eingereicht werden.
Einreichung per Email (huhlir(a)pop.tuwien.ac.at bzw.
spichler(a)pop.tuwien.ac.at) ist erwünscht.
Einen schönen Sommer wünschen
Helmut Uhlir Stefan Pichler
Financial and Actuarial Mathematics: Time Table
--------------------------------------------------------------------------
PV Schachermayer (Tuesday 16:30-18:00)
10.07.2001 - Michael Kirch (Humboldt Universität zu Berlin)
Title: Efficient Hedging under Model-Uncertainty
Abstract:
We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
--------------------------------------------------------------------------
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html