Th, 10.01.2002
--------------
Our seminar on "Optima and Equilibria" continues with a talk by Johanna
Gaier on "Marginal Properties of Solutions of Convex Minimisation
Problems".
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
Tu, 18.12.2001
--------------
Marcel Straka, Indifference Prices and Related Measures (part II)
Th, 20.12.2001
--------------
***************************************
* NOTE: This talk will start at 15:30 *
***************************************
Ioannis Karatzas, Optimal Portfolio/Consumption under Habit-Formation
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
New starting time: 16:00!
Tomorrow our seminar will start at 16:00 with the talk by Eva Strasser,
not at 16:30!
Th, 13.12.2001
--------------
Tomorrow's seminar will consist of two parts, each 45 minutes:
* Eva Strasser will speak about "Working Paper: On A Question Raised By
Schachermayer".
* we will continue our seminar on "Optima and Equilibria" by doing some
exercises
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
Th, 13.12.2001
--------------
Tomorrow's seminar will consist of two parts, each 45 minutes:
* we will continue our seminar on "Optima and Equilibria" by doing some
exercises
* Eva Strasser will speak about "Working Paper: On A Question Raised By
Schachermayer".
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
Prof. Karatzas (Columbia) will give a public lecture on on Dec 17 (Monday)
at the Institute for Advanced Studies, Vienna from 4 - 5:30 p.m. HS. 2
"Probabilistic Aspects of Portfolio Analysis"
Abstract
We formulate and discuss notions such as growth rate, diversity, and
arbitrage, that arise naturally in the study and analysis of portfolios.
Relations among these notions are discussed, including examples of diverse
markets that lead to arbitrage opportunities; some optimization problems are
posed and solved; and a couple of open questions are suggested. (Joint work
with Robert Fernholz.)
Tu, 4.12.2001
--------------
Rainer Münz, to be announced
Th, 6.12.2001
--------------
Uli Haboeck, Subdifferentials of Convex Functions,
our seminar on "Optima and Equilibira" continues
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
---------- Forwarded message ----------
Date: Wed, 28 Nov 2001 13:08:41 +0100
From: Uwe Schmock <schmock(a)math.ethz.ch>
Talks:
------
(Please see http://www.math.ethz.ch/finance/talks.html for links)
(a) Thursday, November 29, 2001, 15.15 h (ETHZ, HG E42)
Dr. Thorsten Rheinländer (Department of Mathematics, ETH Zürich)
"A martingale duality approach to stochastic volatility models"
Abstract: We discuss the valuation of derivatives in a general
stochastic volatility context. The fact that the volatility typically
is unbounded already rules out several well known approaches to
valuation in incomplete markets. It turns out that it is still
possible to follow a minimal entropy approach. We determine
explicitly the resulting pricing measure for some classical
stochastic volatility models and provide general verification results.
(Seminar on Financial and Insurance Mathematics)
(b) Wednesday, December 5, 2001, 20.00 h
(Restaurant Au Premier, Zürich Main Station)
Jean-Luc Vuarnoz (Swiss Life)
"Underwriting und Antiselektion in der Personenversicherung"
Abstract: Anhand zahlreicher Beispiele aus der Praxis wird die
Antiselektion illustriert. Die Zusammenhänge zwischen Antiselektion
und Produktdesign einerseits und Risikoprüfung andererseits werden
verdeutlicht. Kommende Herausforderungen im Gebiet Risikoprüfung,
z.B. Internet-Verkauf und Gentests, werden kurz diskutiert.
(Colloquium of Actuaries)
(c) Thursday, December 6, 2001, 17.15 h (ETHZ, G 26.5)
Prof. Christophe Stricker (Université de Franche-Comté, Besançon)
"The fundamental theorem of asset pricing under proportional transaction costs"
Abstract: We consider a multi-asset discrete-time model of a
financial market with proportional transaction costs and efficient
friction and prove necessary and sufficient conditions for the
absence of arbitrage. Our main result is an extension of the
Dalang-Morton-Willinger theorem. As an application, we establish a
hedging theorem giving a description of the set of initial endowments
which allow to super-replicate a given contingent claim.
(Seminar on Financial and Insurance Mathematics)
Two talks in the Seminar for Stochastic Processes:
--------------------------------------------------
(see http://www.math.ethz.ch/finance/SSP.html for abstracts & links)
(a) Wednesday, Dec. 5, 16:15 - 17:00 (ETHZ, HG D 1.2)
Gesine Reinert (Oxford)
"Stein's method for the bootstrap"
(b) Wednesday, Dec. 5, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)
Michel Emery (Université de Strasbourg)
"On normal martingales and their chaotic representation"
RiskLab Papers and Reports:
---------------------------
(a) Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich)
and Pierre Patie (RiskLab)
"Risk Management for Derivatives in Illiquid Markets: A Simulation Study"
(http://www.risklab.ch/Papers.html#IlliquidMarkets)
(b) Dr. Maria Kafetzaki Boulamatsis and Dr. Dirk Tasche (RiskLab)
"Combined Market and Credit Risk Stress Testing based on the Merton Model"
(http://www.risklab.ch/Papers.html#CMCRST)
(c) Enrico De Giorgi (RiskLab)
"An Intensity Based Non-Parametric Default Model for Residential
Mortgage Portfolios"
(http://www.risklab.ch/Papers.html#RMSRMMLP)
With best regards,
Uwe Schmock
Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/