-------- Original Message -------- Subject: Seminar advertisment From: Friedrich Hubalek <fhubalek(a)fam.tuwien.ac.at> To: vit(a)fam.tuwien.ac.at Dear Victor, please post this on the fam-list, thank you fh ================================================================ We are looking for more participants and speakers for the seminar 105.021 SE AKVFM Mathematical Finance 2. The aim of the seminar is to discuss recent or classical work on mathematical finance beyond the introductory Black-Scholes and Cox-Ross-Rubinstein framework. This seminar is especially recomended for students doing a diploma or doctoral thesis. The requirement for the seminar is a basic knowledge of finance (say our course "Advanced Mathematics of Finance" or Hull's book etc. A basic knowledge of probability might be helpful. Participants should prepare and give one or two talks in English language. The topic is negotiable (!!!), my suggestions for this semester are Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath: Coherent Measures of Risk, Math. Finance 9 (1999), no. 3, 203-228 already a "classic" by now. If somebody wants to get (and do) an additional deeper mathematical view of this topic she can try Freddy Delbaen: Coherent Risk Measures on General Probability Spaces http://www.math.ethz.ch/~delbaen/ Very enjoyable to read, full of surprises and very profound is Embrechts, P., McNeil, A., Straumann, D.: Correlation and dependency in risk management: properties and pitfalls http://www.math.ethz.ch/~baltes/ftp/papers.html A short, non-technical version appeard in May 1999 in the risk magazine: Embrechts, P., McNeil, A., Straumann, D.: Correlation: Pitfalls and alternatives RISK Magazine, May 1999. Another suggestion is the work of Fred Espen Benth on Portfolio optimization in non Gaussian markets Several papers and preprints can be found at http://www.math.uio.no/~fredb/ Copies of the papers are provided. Anybody interested should contact immediately F Hubalek (fhubalek(a)fam.tuwien.ac.at) ================================================================