Timetable Tuesday, 16:30-18:00, Freihaus of TU Wien, green area, 6th floor, seminar room 107. Tu, 13.11.2007 Walter Schachermayer "In which Financial Markets do Mutual Fund Theorems hold true? Th, 15.11.2007 Stefan Tappe (Vienna Institute of Finance) "Invariant submanifolds for Levy driven stochastic equations" For further details (including abstracts) see http://www.fam.tuwien.ac.at/events/ Additionally we invite you to the following one-day event: Fr, 16.11.2007 +--------------------------------------------------+ | | | Friday, November 16, 2007: | | | | One day mini-workshop on | | Calibration, Lévy processes in finance, | | FFT, and related issues | | | | http://www.fam.tuwien.ac.at/events/levy/ | | | +--------------------------------------------------+ Location: Lecture hall "Zeichensaal 3" Freihaus Building, 7th floor, green section 9:00-10:00 Fiodar Kilin (Frankfurt School of Finance & Management) "Accelerating the Calibration of Stochastic Volatility Models" 10:00-11:00 Philip Mayer (Graz University of Technology) "Robust calibration of local Lévy equity models" 11:30-12:30 Denis Belomestny (Weierstrass Institute for Applied Analysis and Stochastics, Berlin) "A jump-diffusion Libor model and its robust calibration" 14:00-15:00 Flavio Angelini (Universita degli Studi di Perugia) "Measuring the error of dynamic hedging: a Laplace transform approach" 15:00-16:00 Peter Tankov (Universite Paris VII) "Asymptotic analysis of hedging errors in models with jumps" 16:30-17:30 Martin Keller-Ressel (Vienna University of Technology) "Smile Asymptotics for Affine Stochastic Volatility Models" 17:30-18:00 Stefano Herzel (Universita degli Studi di Perugia) "An affine intensity model for large credit portfolios" Participation is free. Please register for the mini-workshop with a short e-mail to Sandra.Trenovatz(a)fam.tuwien.ac.at .