----------------------------------------------------------------------- This time we announce a talk at University of Vienna -----------------------------------------------------------------------
Mo, 28.11.2011, 14:15-15:15, seminar room C 207, UZA 4 (different time and different location!) University of Vienna, Nordbergstraße 15, 1040 Wien
Tiziano De Angelis (Sapienza Università di Roma) http://www.memotef.uniroma1.it/newdip/utenti/deangelistiziano/ "Pricing American Bond Options under HJM: an Infinite Dimensional Variational Inequality" (Seminar Finanzmathematik)
For abstract see: http://www.mat.univie.ac.at/finance/seminarWS11.html
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----------------------------------------------------------------------- This time we announce a talk at University of Vienna -----------------------------------------------------------------------
Mo, 05.12.2011, 17:00-18:30, seminar room D 1.01, UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien
Luciano Campi (LAGA, Université Paris 13) http://sites.google.com/site/lucianocampi1/ "On existence of shadow price" (Seminar Finanzmathematik)
For abstract see: http://www.mat.univie.ac.at/finance/seminarWS11.html
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Dear All, Schachermayer just informed me, that time and room of Luciano Campi's talk changed - below you find the corrected announcement. Schachermayer is very sorry for the last-minute changes. Best regards, Sandra Trenovatz
----------------------------------------------------------------------- This time we announce a talk at University of Vienna -----------------------------------------------------------------------
Mo, 05.12.2011, 14:15-15:15, seminar room C 207, UZA 4 (different time and different location!) University of Vienna, Nordbergstraße 15, 1040 Wien
Luciano Campi (LAGA, Université Paris 13) http://sites.google.com/site/lucianocampi1/ "On existence of shadow price" (Seminar Finanzmathematik)
For abstract see: http://www.mat.univie.ac.at/finance/seminarWS11.html
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----------------------------------------------------------------------- This time we announce a talks at University of Vienna -----------------------------------------------------------------------
Mo, 12.12.2011, 14:15-15:15, seminar room C 207, UZA 4 (different time and different location!) University of Vienna, Nordbergstraße 15, 1040 Wien
Michael Kupper (HU Berlin) http://www.math.hu-berlin.de/~kupper/ "Minimal Supersolutions of BSDEs and Robust Hedging" (Seminar Finanzmathematik)
For abstract see: http://www.mat.univie.ac.at/finance/seminarWS11.html
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We, 14.12.2011, 16:15-17:00, Olga Taussky-Todd Raum (C 209), UZA 4 University of Vienna, Nordbergstraße 15, 1040 Wien
Walter Schachermayer (University of Vienna) http://www.mat.univie.ac.at/~schachermayer/ "A Trajectorial Interpretation of Doob's Martingale Inequalities by Hedging Exotic Options" (Mathematisches Kolloquium)
Abstract: The talk links ideas from optimal transport theory with ideas from mathematical finance: for the problem of hedging exotic options in a model independent framework we provide duality results reminiscent of the well-known duality theorems for optimal transport. A somewhat surprising application is a new trajectorial insight into classical martingale inequalities due to J. Doob by interpreting the maximal function of a martingale as an exotic option. We find sharp constants in these inequalities, thus answering a question which has been open for some 20years. This work is joint with B. Acciaio, M. Beiglböck, F. Penkner, and J. Temme from University of Vienna.
15:45 coffee & cake, Common Room (C 206)
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