------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ Mo, 21.01.2013, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Alexander Drewitz (ETH Zurich) http://www.math.ethz.ch/~drewitza/ "A new rearrangement inequality around infinity and applications to Lévy processes" (Seminar on Probability Theory) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12_prob.html ------------------------------------------------------------------------ We, 23.01.2013, 16:15, Olga Taussky-Todd Raum (C 2.09) 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 2nd floor Hans Föllmer (HU Berlin) http://www2.mathematik.hu-berlin.de/~foellmer/ "Risk and Knightian Uncertainty: On the Role of Probability in Finance" (Mathematisches Kolloquium) Abstract: Over the last decades advanced probabilistic methods have played an increasing role in Finance, both in Academia and in the financial industry. In view of the recent financial crisis it has been asked to which extent the use of such methods has been part of the problem. We review some of the arguments and then focus on the foundational issue of model uncertainty, also called "Knightian uncertainty". This will be illustrated by the interplay between "historical measures" and "martingale measures" in the standard framework of Mathematical Finance and also by the problem of quantifying financial risk. 15:45-16:15 coffee & cake, Common Room (C 2.06) ------------------------------------------------------------------------ Th, 24.01.2013, 17:00, seminar room D 1.01 1090 Wien, Nordbergstraße 15, University of Vienna, UZA 4, 1st floor Hans Föllmer (HU Berlin) http://www2.mathematik.hu-berlin.de/~foellmer/ "Shifting martingale measures and the birth of a bubble" (Seminar on Mathematical Finance) For further details see http://www.mat.univie.ac.at/~finance_hp/seminarWS12.html ------------------------------------------------------------------------