Financial and Actuarial Mathematics: Time Table ------------------------------------------------------------------------ On Tuesday, 16.1.2001 there will be NO lecture. The talk by Eva Strasser will be given on Tuesday, 23.1.2001: Eva Strasser: "Change of Numeraire and the Numeraire Portfolio in Financial Models". Abstract: In my master thesis, I consider market models consisting of finitely many assets, which are modeled by continuous semimartingales. A numeraire is a strictly positive security, e.g. a fixed-interest security or, more generally, any security modeled by a strictly positive semimartingale. A tradable numeraire is any strictly positive, continuous semimartingale attainable in the market. One of the aims in my master thesis is to analyse the effects of a change of numeraire on the most important properties of a market model. Another important topic is the so-called numeraire portfolio, which is a special case of an inverse local martingale density. A main result of my master thesis is an existence criterion for the numeraire portfolio. It turns out that a certain structure condition of the market is necessary and sufficient for the existence of the numeraire portfolio. This result is based on the basic existence criterion for local martingale densities by Schweizer (1994). Moreover, I discuss some properties of the numeraire portfolio along the line of Becherer (1999). ------------------------------------------------------------------------ Web page: http://www.fam.tuwien.ac.at/schedule/