Financial and Actuarial Mathematics: Time Table -------------------------------------------------------------------------- TODAY: SE Schachermayer (Thursday 16:30-18:00) 31.05.2001 - Ping Li: Minimal Martingale Measures for Discrete-time Incomplete Financial Markets Abstract: In this paper, we first give a characterization of minimal martingale measures for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a specified discrete-time market model. Based on this minimal martingale measure, the price of any contingent claim can be given. NEXT WEEKS: PV Schachermayer (Tuesday 16:30-18:00) 12.06.2001 - A. Helmert & M. Willomitzer: Innovative Produktmodelle und effiziente Methoden zur Produktentwicklung, Analyse und Umsetzung 19.06.2001 - Martin Barlow: A diffusion model for electricity spot prices Abstract: Electricity is now a traded commodity in a number of regions. Starting from a simple supply/demand model for electricity, we obtain a model for spot prices which captures some of the features of real prices, including 'price spikes'. We estimate the parameters in the model for the Alberta and California markets, and compare this model with some others used for spot prices. Location: TU FH, Turm A, 6. Stock, Seminarraum 107 -------------------------------------------------------------------------- Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html