From David G. Hobson <dgh(a)maths.bath.ac.uk>
Dear Colleague;
In 2005 the Isaac Newton Institute is holding a six-month programme on
Developments in Quantitative Finance: see
http://www.newton.cam.ac.uk/programs/DQF/index.html
The aim of this programme is to promote research in quantitative finance
and to gather together leaders from all related disciplines including
mathematicians, economists and industry professionals, so that they can
share their knowledge and advance their understanding.
There is already a preliminary schedule for programme (follow links for
the above or see http://www.bath.ac.uk/~masdgh/INI/timetable.html).
This schedule
is based around a series of events on various themes from accross
mathematics, economics and finance.
There is also a mailing list which those interested in participating in
one of the components of the programme are encouraged to join.
David Hobson
on behalf of the organisers
Darrell Duffie, Stanford University
David Hobson, University of Bath,
Chris Rogers, University of Cambridge,
Jose Scheinkman, Princeton University
---------- Forwarded message ----------
Date: Fri, 28 Nov 2003 08:50:22 +0000
From: Niels Jacob <N.Jacob(a)swansea.ac.uk>
Dear All,
this is to inform you that from April 19 - 23, 2004 Prof.
S.Levendorskiy (Austin, Texas) will give in Swansea a series of
lectures on
Asymptotic Analysis and Pseudo-Differential Operators in Application
to Finance
More details you will find on our webpage
http://www-maths.swan.ac.uk/levendorskiy.html
May I ask you to make this information available to your
collaborators and graduate students.
Many thanks and best regards
Niels Jacob
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 25 Nov 2003 17:12:56 +0100
From: OeFAI Information Server <oefaiinf(a)ai.univie.ac.at>
Subject: 20031203.VORTRAG: Dr. Brian Sallans, OFAI, Wien
VORTRAG
*******
Oesterreichisches Forschungsinstitut fuer Artificial Intelligence(OeFAI)
Freyung 6/6, A-1010 Wien
Tel.: +43-1-53361120, Fax: +43-1-5336112-77, Email: sec(a)oefai.at
-------------------------------------------------------------------------
Dr. Brian Sallans
Oesterreichisches Forschungsinstitut
fuer Artificial Intelligence (OeFAI)
AN AGENT-BASED MODEL OF INTERACTING MARKETS
With the increase in available computational power, agent-based
economic models have grown in prominence as a supplement to analytic
models and empirical studies. I will describe an agent-based discrete-
time model of interacting consumer and financial markets. The two
markets are linked through the behavior of boundedly-rational,
learning firms. The firms compete in the consumer market, and try to
satisfy both their customers and their shareholders. The model also
includes stock traders and simple consumers. I will give an overview
of the model, discuss validation and model exploration methods, and
show how the model can be used to investigate stock-option-based
management compensation.
Zeit: Mittwoch, 3.12.2003, 18:30 Uhr pktl.
Ort: Oesterreichisches Forschungsinstitut
fuer Artificial Intelligence
FREYUNG 6/6, 1010 Wien.
OESTERREICHISCHES FORSCHUNGSINSTITUT
FUER ARTIFICIAL INTELLIGENCE
o.Univ.-Prof. Ing. Dr. Robert Trappl
***
[added by Andreas Schamanek:]
OeFAI -- http://www.oefai.at/
---------- forwarded message --------
Date: Mon, 24 Nov 2003 12:16:06 -0000
>From: felicity(a)tou-can.co.uk
To: vfn-l(a)fam.tuwien.ac.at
Subject: STOCHASTIC ANALYSIS WITH APPLICATIONS TO MATHEMATICAL FINANCE -
ROYAL SOCIETY THEMED ISSUE
(...)
Stochastic analysis with applications to mathematical finance
A thematic issue from The Royal Society
compiled and edited by Jeff Cash
Published January 2004
Special offer price: £45/US$70
This special issue of Proceedings Series A contains a collection of
papers concerned with algorithms based on probability. Probability
theory has become an indispensable tool in the scientific
investigation of many important mathematical problems. Perhaps the
most widely used application, and the most easily appreciated by the
layman, is in mathematical finance. Mathematical models are widely
used to set interest rates, they guide the management of risk and they
are used to provide the prices of financial derivatives. Another
important application area involves stochastic partial differential
equations. These play a central role in areas such as hydrology,
oceanography and atmospheric science. An important example of this is
weather prediction and in the prediction and understanding of river
flows in a complex river basin. Probabilistic approaches also play an
important role in the rigorous definition of the solution to a PDE and
they provide an approach for examining the existence and uniqueness of
a solution. An important application in the area of partial
differential equations is cubature on Wiener space, which has been
used for the numerical approximation of solutions of the heat
equation.
Finally this volume also examines the progress that has been made in
super Brownian motion, which typically describes particles diffusing
through space, and its application to genetic inheritance.
Subscribers to Proceedings Series A can access the full content by
visiting our website at http://www.pubs.royalsoc.ac.uk
Non-subscribers can purchase this volume at the special price of £45.
To order online please visit
http://www.pubs.royalsoc.ac.uk/acatalog/stochastic.html
Alternatively you can contact The Royal Society by any of the
following routes:
telephone: +44 (0) 870 121 4224
fax: +44 (0) 870 121 4223
email: <mailto:royalsociety@twoten.press.net>
Contents
_______________________________________________________________
Finite-dimensional Markovian realizations for stochastic volatility
forward-rate models
T Björk, C Landén and L Svensson
Chaos and coherence: a new framework for interest-rate modelling
D Brody and LP Hughston
Convergence of a discretization scheme for jump-diffusion processes with
state-dependent intensities
P Glasserman and N Merener
On the geometry of the term structure of interest rates
D Filipovic and J Teichmann
Cubature on Wiener space
T Lyons and N Victoir
Convergence rate of the Sherman and Peskin branching stochastic particle method
H Régnier and D Talay
The central limit theorem for a nonlinear algorithm based on quantization
V Bally
Superprocesses in a Brownian environment
D Crisan
Stochastic analysis of tree-like data structures
M Drmota
On Wong-Zakai approximations with ä-martingales
I Gyöngy and G Michaletzky
On convergence of chains with occupational self-interactions
P Del Moral and L Miclo
An introduction to white-noise theory and Malliavin calculus for fractional
Brownian motion
F Biagini, B Øksendal, A Sulem and N Wallner
Numerical methods for strong solutions of stochastic differential equations:
an overview
K Burrage, PM Burrage and T Tian
--------------------------
Felicity Davie
Tou-can Marketing
The Holly
42 Heath Hill Road South
Crowthorne
Berkshire
RG45 7BW
Tel. +44 (0)1344 466600
Fax. +44 (0)1344 466601
E-mail: felicity(a)tou-can.co.uk
www: http://www.tou-can.co.uk
CCEFM Workshop
Prof. Chester Spatt, Carnegie Mellon University
"Equilibrium Asset Pricing under Heterogeneous Information"
Friday, November 21th, 3:30-5:00 pm
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
REMINDER:
CCEFM Workshop
Prof. Jin-Chuan Duan, University of Toronto
"Executive Stock Options and Incentive Effects due to Systematic Risk"
Friday, November 7th, 3:30-5:00 pm
Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A)
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
Guests are welcome!
Michael Hanke
--
Univ.Doz. Dr. Michael Hanke
Associate Professor
Dept. of Operations Research
Vienna University of Economics and Business Administration
Augasse 2-6
1090 Vienna, Austria
Tel.: (+43)1 31336 4560, Fax: (+43)1 31336 708
CCEFM Workshop
Prof. Jin-Chuan Duan, University of Toronto
"Executive Stock Options and Incentive Effects due to Systematic Risk"
Friday, November 7th, 3:30-5:00 pm
Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A)
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
CCEFM Workshop
Prof. Gilles Chemla, University of British Columbia
"The Dynamic Trade-Off Theory with Real Investment"
Friday, October 31st, 3:30-5:00 pm
Wiener Börse Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
Further workshops:
7.11. Jin-Chuan Duan, University of Toronto on executive stock options
21.11. Chester Spatt, Carnegie Mellon University
The Gutmann Center for Portfolio Management
(www.gutmann-center.at)
at the University of Vienna is pleased to announce the
GUTMANN SYMPOSIUM ON
CAPITAL MARKET BASED PENSION SYSTEMS
DATE: DECEMBER 1st, 2003
8.00 a.m. 6.00 p.m.
LOCATION: UNIVERSITY OF VIENNA (Austria)
Dr. Karl-Lueger-Ring 1, 1010 Wien
(Kleiner Festsaal)
The reform of pension systems is one of the greatest challenges
for most industrialized countries. As traditional
pay-as-you-go-systems increasingly face budgetary constraints,
capital market based solutions will become crucial. The
internationally recognized speakers at our symposium approach
this hot topic from an academic as well as from a practitioner's
point of view:
· Lawrence N. BADER
"Funding Corporate Pension Plans"
· David BLAKE, Pensions Institute, Birkbeck College, University
of London
PensionMetrics: On the stochastic design of pension plans
during the accumulation & distribution phases
· Bill FUNG, London Business School
"Is there sufficient Absolute Return Capacity to meet Absolute
Liabilities of Pension Funds?"
· Jeremy GOLD, Wharton School, University of Pennsylvania/
Jeremy Gold Pensions
Accounting/Actuarial Bias Enables Equity Investment by Defined
Benefit Pension Plans
· Kristian R. MILTERSEN, Norwegian School of Economics and
Business Administration
International Comparison of Interest Rate Guarantees in Life
Insurance
· Andrea PRAT, London School of Economics
"Pension Fund Governance and the Choice between Defined Benefit
and Defined Contribution Plans"
· Christian SCHLAG, Goethe-Universität Frankfurt a.M.
"Money-Back Guarantees in Individual Pension Accounts: Evidence
from the German Pension Reform"
The sessions will be discussed and chaired by members of the
Academic Advisory Board:
· Elroy Dimson, London Business School
· Engelbert Dockner, University of Vienna
· Robert Korajczyk, Northwestern University
· Klaus Spremann, University St. Gallen
· Neal Stoughton, University of California, Irvine
· René M. Stulz, Ohio State University, Fisher
· Suresh Sundaresan, Columbia University
· Maria Vassalou, Columbia University
· Josef Zechner, University of Vienna, Director of the Gutmann
Center for Portfolio Management
The symposium will be followed by a panel discussion and a
reception.
Participation fee: the participation is free, but all
participants are required to register. Please find further
information about registration, program, papers etc on the
homepage: http://www.gutmann-center.at.
Contact:
gutmann.bwl(a)univie.ac.at
phone: +43-1-4277-38186
fax: +43-14277-38074
The Gutmann Center for Portfolio Management is sponsored by Bank
Gutmann AG (www.gutmann.at).
This symposium is presented in cooperation with the Austrian
newspaper "DIE PRESSE" (www.diepresse.com)