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1159 discussions

[VFN] Spring School in Financial Mathematics (fwd)
by Friedrich Hubalek 28 Nov '03

28 Nov '03

---------- 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

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[VFN] 2003-12-03, Vortrag: Dr. Brian Sallans, OFAI, Wien (fwd)
by VFN-L admin * Andreas Schamanek 26 Nov '03

26 Nov '03

---------- 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/

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[VFN] Stochastic Analysis ... Royal Society Themed Issue (fwd)
by VFN-L admin * Andreas Schamanek 24 Nov '03

24 Nov '03

---------- 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

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[VFN] CCEFM Workshop Prof. Spatt
by Alex Stomper 07 Nov '03

07 Nov '03

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

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[VFN] Freie Stelle an der TU Wien, Finanz- und Versicherungsmathematik
by VFN-L admin * Andreas Schamanek 05 Nov '03

05 Nov '03

Am Institut für Finanz- und Versicherungsmathematik ( http://www.fam.tuwien.ac.at/ ) der Technischen Universität Wien ist ab 1. Dezember 2003 (oder nach Vereinbarung) auf die Dauer von 6 Jahren eine Vollzeitstelle für einen/eine Universitätsassistenten/in zu besetzen. Naehere Informationen finden Sie unter http://www.fam.tuwien.ac.at/jobs/20031105.php und http://info.tuwien.ac.at/histu/mb/03-04/4/aus-36-6/mb-aus-14.html Für weitergehende Auskünfte steht Univ.-Prof. Dr. U. Schmock http://www.fam.tuwien.ac.at/~schmock/ ) E-Mail schmock(a)fam.tuwien.ac.at zur Verfügung. -- -- Andreas Schamanek vfn-L-admin

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[VFN] CCEFM-Workshop: Jin Duan
by Michael Hanke 03 Nov '03

03 Nov '03

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

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[VFN] CCEFM Workshop Prof. Duan
by Alex Stomper 29 Oct '03

29 Oct '03

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

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[VFN] CCEFM workshop
by Alex Stomper 27 Oct '03

27 Oct '03

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

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[VFN] Re: Gutmann Symposium on Capital Market Based Pension Systems - Dec. 1st Vienna
by Gutmann Center Vienna 23 Oct '03

23 Oct '03

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)

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[VFN] 2nd Call
by Peter Steiner 21 Oct '03

21 Oct '03

to whom it may concern Ich bitte um Verteilung des Second Call for Papers der Austrian Working Group on Banking & Finance. Besten Dank im voraus MfG - stp KARL-FRANZENS-UNIVERSITÄT GRAZ INSTITUT FÜR BANKEN & FINANZIERUNG 17. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 28. / 29. November 2003 Second CALL for PAPERS Der Workshop findet am Freitag, dem 28. November 2003, Nachmittag, und am Samstag, dem 29. November 2003, Vormittag, an der KARL-FRANZENS-UNIVERSITÄT GRAZ statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 7. November 2003 bei o.Univ.-Prof. Dr. Peter Steiner Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz eingereicht werden. Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 24. Oktober 2003 einzureichen. AUSTRIAN WORKING GROUP ON BANKING AND FINANCE Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte: Arbitrage Pricing - Capital Market Theory - Capital Requirements of Financial Intermediaries - (Auswahl) Commercial Banking - Contingent Claims Analysis - Corporate Finance - Financial Innovations - Financial Markets Research - International Banking and Finance - Investment Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk Management - Security Analysis.

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