Dear colleagues,
On Monday, May 28, 2000, 16.00-17.30, SZ VI, IHS, Stumpergasse 56, 1060
there will be a talk by
Dominique Y. Dupont
at EURANDOM and
Board of Governors, Washington
on
"Hedging Barrier Options: Current Methods and Alternatives"
Abstract
This paper applies to the static hedge of barrier options a technique,
mean-square hedging, designed to minimize the size of the hedging error
when perfect replication is not possible. It introduces an extension of
this technique which preserves the computational efficiency of mean-
square hedging while being consistent with any prior pricing model
or with any linear constraint on the hedging residual. This improves
on current static hedging methods, which aim at exactly replicating
barrier options and rely on strong assumptions on the availability of
traded options with certain strikes or maturities, or on the distribution
of the underlying asset.
JEL Classification: G12, G13, C63.
Key words: Barrier Options, Static Hedging, Mean-Square Hedging
best
gabe
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage: http://www.ihs.ac.at/~lee/
Workshop on Financial Time Series, Levy Processes, Stochastic
Volatility, and Applications of Shot Noise Processes
May 22-23, 2001
Vienna University of Technology
An updated program with location information
is now available under:
http://www.fam.tuwien.ac.at/g2g/
Friedrich Hubalek
Department of Financial and Actuarial Mathematics
Vienna University of Technology
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" halten Frau
DI Gabriela de Raaij (OeNB) und Herr Dr. Burkhard Raunig (OeNB)
einen Vortrag zum Thema
"Evaluation Density Forecasts of Stock Market Returns"
(Der Vortrag ist auf deutsch, trotz des englischen Titels.)
Zeit: Mittwoch, 23. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract der zugrundeliegenden Arbeit:
The paper deals with the evaluation of density forecasts which have become
quite popular in economics and finance. We use two probability integral
transformations to evaluate such forecasts. The first transformation
implies
that the realizations transformed with respect to the forecasted densities
of a stochastic process should be identically uniformly distributed if the
density forecasts coincide with the densities underlying the true data
generating process. The second transformation generates data that are
identically normally distributed if the correct densities are forecasted.
The second transformation enables us to apply standard statistical
techniques
to test for identically normally distributed data and hence for the
quality
of density forecasts.
We use the methodology to evaluate density forecasts for daily returns of
three stock market indices (S&P 500, DAX and ATX). Various models to
forecast
conditional densities are investigated. We consider the conditional normal
distribution where the variances are estimated by moving averages or
exponentially weighted moving averages, scaled t distributions and
GARCH(1,1)
variants with normally and t-distributed errors, respectively. In- and
out-of-sample results for the density forecasting models are examined.
Using
the proposed methodology we find that GARCH models with t-distributed
errors
perform best in sample as well as out of sample. We are also able to
demonstrate that certain misspecifications of a forecasting model are
quite
naturally reflected in the transformed series used for density forecast
evaluation.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren!
Am Montag, den 14. Mai, 2001, 16.00-17.30, SZ VI findet im Finance Research
Seminar des IHS
ein Vortrag von Manfred Frühwirth/Leopold Sögner (Wirtschaftsuniversität
Wien) zum Thema
"The Jarrow/Turnbull Default Risk Model: Evidence from the German
Market"
statt.
Der Vortrag ist auf Englisch.
-----------------------------------------
Michael Jeckle, Head of the Finance Group
Department of Economics and Finance
Institute for Advanced Studies
Stumpergasse 56
A-1060 Vienna
Austria
Tel ++43/1/59991/211
E-Mail: jeckle(a)ihs.ac.at
Ladies and Gentlemen,
Please find announcements for two brand new job offers below
On Thu, 10 May 2001, Sandra Trenovatz <jobs(a)fam.tuwien.ac.at> wrote:
> weitere neue stellenangebote --->
>
> 2001-05-16: Institut fuer Finanz- und VersMath an der TU Wien -
> Universitaetsassistent/in
> http://www.fam.tuwien.ac.at/~sandra/jobs/20010516.htm
>
> 2001-05-11: Institut fuer Finanz- und VersMath an der TU Wien -
> PostDoc in Forschungsprojekt
> http://www.fam.tuwien.ac.at/~sandra/jobs/20010511.htm
Further details and more offers may be found at
http://www.fam.tuwien.ac.at/~sandra/jobs/
-- Andreas Schamanek
vfn-l-admin
-----------------------------------------------------------------------
ANDREAS SCHAMANEK <Andreas.Schamanek(a)univie.ac.at> T: +43-1 58801-10555
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Statistics, Probability Theory & AM * TU Vienna
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Stefan Mandl (Bank Austria) einen Vortrag zum Thema
"Anwendung der Technischen Analyse in der Praxis"
Zeit: Mittwoch, 16. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
CCEFM Workshop - Update zur Einladung von letzter Woche:
Das Thema des Vortrags von Prof. von Thadden lautet
"An Incomplete-Contracts Approach to Corporate Bankruptcy".
Der Workshop findet am Freitag, 11. Mai 2001, von 15.30 bis
17.00 in der Säulenhalle der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
Mit freundlichen Grüßen
Otto Randl
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Mag. Oliver Lintner (ERSTE Bank) einen Vortrag zum Thema
"System Trading: Building and trading profitable systems"
Der Vortrag ist auf Deutsch (trotz des englischen Titels!) und wird
folgende Punkte behandeln:
* Benefits of CTA industry
* Benefits of systematic trading
* Components of a trading system
* Evaluation of successful systems
* Moving into realtime trading
* Pitfalls in a realtime world
Zeit: Mittwoch, 9. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
CCEFM (Center for Central European Markets),
eine Initiative der Universitaet Wien, Wirtschaftsuniversitaet Wien,
Technischen Universitaet Wien und der Wiener Börse AG,
laedt zu folgendem Workshop ein:
Ernst-Ludwig von Thadden (HEC Lausanne)
Der Workshop findet am Freitag, 11. Mai 2001, von 15.30 bis
17.00 in der Säulenhalle der Wiener Börse, Wallnerstr. 8, 1010 Wien, statt.
Für weitere Informationen über CCEFM:
http://info.tuwien.ac.at/ccefm/
Mit freundlichen Grüßen
Otto Randl
----------- forwarded messages:
Date: Fri, 27 Apr 2001 23:04:36 +0200 (MET DST)
From: Summer School in Mathematical Finance <ssmf(a)valjhun.fmf.uni-lj.si>
Subject: Mathematical Finance in Dubrovnik
SECOND ANNOUNCEMENT
SUMMER SCHOOL IN MATHEMATICAL FINANCE
Inter-University Centre Dubrovnik
Dubrovnik, Croatia, September 17-22, 2001
The aim of the summer school is to have leading researchers
deliver lectures on current research in mathematical
finance. There will be five invited speakers who will each
give 6 expository lectures on topics concerning mainly pric-
ing of derivative securities but will include also term
structure models and actuarial science. There will also be a
limited number of contributed talks. English will be the
official language of the summer school.
PROGRAMME
As mentioned before there will be five lecturers each
delivering six hours of lectures. The idea is to bring the
audience up to date with current research but not to clutter
the presentation with too much technical detail. Some fami-
liarity with probability and finance is expected. Note that
the programme has changed slightly from the first announce-
ment.
The five confirmed lecturers are:
Tomas Bjoerk (The Stockholm School of Economics): INTEREST
RATE MODELS.
Mark Davis (Imperial College): MATHEMATICAL MODELS FOR
DEFAULT AND CREDIT RISK.
Nicole El Karoui (Ecole Polytechnique, Paris): INVERSE PROB-
LEMS IN FINANCE
Paul Embrechts (Swiss Institute of Technology): INSURANCE
ANALYTICS.
Ragnar Norberg (London School of Economics): FINANCIAL
MATHEMATICS IN LIFE AND PENSION INSURANCE.
ORGANISERS
The organising institution is the Inter-University Centre in
Dubrovnik, Croatia. The IUC is an international organisa-
tion whose members are universities all over the world. At
the moment the number of participating universities is 175
and the list is expected to grow in the future. The main
aim of the Centre is to provide the location and facilities
for meetings, summer schools and conferences in all fields
of science.
The organising committee consists of J. Cvitanic (University
of Southern California), D. Mramor (Univeristy of Lju-
bljana), W. Runggaldier (University of Padova) and W.
Schachermayer (Technical University Vienna). The local
organisers are M. Perman (University of Ljubljana) and Z.
Vondraèek (University of Zagreb).
REGISTRATION
The registration fee will be 120 EURO for regular partici-
pants and 80 EURO for registered students. The number of
participants is limited to 60. Registration will be handled
on a first come first served basis. You can register on-
line at http://www.math.hr/~ssmf or by sending e-mail to to
ssmf(a)valjhun.fmf.uni-lj.si. You will only be considered
registered once the registration fee has been paid. The
deadline for registration is June 15, 2001. Keep in mind
that the number of participants is limited and the number of
registrations is increasing fast. ACT now.
ACCOMMODATION AND TRAVEL
The best way to get to Dubrovnik is to fly. The local air-
port Æilipi is a short drive from the city. There are regu-
lar flights from Zagreb, Croatia. For more information on
travel and hotels consult the conference homepage. We URGE
you to book hotels as soon as possible. Dubrovnik is a
popular destination and hotels may be a problem if you do
last minute reservations. See the homepage for information
on hotels.
ABOUT DUBROVNIK
Dubrovnik is located on the eastern coast of the Adriatic
sea close to the southernmost tip of Croatia. It is best
known for its impressive ramparts encircling the picturesque
renaissance inner city, and for its rich and colourful his-
tory. The origins of the city go back to the Romans who
appreciated the suave Mediterranean climate and the beauti-
ful surroundings. The life of the inhabitants has always
been closely tied to the sea; the trading network of the
Ragusan traders extended across Europe and they were known
as reliable partners and were renowned for their shipbuild-
ing skills. At the height of its power in the 15. and 16.
century the tiny city-republic of Dubrovnik had over 150
consular representatives countries and was actively involved
in European politics. The ensuing centuries brought a slow
decline as the Mediterranean lost its role as the primary
trading route. As a historical curiosity one should mention
that Dubrovnik was the first state to recognise the indepen-
dence of the United States in 1776. Today tourism is the
main activity in Dubrovnik. It's surroundings and bathing
possibilities along with cultural events have been attract-
ing visitors for many years. In September the weather is
usually sunny and the temperatures range between 25-30C
(78-86F). The water temperatures are balmy 24C (76F).
April 26, 2001