Second Announcement
+-----------------------------------------------+ | Workshop and Mid-Term Conference on | | Advanced Mathematical Methods for Finance | | (AMaMeF), September 17-22, 2007 | | http://www.fam.tuwien.ac.at/amamef2007/ | +-----------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Location: Vienna University of Technology Wiedner Hauptstr. 8-10 1040 Vienna, Austria (travel grants available!)
Scientific Program: Mo, Sep. 17th: Educational workshop (Speakers: Ernst Eberlein, Lane P. Hughston, Michèle Vanmaele) Tu, Sep. 18th: Scientific conference We, Sep. 19th: Scientific conference Tu, Sep. 20th: Scientific conference Fr, Sep. 21st: Practitioner's day Sa, Sep. 22nd: Scientific conference (half day)
Invited Speakers (confirmed):
- Ole E. Barndorff-Nielsen (University of Aarhus) "Noise, jumps and other annoyances - or delights"
- Tomas Björk (Stockholm School of Economics) "Optimal investments under partial information"
- Freddy Delbaen (ETH Zürich) "Monetary time consistent utility functions and the viscous Hamilton-Jacobi quasi-linear PDE"
- Giulia Di Nunno (University of Oslo) "Events of small but positive probability and a version of the fundamental theorem of asset pricing"
- Ernst Eberlein (Universität Freiburg) "Lévy driven equity, FX- and interest rate models"
- Damir Filipovic (LMU München) - "tba"
- Lane P. Hughston (King's College London) "Information-based asset pricing"
- Ioannis Karatzas (Columbia University) "Stochastic portfolio theory: a survey"
- Claudia Klüppelberg (TU München) "The continuous-time GARCH model"
- Dmitry Kramkov (Carnegie Mellon University) - "tba"
- Damien Lamberton (Université de Marne-la-Vallée) "Optimal stopping problems with irregular payoff functions"
- Marek Musiela (BNP Paribas, London) - "tba"
- Bernt Øksendal (University of Oslo) "Optimal portfolio for an insider in a strategic market equilibrium"
- Chris Rogers (University of Cambridge) - "tba"
- Wolfgang Runggaldier (Università degli Studi di Padova) "Contagious default: application of methods of statistical mechanics in finance"
- Peter Schaller (Bank Austria Creditanstalt) "Consistent incorporation of statistical uncertainties into quantile estimates"
- Christoph Schwab (ETH Zürich) "Numerical derivative pricing in non-BS markets"
- Martin Schweizer (ETH Zürich) "Modelling option prices"
- Mete Soner (Koc University Istanbul) - "tba"
- Lukasz Stettner (Polish Academy of Sciences) "Portfolio selection with transaction costs, decision lag and execution delay"
- Eva Strasser (JP Morgan) "Correlation modelling in equity derivatives"
- Esko Valkeila (Helsinki University of Technology) "Approximation of geometric fractional Brownian motion"
- Michèle Vanmaele (Universiteit Gent) "Comonotonicity applied in finance"
- Constantin Varsan (Romanian Academy, Bucharest) "Asymptotic behaviour of piece-wise continuous solutions of S.D.E."
- Thaleia Zariphopoulou (University of Texas) "Investment performance measurement, risk tolerance and optimal portfolio choice"
Some Contributed Talks:
- Giovanni Barone-Adesi (University of Lugano) "Barrier option pricing using adjusted transition probabilities"
- Pavel Grigoriev (University of Leicester) "Kusuoka's formula for dynamic risk measures"
- Laszlo Gyorfi (Budapest University) "Growth-optimal portfolio selection strategies with transaction costs"
- Ludger Overbeck (Universität Giessen) "Risk measures for structured credit products"
- Georg Pflug (Universität Wien) "Pricing of swing options and stochastic games"
- Robert Stelzer (TU München) "Multivariate continuous time Lévy-driven GARCH processes"
- Uwe Wystup (Mathfinance AG) "Closed-form exotic option pricing in the Heston model"
For abstracts and updates see http://www.fam.tuwien.ac.at/amamef2007/abstracts.php
Contributed Talks: You may apply to give a talk by sending an email to the conference secretary (see below). Please include the title and an abstract. The deadline to apply is June, 30th. The organizing committee tries to answer as soon as possible, but please understand that they can't immediately decide whether your talk is accepted or not.
Poster Presentations: There is the possibility of poster presentations. Please apply the same way as for contributed talks. The deadline for applications is June, 30th.
Grants for Ph.D. students and young PostDocs: Thanks to the AMaMeF program, we have several travel grants available covering the conference fee and up to ¤ 400,- for travel and accommodation. These are available for Ph.D. students and young postdocs. To apply for one of these grants, please send a current curriculum vitae (including a short description of your current research) to the conference secretary. The deadline for applications is June, 30th. There is a strong preference for applicants who give a talk or a poster presentation.
Conference Secretary: Mr. Christian Gawrilowicz (FAM @ TU Vienna) Phone: +43-1-58801-10511 E-mail: secr@fam.tuwien.ac.at
Organizing Committee: - Peter Grandits - Friedrich Hubalek - Reinhold Kainhofer - Johannes Leitner - Walter Schachermayer - Uwe Schmock
For registration details, conference fees, etc., please visit the conference web site at http://www.fam.tuwien.ac.at/amamef2007/, which will be updated continuously. We are looking forward to welcome you in Vienna!
On behalf of the Organizing Committee,
Uwe Schmock
Prof. Dr. Uwe Schmock Institute for Mathematical Methods in Economics Research Unit: Financial and Actuarial Mathematics Vienna University of Technology Wiedner Hauptstrasse 8-10/105-1 A-1040 Vienna Austria
Financial and Actuarial Mathematics (FAM) at TU Vienna http://www.fam.tuwien.ac.at/
CD-Laboratory for Portfolio Risk Management (PRisMa Lab) http://www.prismalab.at/