[FAM-news] This week FAM Seminars

Victor Olevskii vit@fam.tuwien.ac.at
Mon, 13 Nov 2000 12:32:07 +0100


Financial and Actuarial Mathematics: Time Table
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PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
14.11.2000 - Johannes Leitner: Continuous Time CAPM, Price for Risk,
                                              & Utility Maximization
  Abstract:
> In a continuous arbitrage free market without a risk-free bond
> the relationship between the minimal martingale measure Q, the
> resulting short rate for a locally risk-free bond priced according
> to the chosen measure Q, and the implied instantaneous
> Sharpe-ratio is considered using a dynamic CAPM approach.
> We define locally efficient portfolios and investigate their
> relevance for maximizing terminal utility in an incomplete market.
> For a totally unhedgeable price for instantaneous risk,
> isoelastic utility of terminal wealth can be maximized using a
> portfolio consisting of the locally risk-free bond and a locally
> efficient fund only. More general, optimal self-financing hedging
> strategies can be described using (Forward-) Backward-SDEs. We
> derive the relationship between the optimal portfolio, the optimal
> martingale measure in the dual problem and the optimal value
> function of the problem. In a markovian market model we find a
> non-linear PDE for the value function. From the solution we can
> construct under additional assumptions the optimal portfolio and
> the solution of the dual problem. Furthermore, we find the
> intertemporal price for risk relative to the locally risk-free
> bond to equal the standard deviation of the variance optimal
> martingale measure. In a market with zero bonds, the absolute
> intertemporal price for risk is related to the discounted variance
> optimal martingale measure and the zero bond prices.
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SE Schachermayer (Thursday 16:30-18:00, TU FH, Turm A, 6. Stock, SR 107)
Topic: Introduction to Malliavin Calculus. Organiser: Josef Teichmann
16.11.2000 - Ching-Tang Wu: Malliavin Derivatives II
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Web page: http://www.fam.tuwien.ac.at/schedule/