[FAM-news] [Fwd: Seminar advertisment]

Victor Olevskii vit@fam.tuwien.ac.at
Mon, 12 Mar 2001 18:18:50 +0100 (MET)


-------- Original Message --------
Subject: Seminar advertisment
From: Friedrich Hubalek <fhubalek@fam.tuwien.ac.at>
To: vit@fam.tuwien.ac.at

Dear Victor, 
please post this on the fam-list, 
thank you
fh

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We are looking for more participants and speakers for the
seminar 105.021 SE AKVFM Mathematical Finance 2. 
The aim of the seminar is to discuss recent or classical work
on mathematical finance beyond the introductory Black-Scholes
and Cox-Ross-Rubinstein framework. 
This seminar is especially recomended for students doing a
diploma or doctoral thesis. The requirement for the seminar is
a basic knowledge of finance (say our course "Advanced
Mathematics of Finance" or Hull's book etc. A basic knowledge
of probability might be helpful.
Participants should prepare and give one or two talks in
English language.

The topic is negotiable (!!!), my suggestions for this semester
are

Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David
Heath:  Coherent Measures of Risk, Math. Finance 9 (1999), 
no. 3, 203-228

already a "classic" by now. If somebody wants to get (and do)
an additional deeper  mathematical view of this topic she can
try

Freddy Delbaen:  Coherent Risk Measures on General Probability
Spaces http://www.math.ethz.ch/~delbaen/

Very enjoyable to read, full of surprises and very profound is 

Embrechts, P., McNeil, A., Straumann, D.:  Correlation and
dependency in risk management: properties and pitfalls
http://www.math.ethz.ch/~baltes/ftp/papers.html

A short, non-technical version appeard in May 1999 in the risk
magazine:

Embrechts, P., McNeil, A., Straumann, D.:  Correlation:
Pitfalls and alternatives  RISK Magazine, May 1999.

Another suggestion is the work of Fred Espen Benth on 
Portfolio optimization in non Gaussian markets Several papers
and preprints can be found at http://www.math.uio.no/~fredb/

Copies of the papers are provided.
Anybody interested should contact immediately 
F Hubalek (fhubalek@fam.tuwien.ac.at)
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