[FAM-news] FAM Seminar Reminder

Victor Olevskii vit@fam.tuwien.ac.at
Thu, 31 May 2001 15:19:25 +0200

Financial and Actuarial Mathematics: Time Table

SE Schachermayer (Thursday 16:30-18:00)

31.05.2001 - Ping Li: Minimal Martingale Measures for Discrete-time
                      Incomplete Financial Markets
In this paper, we first give a characterization of minimal martingale
measures for a general discrete-time incomplete financial market. Then
we concretely work out the minimal martingale measure for a specified
discrete-time market model. Based on this minimal martingale measure,
the price of any contingent claim can be given.


PV Schachermayer (Tuesday 16:30-18:00)

12.06.2001 - A. Helmert & M. Willomitzer: Innovative Produktmodelle und
         effiziente Methoden zur Produktentwicklung, Analyse und Umsetzung

19.06.2001 - Martin Barlow: A diffusion model for electricity spot prices

Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'.  We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.

Location: TU FH, Turm A, 6. Stock, Seminarraum 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html