[FAM-news] Financial and Insurance Mathematics at ETH Zurich (fwd)

Christopher Summer csummer@fam.tuwien.ac.at
Thu, 29 Nov 2001 13:23:48 +0100 (MET)

---------- Forwarded message ----------
Date: Wed, 28 Nov 2001 13:08:41 +0100
From: Uwe Schmock <schmock@math.ethz.ch>

(Please see http://www.math.ethz.ch/finance/talks.html for links)

(a) Thursday, November 29, 2001, 15.15 h (ETHZ, HG E42)

Dr. Thorsten Rheinländer (Department of Mathematics, ETH Zürich)
"A martingale duality approach to stochastic volatility models"

Abstract: We discuss the valuation of derivatives in a general 
stochastic volatility context. The fact that the volatility typically 
is unbounded already rules out several well known approaches to 
valuation in incomplete markets. It turns out that it is still 
possible to follow a minimal entropy approach. We determine 
explicitly the resulting pricing measure for some classical 
stochastic volatility models and provide general verification results.

(Seminar on Financial and Insurance Mathematics)

(b) Wednesday, December 5, 2001, 20.00 h
(Restaurant Au Premier, Zürich Main Station)

Jean-Luc Vuarnoz (Swiss Life)
"Underwriting und Antiselektion in der Personenversicherung"

Abstract: Anhand zahlreicher Beispiele aus der Praxis wird die 
Antiselektion illustriert. Die Zusammenhänge zwischen Antiselektion 
und Produktdesign einerseits und Risikoprüfung andererseits werden 
verdeutlicht. Kommende Herausforderungen im Gebiet Risikoprüfung, 
z.B. Internet-Verkauf und Gentests, werden kurz diskutiert.

(Colloquium of Actuaries)

(c) Thursday, December 6, 2001, 17.15 h (ETHZ, G 26.5)

Prof. Christophe Stricker (Université de Franche-Comté, Besançon)
"The fundamental theorem of asset pricing under proportional transaction costs"

Abstract: We consider a multi-asset discrete-time model of a 
financial market with proportional transaction costs and efficient 
friction and prove necessary and sufficient conditions for the 
absence of arbitrage. Our main result is an extension of the 
Dalang-Morton-Willinger theorem. As an application, we establish a 
hedging theorem giving a description of the set of initial endowments 
which allow to super-replicate a given contingent claim.

(Seminar on Financial and Insurance Mathematics)

Two talks in the Seminar for Stochastic Processes:
(see http://www.math.ethz.ch/finance/SSP.html for abstracts & links)

(a) Wednesday, Dec. 5, 16:15 - 17:00 (ETHZ, HG D 1.2)

Gesine Reinert (Oxford)
"Stein's method for the bootstrap"

(b) Wednesday, Dec. 5, 17.15 h (ETHZ, Hermann-Weyl-Zimmer, HG G43)

Michel Emery (Université de Strasbourg)
"On normal martingales and their chaotic representation"

RiskLab Papers and Reports:

(a) Prof. Dr. Rüdiger Frey (Swiss Banking Institute, University of Zürich)
and Pierre Patie (RiskLab)
"Risk Management for Derivatives in Illiquid Markets: A Simulation Study"

(b) Dr. Maria Kafetzaki Boulamatsis and Dr. Dirk Tasche (RiskLab)
"Combined Market and Credit Risk Stress Testing based on the Merton Model"

(c) Enrico De Giorgi (RiskLab)
"An Intensity Based Non-Parametric Default Model for Residential 
Mortgage Portfolios"

With best regards,

Uwe Schmock

Home Page: http://www.math.ethz.ch/~schmock/
Financial and Insurance Mathematics at ETHZ: http://www.math.ethz.ch/finance/
RiskLab: http://www.risklab.ch/