[FAM-news] reminder, this week's seminars + mini-workshop

Sandra Trenovatz sandra at fam.tuwien.ac.at
Mon Nov 12 14:45:55 CET 2007


Timetable

Tuesday, 16:30-18:00,
Freihaus of TU Wien, green area, 6th floor, seminar room 107.

Tu, 13.11.2007  Walter Schachermayer
                 "In which Financial Markets do Mutual Fund Theorems
                  hold true?

Th, 15.11.2007  Stefan Tappe (Vienna Institute of Finance)
                 "Invariant submanifolds for Levy driven stochastic
                  equations"

For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/


Additionally we invite you to the following one-day event:


Fr, 16.11.2007  +--------------------------------------------------+
                 |                                                  |
                 |    Friday, November 16, 2007:                    |
                 |                                                  |
                 |    One day mini-workshop on                      |
                 |    Calibration, Lévy processes in finance,       |
                 |    FFT, and related issues                       |
                 |                                                  |
                 |    http://www.fam.tuwien.ac.at/events/levy/      |
                 |                                                  |
                 +--------------------------------------------------+

      Location:  Lecture hall "Zeichensaal 3"
                 Freihaus Building, 7th floor, green section


     9:00-10:00  Fiodar Kilin (Frankfurt School of Finance & Management)
                 "Accelerating the Calibration of Stochastic Volatility
                  Models"

    10:00-11:00  Philip Mayer (Graz University of Technology)
                 "Robust calibration of local Lévy equity models"

    11:30-12:30  Denis Belomestny (Weierstrass Institute for Applied
                 Analysis and Stochastics, Berlin)
                 "A jump-diffusion Libor model and its robust
                  calibration"

    14:00-15:00  Flavio Angelini (Universita degli Studi di Perugia)
                 "Measuring the error of dynamic hedging: a Laplace
                  transform approach"

    15:00-16:00  Peter Tankov (Universite Paris VII)
                 "Asymptotic analysis of hedging errors in models with
                  jumps"

    16:30-17:30  Martin Keller-Ressel (Vienna University of Technology)
                 "Smile Asymptotics for Affine Stochastic Volatility
                  Models"

    17:30-18:00  Stefano Herzel (Universita degli Studi di Perugia)
                 "An affine intensity model for large credit portfolios"


    Participation is free.

    Please register for the mini-workshop with a short e-mail to
    Sandra.Trenovatz at fam.tuwien.ac.at .



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