---------- Forwarded message ----------
Date: Fri, 28 Nov 2003 08:50:22 +0000
From: Niels Jacob <N.Jacob(a)swansea.ac.uk>
Dear All,
this is to inform you that from April 19 - 23, 2004 Prof.
S.Levendorskiy (Austin, Texas) will give in Swansea a series of
lectures on
Asymptotic Analysis and Pseudo-Differential Operators in Application
to Finance
More details you will find on our webpage
http://www-maths.swan.ac.uk/levendorskiy.html
May I ask you to make this information available to your
collaborators and graduate students.
Many thanks and best regards
Niels Jacob
---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 25 Nov 2003 17:12:56 +0100
From: OeFAI Information Server <oefaiinf(a)ai.univie.ac.at>
Subject: 20031203.VORTRAG: Dr. Brian Sallans, OFAI, Wien
VORTRAG
*******
Oesterreichisches Forschungsinstitut fuer Artificial Intelligence(OeFAI)
Freyung 6/6, A-1010 Wien
Tel.: +43-1-53361120, Fax: +43-1-5336112-77, Email: sec(a)oefai.at
-------------------------------------------------------------------------
Dr. Brian Sallans
Oesterreichisches Forschungsinstitut
fuer Artificial Intelligence (OeFAI)
AN AGENT-BASED MODEL OF INTERACTING MARKETS
With the increase in available computational power, agent-based
economic models have grown in prominence as a supplement to analytic
models and empirical studies. I will describe an agent-based discrete-
time model of interacting consumer and financial markets. The two
markets are linked through the behavior of boundedly-rational,
learning firms. The firms compete in the consumer market, and try to
satisfy both their customers and their shareholders. The model also
includes stock traders and simple consumers. I will give an overview
of the model, discuss validation and model exploration methods, and
show how the model can be used to investigate stock-option-based
management compensation.
Zeit: Mittwoch, 3.12.2003, 18:30 Uhr pktl.
Ort: Oesterreichisches Forschungsinstitut
fuer Artificial Intelligence
FREYUNG 6/6, 1010 Wien.
OESTERREICHISCHES FORSCHUNGSINSTITUT
FUER ARTIFICIAL INTELLIGENCE
o.Univ.-Prof. Ing. Dr. Robert Trappl
***
[added by Andreas Schamanek:]
OeFAI -- http://www.oefai.at/
---------- forwarded message --------
Date: Mon, 24 Nov 2003 12:16:06 -0000
>From: felicity(a)tou-can.co.uk
To: vfn-l(a)fam.tuwien.ac.at
Subject: STOCHASTIC ANALYSIS WITH APPLICATIONS TO MATHEMATICAL FINANCE -
ROYAL SOCIETY THEMED ISSUE
(...)
Stochastic analysis with applications to mathematical finance
A thematic issue from The Royal Society
compiled and edited by Jeff Cash
Published January 2004
Special offer price: £45/US$70
This special issue of Proceedings Series A contains a collection of
papers concerned with algorithms based on probability. Probability
theory has become an indispensable tool in the scientific
investigation of many important mathematical problems. Perhaps the
most widely used application, and the most easily appreciated by the
layman, is in mathematical finance. Mathematical models are widely
used to set interest rates, they guide the management of risk and they
are used to provide the prices of financial derivatives. Another
important application area involves stochastic partial differential
equations. These play a central role in areas such as hydrology,
oceanography and atmospheric science. An important example of this is
weather prediction and in the prediction and understanding of river
flows in a complex river basin. Probabilistic approaches also play an
important role in the rigorous definition of the solution to a PDE and
they provide an approach for examining the existence and uniqueness of
a solution. An important application in the area of partial
differential equations is cubature on Wiener space, which has been
used for the numerical approximation of solutions of the heat
equation.
Finally this volume also examines the progress that has been made in
super Brownian motion, which typically describes particles diffusing
through space, and its application to genetic inheritance.
Subscribers to Proceedings Series A can access the full content by
visiting our website at http://www.pubs.royalsoc.ac.uk
Non-subscribers can purchase this volume at the special price of £45.
To order online please visit
http://www.pubs.royalsoc.ac.uk/acatalog/stochastic.html
Alternatively you can contact The Royal Society by any of the
following routes:
telephone: +44 (0) 870 121 4224
fax: +44 (0) 870 121 4223
email: <mailto:royalsociety@twoten.press.net>
Contents
_______________________________________________________________
Finite-dimensional Markovian realizations for stochastic volatility
forward-rate models
T Björk, C Landén and L Svensson
Chaos and coherence: a new framework for interest-rate modelling
D Brody and LP Hughston
Convergence of a discretization scheme for jump-diffusion processes with
state-dependent intensities
P Glasserman and N Merener
On the geometry of the term structure of interest rates
D Filipovic and J Teichmann
Cubature on Wiener space
T Lyons and N Victoir
Convergence rate of the Sherman and Peskin branching stochastic particle method
H Régnier and D Talay
The central limit theorem for a nonlinear algorithm based on quantization
V Bally
Superprocesses in a Brownian environment
D Crisan
Stochastic analysis of tree-like data structures
M Drmota
On Wong-Zakai approximations with ä-martingales
I Gyöngy and G Michaletzky
On convergence of chains with occupational self-interactions
P Del Moral and L Miclo
An introduction to white-noise theory and Malliavin calculus for fractional
Brownian motion
F Biagini, B Øksendal, A Sulem and N Wallner
Numerical methods for strong solutions of stochastic differential equations:
an overview
K Burrage, PM Burrage and T Tian
--------------------------
Felicity Davie
Tou-can Marketing
The Holly
42 Heath Hill Road South
Crowthorne
Berkshire
RG45 7BW
Tel. +44 (0)1344 466600
Fax. +44 (0)1344 466601
E-mail: felicity(a)tou-can.co.uk
www: http://www.tou-can.co.uk
CCEFM Workshop
Prof. Chester Spatt, Carnegie Mellon University
"Equilibrium Asset Pricing under Heterogeneous Information"
Friday, November 21th, 3:30-5:00 pm
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
REMINDER:
CCEFM Workshop
Prof. Jin-Chuan Duan, University of Toronto
"Executive Stock Options and Incentive Effects due to Systematic Risk"
Friday, November 7th, 3:30-5:00 pm
Wirtschaftsuniversität Wien, Augasse 2-6, H 0.5 (A)
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
Guests are welcome!
Michael Hanke
--
Univ.Doz. Dr. Michael Hanke
Associate Professor
Dept. of Operations Research
Vienna University of Economics and Business Administration
Augasse 2-6
1090 Vienna, Austria
Tel.: (+43)1 31336 4560, Fax: (+43)1 31336 708