Newsletter 5. Jan. 2005

Contents

1. Joint Uni/ETH Zurich program "Master of Advanced Studies in Finance".
   Colloquium Talks: Mo. 10 Jan. 2005 and We. 19 Jan. 2005
   
   
2. Talks in Financial and Insurance Mathematics at ETH Zurich:
   Thu. 13 Jan. 2005 and Thu. 20 Jan. 2005
   
   
3. Finance Seminar at the University of Zurich:
   Fri. 14 Jan. 2005 and Fri. 21 Jan. 2005
   
   
4. Research Seminar Quantitative Methods in the Economy:
   Mo. 17 Jan. 2005 and Mo. 24 Jan. 2005
   
   
5. NCCR FinRisk Conference "Human, Technological and Financial Performance"
   27 Jan. 2005, SWX Swiss Exchange, Convention Point Selnaustrasse 30, 8001 Zürich
   
   
6. Conference on Extreme Value Analysis Gothenburg, 15-19 Aug. 2005

Details

1. Joint Uni/ETH Zurich program Master of Advanced Studies in Finance, link
   
   
   • Colloquium Talk
     Time: Monday, 10 Jan. 1005, 16.15 - 17.00
     Venue: ML-F-40, ETH Zurich, Sonnegstr. 3
     Speaker: Stefan Denzler
     Title: "From Default Probabilities to Credit Spreads: Can Credit Risk Models Explain Market Prices?", more
     Supervisors: Prof. A. McNeil (ETH), Dr. M. Dacorogna (Converium), Dr. U. Müller (Converium)
     
     
   • Colloquium Talk
     Time: Wednesday, 19 Jan. 2005, 10.15 - 11.00
     Venue: KOL-G-212, University of Zurich, Rämistr. 71
     Speaker: Markus Thöny
     Title: "Estimation Risk in Mean Variance: Portfolio Selection", more
     Supervisors: Dr. N. Tuchschmid (BCV and UniZh), Dr. J. Tobler (ZKB)
     
     
2. Talks in Financial and Insurance Mathematics at the ETH Zurich, link
   
   
   • Talk
   
   Time: Thursday, 13 Jan. 2005, 17.15
   Venue: ETH Zurich, main building, HG G 43 (Herman-Weyl-Zimmer)
   Speaker: Johanna Neslehova (RiskLab Eth Zurich)
   Title: Title: Dependence of Non-continuous Random Variables
   
   
   • Talk
   
   Time: Thursday, 20 Jan. 2005, 17.15h
   Venue: ETH Zurich, main building, TBA
   Speaker: Takuji Arai (Tokyo University of Science)
   Title: Approximate Power Utility Indifference Valuation
   
   
3. Finance Seminar at the University of Zurich, link
   
   
   • Talk
   
   Time: Friday, 14 Jan. 2005, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Manuel Ammann (University of St. Gallen)
   Title: TBA
   
   
   • Talk
   
   Time: Friday, 21 Jan. 2004, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Stewart Hodges (University of Warwick, UK)
   Title: The Value of a Storage Facility
   
   
   
4. Research Seminar Quantitative Methods in the Economy, link
   
   
   • Talk
   
   Time: Monday, 17 Jan. 2005, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Lorenz T. Biegler (Carnegie Mellon University, Pittsburgh)
   Title: Large-Scale Optimization of Differential-Algebraic Systems
   
   
   • Talk
   
   Time: Monday, 24 Jan. 2004, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Frank Schweitzer (ETH Zurich)
   Title: Selforganization in Multi-Agent Systems - Local Interaction vs. Global Dynamics
   
   
   
5. NCCR FinRisk Conference: Human, Technological and Financial Performance, link
   
   
   • 27 Jan. 2005, 14-18.30, SWX Swiss Exchange, Convention Point Selnaustrasse 30, 8001 Zürich
   • Organisers: Prof Dr. Rajna Gibson and Prof. Dr. Paolo Vanini
   • Participation: free of charge but please register via Email at: admin@nccr-finrisk.ch
     
     
6. Conference on Extreme Value Analysis Gothenburg, 15-19 Aug. 2005, link
   
   
   • Objectives
     The Fourth International Conference on Extreme Value Analysis will be hosted by the Stochastic Centre of Chalmers University Gothenburg and by MaPhySto, The Danish Research Network for Mathematical Physics and Stochastics. The First Conference was held in Gothenburg (1998), the Second in Leuven (2001), and the Third in Aveiro (2004). As in the previous meetings, the 2005 meeting will schedule review papers and original research on all aspects of risk and extreme value theory and their applications.
     
     
   • The emphasis will be on probabilistic modeling, statistical analyses, and applications in
     - Demography
     - Earthsciences
     - Hydrology and Atmospheric Sciences
     - Finance, Economics and Insurance
     - Biosciences
     - Physics
     - Telecommunications and Stochastic Networks
     - Material Sciences
     
     
   • It is the aim of the conference to bring together a wide range of researchers, practitioners, and graduate students whose work is related to the analysis of extreme values in a wide sense.
     Topics of interest include:
     - Classical extreme value theory
     - Novel applications of extreme value theory
     - Statistics of extremal events
     - Heavy-tailed phenomena
     - Large deviations
     - Methods of risk analysis
     - Stochastic processes for extremes
     - Rare event simulation
     - Multivariate extremes
     - Dependence and extremes
     - Spatio-temporal models Software packages on extreme value theory and related fields will be presented.