Newsletter 15. Nov. 2004

Contents

1. Talks in Financial and Insurance Mathematics at ETH Zurich:
   Thu. 18 Nov. 2004, Thu. 25. Nov. 2004, Thu. 2. Dec. 2004
   
   
2. Public Lecture on Financial Mathematics at ETH Zurich: 29. Nov. 2004
   
   
3. Finance Seminar at the University of Zurich:
   Fri. 19. Nov. 2004, Fri. 26. Nov 2004, Fri. 3. Dec. 2004
   
   
4. Research Seminar Quantitative Methods in the Economy:
   Mo. 22. Nov. 2004, Mo. 29. Nov. 2004, Mo. 6 Dec. 2004
   
   
5. Workshop on the Interface between Quantitative Finance and Insurance:
   Edinburgh 4-8 Apr. 2005,
   
   

Details

1. Talks in Financial and Insurance Mathematics at the ETH Zurich, link
   
   
   • Talk
   
   Time: Thursday, 18. Nov. 2004, 17.15
   Venue: ETH Zurich, main building, HG G 43 (Herman-Weyl-Zimmer)
   Speaker: Julien Hugonnier (University of Lausanne)
   Title: Title: Mutual Fund Portfolio Choice in the Presence of Dynamic Flows
   
   
   • Talk
   
   Time: Thursday, 25. Nov. 2004, 17.15h
   Venue: ETH Zurich, main building, HG G 43 (Hermann-Weyl-Zimmer)
   Speaker: Daniel Egloff (Zürcher Kantonalbank)
   Title: Monte Carlo Algorithms for Optimal Stopping and Statistical Learning
   
   
   • Talk
   
   Time: Thursday, 2. Dec. 2004, 17.15h
   Venue: ETH Zurich, main building, HG G 43 (Hermann-Weyl-Zimmer)
   Speaker: Anis Matoussi (Université du Maine)
   Title: Reflected BSDE's under monotonicity condition
   
   
2. Public Lecture at ETH Zurich: 29. Nov. 2004, link
   
   Antrittsvorlesung
   Time: Monday, 29 Nov. 2004, 17.15h
   Venue: ETH Zurich, main building, HG F 30 (Audimax)
   Speaker: Prof. Martin Schweizer (ETH Zurich)
   Title: Option Pricing in Incomplete Financial Markets
   
   
3. Finance Seminar at the University of Zurich, link
   
   
   • Talk
   
   Time: Friday, 19. Nov. 2004, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Peter Christoffersen (McGill University)
   Title: Volatility Components for Option Valuation
   
   
   • Talk
   
   Time: Friday, 26. Nov. 2004, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Uli Hege (HEC School of Management)
   Title: What is Magic in an Equity Deal? Theory and Evidence on the Means of Payment in Asset Sales
   
   
   • Talk
   
   Time: Friday, 3. Dec. 2004, 12.15h
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Charlotte Ostergaard (Norwegian School of Management)
   Title: U.S. Banking Deregulation, Small Businesses and Interstate Insurance of Personal Income
   
   
   
   
   
4. Research Seminar Quantitative Methods in the Economy, link
   
   
   • Talk
   
   Time: Monday, 22. Nov. 2004, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Costas Maranas (Pennysylvania State University, Pittsburgh)
   Title: Optimization Challanges in Protein and Metabolic Engineering
   
   
   • Talk
   
   Time: Monday, 29. Nov. 2004, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Rüdiger Schultz (Universität Duisburg-Essen)
   Title: Risk Aversion in Two-Stage Stochastic Integer Programs
   
   
   • Talk
   
   Time: Monday, 6. Dec. 2004, 16-18
   Venue: Lecture room KO2-F-172 (1st floor) University Centre, Entrance Karl-Schmid-Strasse 4, 8006 Zurich
   Speaker: Jürgen Wolters (Freie Universität Berlin)
   Title: Ist das Konzept der inflationsstabilen Arbeitslosenquote (NAIRU) mit den Daten vereinbar?
   
   
   
5. Workshop on the Interface between Quantitative Finance and Insurance,
   Edinburgh 4-8 Apr. 2005,
link


• Dates: 4-8 April, 2005
  

A satellite workshop of the Quantitative Finance programme of the Isaac Newton Institute, January - June 2005.

• Organised jointly by: Heriot-Watt University, Edinburgh The International Centre for Mathematical Sciences, Edinburgh The Isaac Newton Institute, Cambridge
  
  
• Organising Committee: Andrew Cairns (Heriot-Watt University), Claudia Klueppelberg (Technical University of Munich), Susan Pitts, Chris Rogers (University of Cambridge)
  
  
• General Summary
  
  
This workshop aims to discuss leading-edge research on the interface between insurance, pensions and quantitative finance. It is intended that the meeting will concentrate on two closely linked themes.
First, all insurance companies and pension plans are subject to a degree of financial and economic risk as well as their traditional insurance risks. Considerable research in the international actuarial community is ongoing which attempts to model and manage these risks. Much of this research is building upon existing knowledge in financial mathematics. Equally, though, the specific problems being encountered are throwing back new challenges for financial mathematicians.
This introduces us to the second theme. Namely the issue of securitisation of insurance risks. This presents many new challenges which require a combination of financial mathematics, mathematical economics and good contract design.


• Workshop Themes
  
  
1. Stochastic asset models for life insurance and pensions
2. Fair value, solvency testing and capital adequacy
3. Long-term risks: pricing and risk assessment
4. Dependence modelling, extreme-value theory, Levy processes and their application in insurance problems
5. Optimal stochastic control and optimal hedging problems in insurance
6. Issues relating to specific contracts and securitisation of insurance
risks