Working seminar for PhD and Diploma students of the Mathematical Finance Group - September 2009
Room: 2A 180
(Mathematik), UZA2 Nordbergstraße
1.OG
Organizer: Sara Karlsson. Email: sara.karlsson@fam.tuwien.ac.at
| Date: | Speaker: | Title : |
| Wed, 02.09.2009 13:30-14:15 | Johannes Muhle-Karbe | Necessary and sufficient conditions for the martingale property of exponentially affine processes |
| Abstract: We consider local martingales of exponential form M = exp(X) or E (X) where X denotes one component of a multivariate affine process in the sense of Duffie, Filipovic and Schachermayer (2003). We give deterministic necessary and sufficient conditions in terms of the parameters of X for M to be a true martingale. | ||
| 14:15-15:00 | Benedikt Blum | The Face Lifting Theorem |
| Thu, 03.09.2009 13:30-14:15 | Lavinia Ostafe | Fractional Brownian Motion |
| 14:15-15:00 | Christina Ziehaus | Optimal Consumption and Investment in an Ornstein-Uhlenbeck-market |
| Abstract: We consider the problem of maximizing the utility of consumption and terminal wealth in a geometric Ornstein-Uhlenbeck Market. We calculate the optimal consumption and wealth processes for power, logarithmic and exponential utility as well as their behaviour depending e.g. on subjective discounting or the time horion. We also use a specific example to show the identity of the solutions calculated by the primal and the dual method. | ||
| Tue, 08.09.2009 13:30-14:15 | Lavinia Ostafe | Fractional Brownian Motion |
| 14:15-15:00 | Benedikt Blum | The Face Lifting Theorem |
| Thu, 10.09.2009 13:30-14:15 | Walter Schachermayer | A survey on recent research problems in Mathematical Finance |
| 14:15-15:00 | Benedikt Blum | The Face Lifting Theorem |
| Tue, 15.09.2009 13:30-14:15 | Zehra Eksi | |
| 14:15-15:00 | Beatrice Acciaio | |
| Thu, 17.09.2009 13:30-14:15 | Sara Karlsson | Parametric Local Volatility Models |
| 14:15-15:00 | Lavinia Ostafe | Fractional Brownian Motion |
| Tue, 22.09.2009 13:30-14:15 | Walter Schachermayer | A survey on recent research problems in Mathematical Finance (Part 2) |
| 14:15-15:00 | Bezirgen Weliyev | Consistent Price Systems |
| Thu, 24.09.2009 13:30-14:15 | Ranja Reda | Introduction to monetary risk measures with special emphasis on dual representations |
| 14:15-15:00 | Christina Ziehaus | Optimal Consumption: The Primal Approach |
| Tue, 29.09.2009 13:30-14:15 | Ranja Reda | Introduction to monetary risk measures with special emphasis on dual representations |
| 14:15-15:00 | Philipp Fuchs | |
| Thu, 01.10.2009 13:30-14:15 | Walter Schachermayer | A survey on recent research problems in Mathematical Finance (Part 3) |
| 14:15-15:00 | Eberhard Mayerhofer | A characterization of conservative affine Markov processes |
| Abstract: I present an analytic characterization of conservative processes within the class of affine Markov processes. Key finding: The characteristic exponents of affine processes -- which in turn determine their characteristic function -- are extremal solutions of the related generalized Riccati differential equations. This work completes the discussion of conservative affine processes in Duffie, Filipovi\'c and Schachermayer (2003). Joint project with Alexander G. Smirnov, Moscow. |