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Talk at the Computational Science Center (CSC) of University of Vienna
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Fr., 28.11.2014, 15.00, seminar room 11
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Vinicius Albani (IMPA, Brasil - visiting researcher at CSC)
http://w3.impa.br/~vvla/
"An Inverse Problem in Mathematical Finance"
Abstract: Introduced by Bruno Dupire, Derman and Kani in the nineties,
the local volatility model generalizes the classical Black-Scholes
model, replacing the constant volatility by a deterministic function of
the price and the time. We review some results concerning the
associated calibration problem and propose some extensions and
applications.
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 4.12.2014, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Michael Schmutz (University of Bern and FINMA, CH)
"Risk based solvency frameworks and related challenges"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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WU Wien, Institute for Statistics and Mathematics
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Th., 4.12.2014, 16:30, room SR D4.0.019 (EG)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Harry Zheng (Imperial College London)
http://www.imperial.ac.uk/people/h.zheng
"Utility-Risk Portfolio Selection"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/en/resseminar
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
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University of Vienna, Dept. of Statistics and Operations Research
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Mo., 24.11.2014, 17:00-18:00, Skylounge
Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor
Teemu Pennanen (King's College, UK)
http://www.mth.kcl.ac.uk/~teemu/
"Optimal investment and contingent claim valuation in
illiquid markets"
(ISOR Colloquium)
For further details (including abstracts) see
https://isor.univie.ac.at/colloquia-seminars/
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Announcement of talks organised by FAM @ TU Wien
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Tu., 25.11.2014, 16:30, seminar room 107,
TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section
Stefan Thonhauser (TU Graz)
http://www.researchgate.net/profile/Stefan_Thonhauser
"Optimal reinsurance in risk theory"
For further details (including abstracts) see
http://www.fam.tuwien.ac.at/events/
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 20.11.2014, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Soumik Pal (University of Washington, Seattle, USA)
http://www.math.washington.edu/~soumik/
"The geometry of relative arbitrage"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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WU Wien, Institute for Statistics and Mathematics
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Th., 20.11.2014, 16:30, room SR D4.0.019 (EG)
WU, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor
Michaela Szölgyenyi (Johannes Kepler Universität Linz)
http://www.finanz.jku.at/index.php?id=86
"Dividend maximization under regime switching and
incomplete information"
(Research seminar - Statistics and Mathematics)
For further details (including abstracts) see
http://www.wu.ac.at/statmath/en/resseminar
To find the room on the WU Campus search for "D4.0.019" on:
http://gis.wu.ac.at/?roomShow=D4.0.019
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Habilitation at University of Vienna
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We., 12.11.2014, 17:30, lecture hall / Hörsaal 11
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Eberhard Mayerhofer (Dublin City University)
"The Limits of Leverage" (Die Grenzen der Hebelwirkung)
(public habilitation)
For further details (including abstracts) see
http://plone.mat.univie.ac.at/events/2014/12112014habilvortragmayerhofer
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 13.11.2014, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Johannes Ruf (University College London)
http://www.oxford-man.ox.ac.uk/~jruf/
"Convergence of local supermartingales and
Novikov-type conditions for processes with jumps"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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To Whom it May Concern:
Due to an overlap of the Vienna Seminar in Mathematical Finance and
Probability with the IST Lecture with the speaker Cédric Villani, the
Vienna Seminar MFP will take place on Wednesday instead of Thursday.
Furthermore we announce two PhD theses defenses at University of Vienna.
Please find details below.
Best regards,
Sandra
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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We., 05.11.2014, 17:00, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Matthias Erbar (University of Bonn, DE)
http://wt.iam.uni-bonn.de/erbar/home/
"Ricci curvature for finite Markov chains"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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IST Lecture with Cédric Villani:
http://ist.ac.at/en/events/community-events/2014/ist-lecture-cedric-villani…
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Announcement of Public PhD Thesis Defense at University of Vienna
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Tu., 07.11.2014, 13:00, seminar room 10
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Anastasiia Zalashko (University of Vienna)
"Model independent pricing of Asian options"
(Public PhD Thesis Defense, Supervisor: W. Schachermayer)
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Tu., 07.11.2014, 13:30, seminar room 10
Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 2nd floor
Lingqi Gu (University of Vienna)
"The shadow price in utility maximization problems
under transaction costs"
(Public PhD Thesis Defense, Supervisor: W. Schachermayer)
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lecture "Energy Markets: Models and Derivatives Valuation"
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Mo., 03.11.2014 to Fr., 14.11.2014
TU Wien, 1040, Wiedner Hauptstr. 8
Carlo Sgarra (Politecnico die Milano, http://goo.gl/2PB0rG)
lecture "Energy Markets: Models and Derivatives Valuation"
First lecture on Mo., 03.11.2014, 14:00, seminar room 138A
Freihaus building, 7th floor, yellow area
For further details see:
https://tiss.tuwien.ac.at/course/courseDetails.xhtml?courseNr=105669
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Joint Seminar: TU Vienna, University of Vienna and WU Vienna
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Th., 06.11.2014, 16:30, seminar room SR09
Universität Wien, 1090, Oskar-Morgenstern-Platz 1, 2nd floor
Matthias Erbar (University of Bonn, DE)
http://wt.iam.uni-bonn.de/erbar/home/
"Ricci curvature for finite Markov chains"
(Vienna Seminar in Mathematical Finance and Probability)
For further details (including abstracts) see
http://fam.tuwien.ac.at/vs-mfp/
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